We develop a two-country international asset pricing model in which investors are heterogeneous. Exchange rate dynamics give rise to a currency risk premium, uncovered interest parity is violated. Countries whose output growth is expected to be sufficient to satisfy growth in demand have high...

Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the...

The Eurozone is in the midst of a deep crisis. We argue that the attempts to control government deficits and debts using the Stability and Growth Pact have failed. Moreover, austerity policies are inducing downward spirals in terms of growth. Political leaders have promised deeper political,...

We develop a two-country international asset pricing model in which some investors face leverage constraints. In contrast to models with a single `world' bond, we show that tightening regulation can lead to the risk free interest rate rising. When demand for borrowing is high, a tightening of...

Research Purpose: Terrorism is one of today's biggest challenges for the western world. A country can be put down to its knees, economies turned over by a bomb. Understanding the intricate links between financial markets and terrorism doesn't only allow us to anticipate the society's reaction...

There has been extensive literature on effects of short-sale constraints. A most widely study is Miller (1997) who argues that given the short-sale constraints, investors with bearish information cannot trade in the market unless they already hold the stocks. As a consequence, stock prices...

Despite a large literature studying the link between population aging and financial market returns and some limited studies on the market implications of the pension reform, little has been done to quantify the actuarial impact of an asset allocation shift by pension funds. The latter has become...

This Appendix comprises proofs of propositions and lemmas in the main paper.The paper "Asset Pricing Frictions in Fragmented Markets" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2188687" http://ssrn.com/abstract=2188687

This paper presents new insights into the dynamics and determinants of arbitrage mispricing in and across seven of the world's largest and most liquid financial markets. Specifically, this paper analyzes mispricing between nominal and inflation-linked bonds (ILB mispricing) in the G7 government...

In this paper, we describe the development and current status of anti-manipulation rules as they apply to wholesale electricity and natural gas markets in the United States and the European Union, including the institutions that are responsible for overseeing these rules. We then compare and...