This paper examines alternative methods for making inferences about the value and dynamics of (unobserved) credit quality from market prices. Using data on Brady bonds issued by Mexico, Venezuela, and Costa Rica, we show that estimates of credit quality from of a simple model (often used by...

This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX...

This paper examines how the theoretical and empirical implications of asset pricing models are affected by the presence of a "peso problem"; a situation where the potential for discrete shifts in the distribution of future shocks to the economy affects the rational expectations held by market...