I analyze the interaction between buyers' information acquisition and market liquidity in over-the-counter markets with adverse selection. If a buyer anticipates that future buyers will acquire information about asset quality, she has an incentive to acquire information to avoid buying a lemon...

This paper attempts to borrow the tradition of estimating policy reaction functions in monetary policy literature and apply it to capital controls policy literature. Using a novel weekly dataset on capital controls policy actions in 21 emerging economies over the period 1 January 2001 to 31...

This paper assesses the role that monetary policy plays in the decision to default using a General Equilibrium model with collateralized loans, trade in fiat money and production. Long-term nominal loans are backed by collateral, the value of which depends on monetary policy. The decision to...

This paper attempts to bring the tradition of estimating policy reaction functions from monetary policy literature to capital controls policy literature. Using a novel, weekly dataset on capital controls policy actions in 21 emerging economies over the period 1 January 2001 – 31 December 2015,...

Following a dramatic collapse of a fixed exchange rate based inflation stabilization program, Turkey moved into a free floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign exchange rate in Turkey is estimated for the floating...

This paper considers the impact of US and UK Quantitative Easing (QE) on their respective economies with a particular focus on the stock market, production and price levels. We conduct an empirical quantitative exercise based on a novel six-variable VAR model, which combines macroeconomic and...

In this paper we provide evidence that the effects of the different waves of asset purchase programmes implemented by the ECB from 2009 onwards have spilled over into asset price volatility developments of a group of six Central and Eastern European economies belonging to the EU but not to the...

Combining the high-frequency multidimensional approach of Gürkaynak et al. (2005) with Greenbook measures of the Federal Reserve's information set as in Romer and Romer (2004), I propose a new method of constructing a monetary policy shock that occurs on Federal Reserve announcement days. I...

The paper examines the development of central bank policy prior to and during the recent financial crisis. The argument is made that it contained multiple failures that not only generated constraints on adequately identifying and addressing the crisis but also contributed to that crisis. Those...

A new high-frequency data set is used to estimate the Fed's impact on the level and volatility of stock prices while accounting for endogeneity and omitted variable biases and potential asymmetries. Results show that after addressing these issues, the effect of policy shocks on the level and...