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Chapman, James; Chiu, Jonathan; Molico, Miguel - 2008

This paper develops a model of settlement system to study the endogenous structure of settlement networks, and the welfare consequences of clearing agent failure. The equilibrium degree of tiering is endogenously determined by the cost structure and the information structure. The degree of...

Persistent link: https://www.econbiz.de/10010279906

The equity premium and the volatility spread: The role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory …

Persistent link: https://www.econbiz.de/10010279907

Implications of asymmetry risk for portfolio analysis and asset pricing

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - 2007

Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

Persistent link: https://www.econbiz.de/10010279908

Testing uncovered interest parity: A continuous-time approach

Diez de los Rios, Antonio; Sentana, Enrique - 2007

observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable …

Persistent link: https://www.econbiz.de/10010279924

Real effects of price stability with endogenous nominal indexation

Meh, Césaire Assah; Quadrini, Vincenzo; Terajima, Yaz - 2009

We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because …

Persistent link: https://www.econbiz.de/10010279925

Do central banks respond to exchange rate movements? Some new evidence from structural estimation

Dong, Wei - 2008

incorporate exchange rate movements explicitly into their policy rule. With a higher degree of intrinsic inflation persistence …, the central bank of New Zealand seems less concerned about future inflation pressure induced by current exchange rate … movements. In addition, the structure of the shocks driving inflation and output variations in New Zealand is such that it may …

Persistent link: https://www.econbiz.de/10010279936

Uninsurable investment risks and capital income taxation

Meh, Césaire A.; Terajima, Yaz - 2009

This paper studies the capital accumulation and welfare implications of reducing capital income taxation in a general equilibrium economy with uninsurable investment risks. It has been shown that, with uninsurable investment risks, under-accumulation of capital may result compared to the...

Persistent link: https://www.econbiz.de/10010279941

On the amplification role of collateral constraints

Mendicino, Caterina - 2008

Following the seminal contribution of Kiyotaki and Moore (1997), the role of collateral constraints for business cycle fluctuations has been highlighted by several authors and collateralized debt is becoming a popular feature of business cycle models. In contrast, Kocherlakota (2000) and Cordoba...

Persistent link: https://www.econbiz.de/10010279946

Composition of international capital flows: A survey

Kirabaeva, Koralai; Razin, Assaf - 2010

We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions: asymmetric information in capital markets and...

Persistent link: https://www.econbiz.de/10010279956

Inventories, markups, and real rigidities in menu cost models

Kryvtsov, Oleksiy; Midrigan, Virgiliu - 2009

models necessary to account for the dynamics of output and inflation. We argue here, in the spirit of Bils and Kahn (2000 …

Persistent link: https://www.econbiz.de/10010279958