In this paper we propose a two-step semiparametric procedure to estimate first-price auction models. In the first-step, we estimate the bid density and distribution using local polynomial method, and recover a sample of (pseudo) private values. In the second-step, we apply the method of moments...

It is the basic proposition of this paper that the problem with marginal cost theory (Coase, 1946) cannot be adequately addressed within the framework of neo-classical economics. The innumerable products and services, which are available on the market, are not provided because the cost of...

This paper investigates the role played by the cultural norms of particularism and universalism for collusive bribery. In our theoretical framework, the act of proposing or demanding a bribe violates a commonly held social norm, thus producing a psychological cost. By lowering this psychological...

International commodity markets may be characterised by price or quantity competition and by product differentiation. As an illustration, we present a set of models of the Japanese market for imported beef. The models are evaluated using an non-nested econometric test. The one which best fits...

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product...

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...

We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable...