The aim of this paper is to study the optimal duration of unemployment benefit entitlement duration across the business cycle. We wonder if the entitlement duration should be prolonged in bad and shortened in good times. Because of consumption smoothing, such a countercyclical policy can be...

The market structure can be described by concentration ratios based on the oligopoly theory or the structure - conduct - performance paradigm. Measures of concentration and also competition are essential for banks conduction in the banking industry. Several researchers have proved concentration...

This paper provides a unified framework for endogenizing two distinct organizational structures of financial intermediation. In one structure, called Bank, the intermediary is financed by issuing debt contracts to investors, and thus resembles commercial banks. In the other structure, called...

We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels - of around 12 percent - not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.

This paper explores financial stability policies for the shadow banking system. I tie policy options to economic mechanisms for shadow banking that have been documented in the literature. I then illustrate the role of shadow bank policies using three examples: agency mortgage real estate...

Purpose - This work seeks to investigate post-crisis measures banks have adopted in a bid to manage liquidity risk. It is based on the fact that the financial liquidity market was greatly affected during the recent economic turmoil and financial meltdown. During the crisis, liquidity risk...

This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models...

The traditional marshallian rule of investing (abandoning) when the value of an underlying asset is above (below) the cost of an alternative investment is modified in the presence of uncertainty and irreversibility giving rise to an option component into decisions. This component is affected by...

The traditional marshallian rule of investing when the value of the investment is greater than its installment cost is modified in the presence of irreversibility and uncertainty, giving rise to an option component. Additionally, the interaction of participants holding each one a right to invest...

Property in financial options (derivatives) is stated and transferred through contracts, while in real options property may arise from assets under the management of the firm, without a formal contract properly defining property. Furthermore, in some situations the asset can be public, and its...