In this paper, we re-examine Mendelson’s model for the equilibrium price of a double-blind Dutch auction with Poisson-distributed stochastic demand and supply. We present a number of new results. We focus on the various ways that demand and supply cross. We identify four different categories...

The purpose of this paper is to investigate the dynamics and statistics of style rotation based on the Barberis-Shleifer model of style switching. Investors in stocks regard the forecasting of style-relative performance, especially style rotation, as highly desirable but difficult to achieve in...

We investigate how the influence of the military differs across authoritarian regimes and verify whether there are actually systematic differences in military expenditures amongst different forms of dictatorships. We argue that public choices in autocracies result from a struggle for power...

This paper provides a comprehensive econometric framework for the empirical analysis of countervailing power. It encompasses the two main features of pricing schemes in business-to-business relationships: nonlinear price schedules and bargaining over rents. Disentangling them is critical to the...

Numerous studies have examined the effect on credit spreads of renegotiation. These studies have generally focused on the impact on spread levels in general, and not on how renegotiation influences the relative pricing of senior versus junior debt claims. In this paper, we show that the scope...

We run a laboratory experiment were friendship networks are generated endogenously within an anonymous group. Our experiment builds on two phases in sequence: a network formation game and a trust game. We find that in those sessions where the trust game is played before the network formation...

We study autodependence in ARCH-models by computing the auto-lower tail dependence coefficients and certain generalizations thereof, for both stationary and non-stationary time series. This study is inspired by financial risk-management issues, and our results are relevant for estimating...

Even with complete information, two-person bargaining can generate a large number of equilibria, involving disagreements and inefficiencies, in (i) negotiation games where disagreement payoffs are endogenously determined (Busch and Wen, 1995) and (ii) costly bargaining games where there are...

We propose an additional solution to the comovement puzzle by developing a two-sector monetary model with housing production and an input-output structure. The model generates comovement between consumption and residential investment for large range of shocks hitting the economy. Consistent with...

The multiple applications matching function derived in Albrecht, Gautier, Tan and Vroman (2004) involves terms which are very “convoluted”. This letter proposes an alternative more concise function, derived using applicant types as the source of randomness rather than the resulting...