The present paper introduces two bonds in a standard New-Keynesian model to study the role of segmentation in bond markets for the determinacy of rational expectations equilibria. We use a strongly-separable utility function to model 'liquid' bonds that provide transaction services for the...

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The execution strategy of Almgren (2003) is based on the assumption that no shares per unit of...

This note sketches the issues that arise while interpreting the relation between macroeconomic volatility and financial risk premia from the perspective of the standard consumption-based asset pricing model. The relation arises from the fact that all assets are priced by the same 'pricing...

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction....

We investigate how the relation between gold prices and the U.S. dollar has been affected by the recent turmoil in financial markets. We use spot prices of gold and spot bilateral exchange rates against the euro and the British pound to study the pattern of volatility spillovers. We estimate the...

This report reflects on recent trends in fiscal and monetary policies at the onset of EU-enlargement. Particularly, the authors focus on necessary adjustment processes for future EU-members. How to smooth best the transition period between "normal" EU-accession and eventual participation in the...