This paper studies endogenous market formation in a ?nancial trading model where strategic traders face information asymmetries and aggregate shocks. First, we show that negative participation externalities can arise for a large class of assets. In a decentralized process of market formation,...

This paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly...

This paper explores the use of a loglinear tax and transfer function, displaying increasing marginal and average tax rates along with a means-tested transfer payment. The two parameters are a breakeven income threshold, where the average tax rate is zero, and a tax parameter equivalent to the...

In a linear contracting environment the Fenchel transform provides a complete duality between the contract and the information rent. Through an appropriate generalised convexity this can be extended to provide a complete duality in the supermodular quasilinear contracting environment that covers...

This paper empirically studies howconsumers respond to retail gasoline price cycles. Our analys is uses new station-level price data from local markets in Ontario, Canada, and a unique market-level measure of consumer responsiveness based onweb traffic fromgasoline price reportingwebsites. We...

This paper provides a characterisation of UK and Australian monetary policy within a Taylor rule framework, accommodating uncertainties about the nature and duration of policy regimes in a flexible but easy-to-implement analysis. Our approach involves estimation and inference based on a set of...

We introduce a new approach to computing sensitivities of discontinuous integrals.The methodology is generic in that it only requires knowledge of the simulation scheme and the location of the integrand's singularities. The methodology is proven to be optimal in terms of minimizing the variance...

A Monte Carlo experiment is used to examine the size and power properties of alternative Bayesian tests for unit roots. Four different prior distributions for the root that is potentially unity – a uniform prior and priors attributable to Jeffreys, Lubrano, and Berger and Yang – are used in...

Knowledge sharing arrangements are an important part of the innovation process as they help firms acquire technological capabilities, shorten development time, and spread risk and cost. A question central to the study of knowledge sharing arrangements is the impact of competition on cooperation....

This note presents some simple, direct tests for search and dynamic demand behavior in retail gasoline markets. We exploit a unique market-level dataset that allows us to directly measure search intensity with daily web traffic data from a gasoline price reporting website, and perfectly measure...