Showing 81 - 90 of 203
Persistent link: https://www.econbiz.de/10000945114
We study the behavior of real exchange rates in a two-country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the...
Persistent link: https://www.econbiz.de/10009440709
The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate...
Persistent link: https://www.econbiz.de/10010397508
The Securities and Exchange Commission's 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority),...
Persistent link: https://www.econbiz.de/10012611006
The interest rate swap market has grown rapidly. Since the inception of the swap market in 1981, the outstanding notional principal of interest rate swaps has reached a level of $12.81 trillion in 1995. Recent surveys indicate that interest rate swaps are the most commonly used interest rate...
Persistent link: https://www.econbiz.de/10005401998
This paper establishes baseline valuations for housing assets using rent cash flows in 22 regions of the U.S. in a Lucas (1978) framework. The model matches the unconditional averages of the price–rent ratios from 1978 to 2012 quite well; however, the model valuations after 2002 are well below...
Persistent link: https://www.econbiz.de/10011116618
Using intraday trades and quotes data, we study the stock options market before, during, and after the market events of May 6, 2010. Focusing on the S&P 500 and S&P 100 stock options, we explore if the options market provided any discernible signals that forewarned the extreme volatility on that...
Persistent link: https://www.econbiz.de/10011118087
This paper develops and experimentally implements a simple multi-negotiation bargaining game, in which one agent, called the "developer", must reach agreements with a series of other agents, called "landowners", in order to implement a value-increasing project.  The game has a unique subgame...
Persistent link: https://www.econbiz.de/10011004386
This article analyzes an economic experiment designed to measure the effect of “legal technology” on the economic efficiency of Coasian bargaining. In the experiment, the agreement of many agents (called “landowners”) to transfer their property rights to a single agent (called “the...
Persistent link: https://www.econbiz.de/10011912186
We study the behavior of real exchange rates in a two­country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the...
Persistent link: https://www.econbiz.de/10005076998