We use a static framework characterized by both moral hazard and holdup problems. In the model the optimal allocation of bargaining power balances these frictions. We examine the impact of improved monitoring on that optimal allocation and its impact upon effort, investment, profits and rents....

We compare the effect of legal and institutional competition for the design of labor institutions in an environment characterized by holdup problems in human and physical capital. We compare autarky with the two country case, assuming that capital is perfectly mobile and labor immobile. We...

The uniqueness of bounded local equilibria under interest rate rules is analyzed in a model with sticky information à la Mankiw and Reis (2002). The main results are tighter bounds on monetary policy than in sticky-price models, irrelevance ofthe degree of output-gap targeting for determinacy,...

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term structure and are associated with the time-varying...

We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extendingit in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth,seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

Information ows across international financial markets typically occur within hours, making volatility spillover appear contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in this paper, in contrast to usually...

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of therelevant literature, the present approach takes a financial markets perspective using daily data. The fast-running...

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-minsquared mid-quote returns, average trade sizes, number of...

This paper analyses the link between sustainability-related innovation and sustainability performance and the role that family firms play in this. This theme is particular relevantfrom a European point of view given the large number of firms that are family-owned. Governments often support...