This paper utilizes a statistical model of competing risk proportional hazards to study default and prepayment in unsecured personal loans. The model accounts for fixed interval sampling and unobserved borrower heterogeneity. A simulation experiment with four different baseline hazards and four...

This paper examines the argument that the fixed exchange rate regime should be preferred to the flexible rate regime because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two-country overlapping generations model, where markets are...

This paper tests the hypothesis that traders have rational expeatations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features...