This paper presents a macroeconomic model with some microfoundations for a small open economy. The main purpose is the simulation of external environment and fiscal policy shocks. The model includes sufficiently disaggregated public sector and household disposable income accounts and it...

We examine, in a strategic setting, the broad issue of how retail channel structures--retail monopoly versus retail duopoly--impact a manufacturer's optimal new product design, both in terms of engineering design specifications as well as manufacturer and retailer profits. Our strategic...

The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative to the...

We present a model to test the null hypothesis that firms organize their corporate governancearrangements optimally given the constraints they face. Following the literature, the modelrejects the null if the conditional correlation between governance and performance issignificantly different...

This paper analyzes how combining firms into either groups or conglomerates affects their credit standing, as measured by their de- fault probabilities, recovery rates and credit spreads. Each combina- tion offers protection against default to its affiliates, and issues debt to optimize the...

In this article, we review quantile models with endogeneity. We focus on models that achieve identification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and...

We investigate the effect of model specification on the aggregation of (correlated) market and credit risk. We focus on the functional form linking systematic credit risk drivers to default probabilities. Examples include the normal based probit link function for typical structural models, or...

We propose a network-based model of credit contagion and examine the e�ects of idiosyncratic and systemic shocks to individual banks and the banking system. The banking system is built as a network in which banks are connected to each other through the interbank market. The microstructure...

This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...

Sponsored search advertising is ascendant--Forrester Research reports expenditures rose 28% in 2007 to $8.1 billion and will continue to rise at a 26% compound annual growth rate [VanBoskirk, S. 2007. U.S. interactive marketing forecast, 2007 to 2012. Forrester Research (October 10)],...