In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

This paper introduces a new generation of Early Warning Systems (EWS) which takes into account dynamics within a system composed by binary variables. We elaborate on Kauppi and Saikonnen (2008), which allows to consider several dynamic specifications and to use an exact maximum likelihood...

In this paper we investigate the economic integration - industrial specialization nexus and unravel the relationship between trade and financial openness and industrial specialization. For a panel of 31 countries over the period 1970 to 2005, we find that trade integration relates negatively to...

We introduce a new approach to measuring the possible impact of futures speculation on spotcommodity prices. We advocate the use of a non-parametric, highly flexible empirical model formeasuring this impact, in order to account for possible non-linearity in the transmission fromfutures to spot...

As banking markets in developing countries are maturing, banks face competition not only from other domestic banks but also from sophisticated foreign banks. Combined with a dramatic growth of consumer credit and increased regulatory attention to risk management, the development of a...

This paper proposes to investigate the threshold effects of the productivity of infrastructure investment in developing countries within a panel data framework. Various speci.cations of an augmented production function that allow for endogenous thresholds are considered. The overwhelming outcome...

Using a reduced rank regression framework as well as information criteria we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable...

We investigate the driving forces of corporate liquidity for a balanced panel of large Dutch non-financial firms during the period 1986-1997 using an error-correction framework. This framework allows a crucial distinction between short-run and long-run determinants of corporate liquidity. We...

In drawing on modern finance theory, this note demonstrates the importance of financial instruments for large public sector projects. An explicit link to the theory of Henry George is made, and a public sector financing approach is being demonstrated by using the example of the Oder floodings in...

Prediction markets serve as popular devices to aggregate beliefs and to assess market estimated probabilities. By looking at the interaction between real- and play-money prediction markets, this paper shows that traded volume has a significant positive effect on the probability of real- and...