Not-too-tight (NTT) debt limits are endogenous restrictions on debt that prevent agents from defaulting and opting for a specified continuation utility, while allowing for maximal credit expansion. For an agent facing some fixed prices for the Arrow securities, we prove that discounted NTT debt...

As a burgeoning capital market in an emerging economy, automation of the stock market is regarded as a major step towards integrating the financial market as a conduit for economic growth. The automation of the Ghana Stock Exchange (GSE) in 2008 is expected among other things to improve the...

This paper describes the theoretical structure and estimation results for a DSGE model for the Macedonian economy. Having as benchmark the model of Copaciu et al. (2015), modified to allow for a fixed exchange rate, we are able to match relatively well the volatility observed in the data. Given...

Which are the main frictions and driving forces of business cycle dynamics in a small open economy? To answer this question we extend what is becoming the standard new Keynesian model in three dimensions. First, we incorporate frictions in the financing of the capital stock. Second, we model...

A seminal paper by Fama and Bliss (1987) showed that a simple regression model could explain a significant portion of 1-year ahead excess returns. Cochrane and Piazzesi (2005) showed that their regression model could explain a significantly larger por tion of excess returns than Fama and...

We consider economic agents, agent’s variables, agent’s trades and deals with other agents and agent’s expectations as ground for theoretical description of economic and financial processes. Macroeconomic and financial variables are composed by agent’s variables. In turn, sums of...

The banks are central elements of a market economy. In more than one way, they facilitate business transactions by acting as depositor and lender for many actors in the domestic and international economy. The banking industry in Nigeria has expanded in size in terms of assets in the last 60...

No longer does society consider the full extent of the argument and consequences or benefits of a system change. All the record-breaking economic success of the last few decades simply furthers a divide between people/organizations that have money and people/organizations that need money....

This paper presents further development of our economic model. We describe economic and financial transactions between agents as factors that define evolution of economic variables. We show that change of risk ratings of agents as their coordinates on economic space due to economic activity or...

This paper analytically examines the impact of exchange rate volatility on stock prices in Nigeria via both symmetric and asymmetric GARCH models. At the onset the descriptive statistics reveals that both series are non-normally distributed as indicated by the Jacque-Bera statistic, also the...