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Who should pay for certification?
Stahl, Konrad; Strausz, Roland - 2011
Who does, and who should initiate costly certification by a third party under asymmetric quality information, the buyer or the seller? Our answer - the seller - follows from a nontrivial analysis revealing a clear intuition. Buyer-induced certification acts as an inspection device,...
Persistent link: https://www.econbiz.de/10010306003
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Price Competition with Information Disparities in a Vertically Differentiated Duopoly
Cavaliere, Alberto - 2004
differentiation, informed consumers exert a positive externality on the purchasers of the high quality good as its price decreases … when the share of informed consumers decreases. Considering also that the price of the low quality good increases with the … with pessimistic consumers we can explain demand collapses and insensitivity to price changes due to consumer suspicions …
Persistent link: https://www.econbiz.de/10011324907
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The Role of Asset Prices in Euro Area Monetary Policy: Specification and Estimation of Policy Rules and Implications for the European Central Bank
Bohl, Martin T.; Siklos, Pierre L. - 2005
This paper estimates forward-looking and forecast-based Taylor rules for France, Germany, Italy, as well as the euro area, using both final revised data and real-time data. We are particularly interested in the impact of adding asset prices to the standard Taylor rule specification. Since...
Persistent link: https://www.econbiz.de/10010296350
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Credit, asset prices, and financial stress in Canada
Misina, Miroslav; Tkacz, Greg - 2008
Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The … problem, we focus on financial stress and ask whether credit and asset price movements can help predict it. To measure …
Persistent link: https://www.econbiz.de/10010279945
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A leverage-based model of speculative bubbles
Barlevy, Gadi - 2008
This paper develops an equilibrium model of speculative bubbles that can be used to explore the role of various policies in either giving rise to or eliminating the possibility of asset bubbles, e.g. restricting the use of certain types of loan contracts, imposing down- payment restrictions, and...
Persistent link: https://www.econbiz.de/10010292195
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A minimal noise trader model with realistic time series properties
Alfarano, Simone; Lux, Thomas - 2006
Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...
Persistent link: https://www.econbiz.de/10010295000
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A minimal noise trader model with realistic time series properties
Alfarano, Simone; Lux, Thomas - 2003
Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...
Persistent link: https://www.econbiz.de/10010295031
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A noise trader model as a generator of apparent financial power laws and long memory
Alfarano, Simone; Lux, Thomas - 2005
In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical accessibility. In this paper we show that even...
Persistent link: https://www.econbiz.de/10010295050
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The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting
Lux, Thomas - 2003
Multi-fractal processes have been proposed as a new formalism for modeling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found to characterize...
Persistent link: https://www.econbiz.de/10010295056
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Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich - 2005
A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized facts of financial markets. It now seems that...
Persistent link: https://www.econbiz.de/10010295080