This paper empirically compares a variety of firm-value-based models of contingent claims. We formulate a general model which takes the perpetual coupon bond models of Merton (1974), Leland (1994) and Anderson, Sundaresan and Tychon (1996), as well as some immediate generalizations thereof, as...

This paper is a reflection on the problems posed by the structural transformation of Eastern European economies. It asks : how can the transformation to a market economy be reconciled with a desire for a stable economic environment ? The proposed paradigm is that of multi-market, disequilibrium...

In this paper we employ the theory of the term structure of interest rates and the pricing of interest contingent contracts to determine the fair value of insurance for depository institutions. The balance sheet of a bank is taken to consist of long and short positions in various fixed income...

This paper reports the result of three separate case studies, each one based on extended field work. The studies are unified by the common issue they seek to investigate : In the passage from a system extensive controls to a market-oriented system an economy may be exposed for the first time to...

This paper considers the impact of finance on growth by exploring a model where entrepreneurs need both outside investors to provide funds and outside managers to operate the firm efficiently once assets are in place. We employ a repeated game framework which allows us to model outside equity as...

We solve numerically for stationary rational expectations equilibria of a two-country nonlinear model of a storable commodity. With constant tariffs, price volatilities in both countries increase in the tariff rate of one country (‘the EC’) uses a variable import levy and export subsidy to...

We study the numerical properties of a class of models recently introduced to calculate the values of corporate bonds and other corporate liabilities. Starting from a discrete-time extensive form game representing the consequences of financial distress, these ``strategic contingent claims...

This paper collects four short articles on commodities which eventually be published in The New Palgrave Dictionary of Money and Finance. "Commodity Agreements" concerns international attempts to manage commodity trade. It treats their history, objectives, coverage, and methods. " Commodity...