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related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure … time-variation in liquidity. I develop a tractable model where conditions among traders vary over time. The resulting … equilibrium offers several new predictions on what drives liquidity variation. For example, there may be significant reductions in …
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This volume was prepared by Inga Heiland while she was working at the Ifo Institute. It was completed in July 2016 and accepted as a doctoral thesis by the Department of Economics at the University of Munich. It comprises five chapters addressing one or more aspects of international trade and...
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The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...
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