Am weltweiten Aktienmarktschwanken die Kurse, die europäischeZentralbank stellt denBanken kurzfristige Liquidität vonmehr als einhundert Milliarden Eurozur Verfügung, die US-amerikanischeNotenbank senkt den Diskontsatz.Spätestens wenn dann nochBanken wie am Wochenende dieSachsenLB auf die...

This paper addresses the consumption–real exchange rate anomaly.International real business cycle models based on complete financialmarkets predict a unitary correlation between the realexchange rate and the ratio of home to foreign consumptionwhen subjected to supply-side shocks. In the data,...

This paper investigates the spillover effects of money market turbulence in 2007-08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during...

Hedge funds are major players in the international financial system and nimble investment strategies including the use of leverage allow them to build up large positions. Yet the monitoring of systemic risks posed by the build-up of leverage is hampered by incomplete information on hedge funds'...

[...]This paper studies a simple model of the talent-ownership mismatch — or failure ofmeritocracy — brought about by credit market imperfections that arise as a consequence ofagency problems in the borrower-lender relationship. Our model highlights the interactionbetween the market for...

This paper studies changes over time in the incidence of labor tying. The existingliterature is successful in explaining the emergence of this institution, but contains thecounterfactual implication that there should be an increasing trend in labor tying. However,previous contributions have so...

We argue that there is a connection between the interbank market for liquidity and thebroader financial markets, which has its basis in demand for liquidity by banks. Tightnessin the interbank market for liquidity leads banks to engage in what we term “liquiditypull-back,” which involves...

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are risk-averse and have common andtrue beliefs, the pricing...

The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...