In this paper we derive a method for simultaneously estimating three possible determinants of output price : the marginal market cost of production, the user cost of the resource, and the exercise of market power.

Employing the neutral Kindleberger definition of a bubble as "an upward price movement over an extended range that then implodes", this paper explores the causes of the "Japanese Bubble" of 1985 to 1990 without precluding the possibility that the bubble was due to perceptions of fundamentals....

Standard exchange rate models perform poorly in out-of-sample forecasting when compared to the random walk model. We posit that part of the poor performance of these models may be due to their omission of political factors.

This paper examines the impact of a random number of stock prices changes on the valuation formula for options. The model introduces the structure of the general marked point process (MPP). The kind of models allows to take in account more general distributions of time interarrival: they need no...

This paper examines what factors move US and European stock and bond markets, extending earlier work by Campbell and Ammer (1993). Inflation news is incorporated into the stock and bond decomposition and explicit attention is given to different horizons over which expectations are formed....

Companies in many countries have designated shares restricted to locals and otherwise identical unrestricted shares available to foreigners. With the ever-increasing demand for international portfolio investments, these foreign ownership restrictions typically lead to large price premiums for...

This paper studies the returns from investing in index options. Previous research documents significant average option returns, large CAPM alphas, and high Sharpe ratios, and concludes that put options are mispriced. We propose an alternative approach to evaluate the significance of option...