ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is present. These include financial time series, which can be particularly heavy tailed. However,...

The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard time series models of US house prices omit credit constraints and perform poorly in the 2000’s. We incorporate data on credit constraints for first time buyers into a model of...

Economies at early stages of development are frequently shaken by large changes in growth rates, whereas advanced economies tend to experience relatively stable growth rates. To explain this pattern, we propose a model of technological diversification. Production makes use of input-varieties...

We quantitatively investigate the allocative and welfare effects of secondary markets for cars. An important source of gains from trade in these markets is the heterogeneity in the willingness to pay for higher-quality (newer) goods, but transaction costs are an impediment to instantaneous...

This CASEbrief summarises findings from CASEbrief summarises findings from CASEpaper 40, Measuring Income Risk by Simon Burgess, Karen Gardiner, Stephen Jenkins and Carol Propper

In our contemporary mediatized societies, philanthropy seems to be part of celebrities’ ontology, while celebrities have become indispensable for the charity industry. This has provoked both negative and positive appraisals, although the specific nature and consequences of celebrities’...

We explore the consequence for taxation and regulation of bonus pay when investors are protected by taxpayers from downside risk. The paper develops a model where workers in financial sector firms make decisions about effort and risktaking which are influenced by the structure of bonus pay....

We provide an equilibrium multi-asset pricing model with micro- founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Inter-organizational systems operate in an area where there are many interested parties. If the views of these interested parties are not explored and taken into consideration before and during the development of an inter-organizational system, it is likely that the implementation of this system...