The information-based asset-pricing framework of Brody, Hughston and Mac- rina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows. The price of the asset is the sum of the discounted...

This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and pro- vides a link to equilibrium economics. We require that the pricing kernel be consistent with a pair of axioms, one giving the...

This paper presents a monetary model that links interbank markets to capital accumulation and growth. The purpose of this paper is to study how interbank markets affect real economic activities, and to find the monetary policy implications. The model shows that, in a stationary equilibrium, the...

In an exchange economy under uncertainty populated by consumers having constant and equal relative risk aversion but heterogeneous probabilistic beliefs, we analyze the nature of the representative consumer's probabilistic belief and discount rates. We prove a formula that implies that the...

We consider a continuous-time two-sector infinite-horizon model with sector specific externalities, endogenous labor and a concave homogeneous non-separable utility function. We show that local indeterminacy arises with a low elasticity of intertempo- ral substitution in consumption provided the...

This study investigates the observability of chaotic economic dynamics in the Matsuyama model of endogenous growth with innovation and capital accumulation. We demonstrate that the Matsuyama system can be an ergodic chaos for a wide range of parameter values; as is well known, in an ergodic...

Recently a number of studies have recognized that trade policy can be substituted for by competition policy. This study demonstrates, however, that there is a fundamental difference in the working of terms-of-trade effects between competition policy and tariff policy and that if countries...

We use a large dataset of Japanese manufacturing firms to investigate the effect of the late export boom to the productivity growth and various productivity enhancing investments by exporting firms. We find that large exporters enjoyed significantly higher productivity growth over non-exporters...

The international harmonization of competition policies is widely perceived as a prime area for international policy discussion. We demonstrate that this harmonization, unlike a general tariff reduction, cannot be guided by the principle of reciprocity. Towards this end, we build a two-country...

TTourism is a major source of service receipts. The two leading tourism countries for Taiwan are Japan and USA. Daily data from 1/1/1990 to 31/12/2008 are used to model tourist arrivals from the world, USA and Japan to Taiwan, as well as their associated volatility. Inclusion of the exchange...