This paper presents empirical examinations of three important aspects of stock returns: Gaussianity, linearity, and stationarity by applying time series tests based upon the higher-order spectra. If the stationary time series is Gaussian, the second order spectrum contains all the useful...

Recent studies contend that answers to questions in the Survey of Consumer Finances reveal whether or not households are credit constrained. In these studies, households are defined as constrained if they applied for credit unsuccessfully or were discouraged from applying by the prospect of...

This dissertation consists of two papers on international capital movements. The first part theoretically analyzes the macroeconomic effects of restrictions imposed by official authorities on foreign investment. The main result from the theoretical model is that restrictions on foreign...

Interactions between the banking sector and an open capital account are investigated as rationalizations for the empirical regularities that characterize disinflation programs anchored by fixing the exchange rate. Financial intermediation and bank money creation are formalized within a dynamic...

We propose an access price determination approach, where the only regulatory instrument is the interconnection charge. Retail prices are set by unconstrained profit maximizing firms. We present a two stage model, solved backwards. In the second stage, the two firms compete freely, taking the...

This thesis sheds some light on factors that affect the level and stability of investment in economies with undeveloped capital markets. In particular, we focus on shocks to the demand for bank liabilities (checks). Banks are the major source of finance for firms, and fiat money and checks are...