This paper contains a General Equilibrium model of an economy with Incomplete Markets (GEI) with money and default. The model is a simplified version of the real world consisting of a non-bank private sector, banks, a Central Bank, a government and a regulator. The model is used to analyse...

This paper proposes a simple and unifying model to price the interest rate contingent claims in a complete market where trading can be made in continuous time. The underlying dynamics of the yield curve is modelled by a random string whose trajectory produces a random surface described by a...

The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...

This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end of the yield curve while lower at the longer end. These...

This study empirically examines the impact of the federal government budget on the nominal interest rate yield on US Treasury notes over the 1979-2001 period. In a system that includes the monetary base, the civilian labor force unemployment rate, the ex ante real 52 week Treasury bill rate, and...

This paper considers whether relationships exist between the daily weighted average 7-day interbank rate, the change in the daily 7-day interbank rate, the daily level of commercial banks excess reserves and the change in the daily level of excess reserves, which may guide domestic money market...

The present paper argues that the present Internet conditions favour an entirely new finance model. Understood to soon supplement the existing ones (classical finance, corporate finance, and Islamic finance), it is argued that the new model will be defined by the destructive effect it is to have...

The aim of this paper is to present a proposal regarding the possible stabilization of the rapid variations on the value of government bonds issued by the States, using the ``Game Theory". In particular, we focus our attention on three players: a large bank that has immediate access to the...

The paper analyses common Russian practice. The structural changes in the Russian economy are further stimulated by the improvement of the government regulation policy. The paper examines the factors and effects of the general economic growth and the integration processes. The paper examines the...

Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles....