Based on an experimental analysis of a simple monetary economy we argue that a monetary system is more stable than one would expect from individual rationality. Weshow that positive reciprocity stabilizes the monetary system, provided everyparticipant considers accepting money as a reasonable...

This paper contributes to the micro-foundation of money in centralizedmarkets with idiosyncratic uncertainty. It shows existence of stationarymonetary equilibria and ensures that there is an optimum quantity ofmoney. The rational solution of our model is compared with actual be-havior in a...

This paper studies the impact of EMU on portfolio diversification opportunities.

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

Our paper explores the role of time preferences on household debt maturity choice. Wefind that in countries where people are more patient in the long term, planning horizons in householddebt portfolios are significantly longer, as the optimal maturity of loans is considerably higher.The...

By allowing for imperfectly informed markets and the role of private information, we offer newinsights about observed deviations of portfolio concentrations in domestic relative to foreignrisky assets, or “home bias”, from what standard finance models predict. Our model ascribesthe...

We present empirical evidence that the Thai exchange rate is driven in part by international investors' cross-border portfolio rebalancing decisions. Our results are based on two comprehensive, daily-frequency datasets of foreign exchange and equity market capital flows undertaken by nonresident...

The viability of international diversification involves balancing benefits and costs.This balance hinges on the degree of asset dependence. In light of theoretical researchlinking diversification and dependence, we examine international diversification usingtwo measures of dependence:...

International diversification has costs and benefits, depending on the degree of assetdependence. In light of theoretical research linking diversification and dependence, weexamine international diversification with two dependence measures: correlations andextreme dependence. We document several...

The main objective of the following article is to present the key findings of the existent research in thefield of the influence the introduction of the euro had on the trade of the member states of the Economicand Monetary Union (EMU). The intention of this article is also to inspire further...