We analyse credit market equilibrium when banks screen loan applicants. When banks have a convex cost function of screening, a pure strategy equilibrium exists where banks optimally set interest rates at the same level as their competitors. This result complements Broecker’s (1990)...

In this paper we provide an asymptotic distribution theory for some non-parametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behaviour. We...

We develop a multi-period general equilibrium model of bank deposit, credit, and interim inter-bank loan markets in which banks initially specialize in their choices of debtors, leading to under-diversification, but nevertheless become entwined via inter-bank markets, leading to the fortunes of...

The introduction of Basel II has raised concerns about the potential impact of risk-sensitive capital requirements on the business cycle. Several approaches have been proposed to assess the procyclicality issue. In this paper, we adopt a general equilibrium model and conduct comprehensive...

We argue that ceteris paribus, introducing a habit that resolves the equity premium puzzle is equivalent to increasing the coefficient of relative risk aversion. Thus, if habit is modeled subject to the constraint that the Arrow-Pratt coefficient of relative risk aversion is held at a constant...

On the macro-economic policy side of Central Banking a remarkable consensus has been emerging over the last two decades. This covers both the applicable theoretical framework for analysing the transmission mechanism of monetary policy and also the appropriate institutional structure for the...

In a study of the ownership of German corporations, we find a strong relation between board turnover and corporate performance, little association of concentrations of ownership with managerial disciplining and only limited evidence that pyramid structures can be used for control purposes. The...

In this paper we model the value to a firm of undertaking market research into a particular product opportunity. The way in which information about the potential of the project arrives and knowledge evolves during the life of the project is modeled using the theory of optimal filtering. The...

In 2002, a new legislation that harmonises insolvency laws within the EU came into effect. I find reasons – both theoretical and empirical – to doubt whether the new law has achieved the goal of decreasing the cost of cross-border insolvency and borrowing. I thus suggest an...

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the p-th power variation,i.e. the sum of p-th absolute powers of the log-returns. We derive consistency and distributional results for the estimators given high frequency data,...