This paper analyzes the welfare effects of economic transparency in the conduct of monetary policy. We propose a model of monopolistic competition with imperfect common knowledge on the shocks affecting the economy where the central bank has no inflationary bias. In this context, monetary policy...

Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic models of optimal saving and portfolio choice are reviewed and compared with their antecedents in static or deterministic economic theory....

Favored by the Security Exchange Commission, Electronics Communication Networks (ECNs) have grown as alternative trading systems that enable to bypass the markets makers on the stock markets and allow investors to directly compensate and execute their orders with more discretion and at a lower...

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This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices of options written on it. A GARCH(1,1) model is shown to be a good parameterization of the process. Then, using the GARCH option pricing model of Duan (1991), the implied...

This paper investigates the relationship between a CEO’s social network, firm identity, and firm performance. There are two competing theories that predict contradictory outcomes. Following social network theory, one would expect a positive relation between social networks and firm...

This paper proposes a structural model that analyses the way financing constraints affect investment, consumption and saving decisions of the entrepreneur of a small/medium firm. The entrepreneur may face financing constraints because he cannot precommit to repay debt, unless the debt is secured...

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)....

One of the most important findings in empirical finance has been the fact that returns are not i.i.d. Predictability, or time variation in the conditional distribution of returns, is one of the basic ingredients of asset pricing and portfolio choice models nowadays.  Under the current renewed...