Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium probability of bank failure is uniquely determined. We explore how the cross holding of deposits motivated by imperfectly correlated regional liquidity...

This paper addresses the question of how and why the use of fair values in accounting acquired significance prior to 2007 despite widespread opposition. An answer is suggested in terms of four mutually supporting conditions of possibility which gave the proponents of fair value institutional...

This paper is an empirical investigation into the duration of exchange rate episodes characterized by the absence of speculative attacks. We estimate a duration model for OECD countries during the 1970-1997 period. Specifically, we use semi-parametric methods to estimate model with unrestricted...

This is the first of three prospective papers examining how well forecasters can predict the future time path of short-term interest rates. Most prior work has been done using US data; in this exercise we use forecasts made for New Zealand (NZ) by the Reserve Bank of New Zealand (RBNZ), and those...

Banks can enter new countries either through greenfield entry or by acquiring local banks. I model the effect of a foreign bank's mode of entry on the stability of the local financial sector. Banks exert costly effort when they extend credit. Limited liability creates an agency problem which...

We show, in an exchange economy with default, liquidity constraints and no aggregate uncertainty, that state prices in a complete markets general equilibrium are a function of the supply of liquidity by the Central Bank. Our model is derived along the lines of Dubey and Geanakoplos (1992). Two...

In this paper we introduce an analytic-interactive mediation approach to facilitate conflict resolution in collective bargaining. Based on field observations of labor-management negotiations in the German railway industry, we develop an approach which combines human mediation with IT-based...

This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology that facilitates nonnested model comparisons and use a long data set...

This paper proposes an econometric procedure that allows the estimation of the pricing kernel without either any assumptions about the investors preferences or the use of the consumption data. We propose a model of equity price dynamics that allows for (i) simultaneous consideration of multiple...

The purpose of this paper is to bridge two strands of the literature, one pertaining to the objective or physical measure used to model an underlying asset and the other pertaining to the risk-neutral measure used to price derivatives. We propose a generic procedure using simultaneously the...