How important are collateral constraints for the propagation and amplification of shocks? To address this question, we analyze a stochastic general equilibrium version of the model by Kiyotaki and Moore (JPE, 1997) in which all agents face concave production and utility functions and are...

We study the interplay between competition and trust as efficiency enhancing mechanisms in the private provision of money. With commitment, trust is automatically achieved and competition ensures efficiency. Without commitment, competition plays no role. Trust does play a role but requires a...

In this paper, we examine the empirical validity of the baseline version of the forward-looking monetary policy reaction function proposed by Clarida, Gali, and Gertler (2000). For that purpose, we propose a moment conditions model averaging estimator in the Generalized Method of Moments and...

The goal of this paper is to analyze predictability of future asset returns in the context of modeluncertainty. Using data for the Euro Area, the US and the U.K., we show that one can improve the forecasts of stock returns using a Bayesian Model Averaging (BMA) approach, and there is a large...

Universal banks can have control over borrowers by holding equity stakes in the borrower firm. Banks’ corporate control is likely to increase the likelihood of providing a future loan as they mitigate information asymmetry and agency costs of debt. Using panel data on Portuguese companies, we...

This paper evaluates the performance of the macroeconomic forecasts disclosed by three leading international organisations - the IMF, the European Commission and the OECD - and compares it with that of the mean forecasts of two surveys of private analysts - the Consensus Economics and The...

International economics has overwhelmingly relied on Samuelson's (1954) assumption that trade costs are proportional to value. We develop a quantitative analytical framework that features both additive and multiplicative (iceberg) trade costs, building on a model of international trade with...

Over recent years several methods to deal with high-frequency data (economic, financial and other) have been proposed in the literature. An interesting example is for instance interval valued time series described by the temporal evolution of high and low prices of an asset. In this paper a new...

This paper estimates the price elasticity of external demand of Portuguese exports in the period 1995-2009 and compares it with those of other euro area countries. This proxy of the export price elasticity is computed as a weighted average of the import demand elasticities in each individual...

This paper focuses on the analytical discussion of a robust t-test for predictability and on the analysis of its finite-sample properties. Our analysis shows that the procedure proposed exhibits approximately correct size even in fairly small samples. Furthermore, the test is well-behaved under...