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...

This doctoral dissertation analyses the transmission of monetary policy. It applies a variety of empirical methods to study how conventional and unconventional monetary policy measures transmit to different macroeconomic and financial variables. The first article analyses the effect of monetary...

Measuring vertical price transmission (VPT) has become a widespread means to evaluate the performance of food value chain. To do so, agricultural economists employ time series methods on spatially aggregated data of prices at a regional/ national level. The conclusions of these studies are...

The study of Spatial Market Integration (SMI) has been of great concern for agricultural economists, with the Takayama and Judge Price and Allocation Model (TJM), in which prices are bounded by the Spatial Equilibrium Condition (SEC), being the core economic theory. The SEC implies that no...