This paper proposes an extreme value approach to estimating the term structure of interest rate volatility, and shows that the volatility of interest rate changes is overestimated by the standard approach that uses the thin-tailed normal distribution. The volatility of maximal and minimal...

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...

This paper discusses issues related to the sequencing of the reforms that are necessary to transform the economies in Eastern Europe into market economies. It is first argued that the transition path of these economies will be smoother and less costly if a clear statement of the ultimate goals...