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We provide a general characterization of the structure of rational expectations equilibria of any degree of revelation for pure exchange, sequential economies, with deffinitely many states of private information, an incomplete financial market and nominal assets. We estimate the dimension of the...
Persistent link: https://www.econbiz.de/10009635915
significant liquidity and price advantage over comparable domestic bonds. On average, global bonds trade at yields 15 to 25 basis …
Persistent link: https://www.econbiz.de/10009640328
This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...
Persistent link: https://www.econbiz.de/10009635905
analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if …
Persistent link: https://www.econbiz.de/10009635953
This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...
Persistent link: https://www.econbiz.de/10009636533
exchange rate is unobserved, and an additional equation that links this autarchic currency price with the FX order flow. The …
Persistent link: https://www.econbiz.de/10009636537
Persistent link: https://www.econbiz.de/10009641224
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assess the influence of the 2006 reform of the EU sugar regime on price transmission in the sugar sector. The investigations … to be carried out had to focus on the different types of transmission of price changes, studying the reasons for any … uneven or asymmetric price transmission between sugar producers and final consumers, and taking into account the intermediate …
Persistent link: https://www.econbiz.de/10011439219
with monthly price quotes of 49 articles, representing different product types. We have conducted this study in order to …
Persistent link: https://www.econbiz.de/10009639473