The dynamics of the unobservable quot;shortquot; or quot;instantaneousquot; rate of interest are frequently estimated using a proxy. We show how the biases resulting from this practice (the quot;proxy problemquot;) are related to the derivatives of the proxy with respect to the short rate and...

The dynamics of the unobservable short rate are frequently estimated directly using a proxy. We examine the biases resulting from this practice (the quot;proxy problemquot;). Analytic results show that the proxy problem is not economically significant for single-factor affine models. In the...

This issue of the Journal of Financial Economics contains the first set of studies in the new Clinical Papers section. The objective of this section is to provide a high-quality professional outlet for scholarly studies of specific cases, events, practices, and specialized applications. By...

We measure the size and sources of gains from international diversification using metrics that are independent of currency choices. When we apply these measures to industry sector portfolios for six large equity markets, we find that, offered costless access to a foreign market, investors would...

Black (1988) suggested a two-step rule for discounting uncertain cash flows: (1) form the expectation of the flow conditional on zero excess returns to traded securities in periods before the flow, and (2) discount the conditional expected value as if it were the amount of a certain payment....