Multivariate Stochastic Variance Models
Changes in variance, or volatility, over time can be modelled using the approach based on autoregressive conditional heteroscedasticity (ARCH)...
Local Versus Global Convergence Across National Economies
This paper reexamines the ability of the Solow-type growth models to explain the pattern of cross-country growth rates. Recent authors, most notably...
Trading Volumes and Stock Market Prices
This paper examines the empirical relationship between half-hourly trading volume and price quotes announced by market makers for a sample of liquid...
Insider Trading and the Cost of Capital in a Multi-Period Economy
In order to clarify the economic rationale for the argument that insider trading undermines the "confidence" in financial markets, this paper studies...
Institutional Separation between Supervisory and Monetary Agencies
The paper investigates whether monetary policy and banking supervision should be separated, or not. It starts with a historical evolution of the...
A Note on the Proposal for a Council Directive on Deposit Guarantee Schemes
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Financing and Development in Eastern Europe and the Former Soviet Union
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Banking and Industry in Japan
This paper contains a review the history of the Japanese economy since 1931.
A Theory of Debt Based on the Inalienability of Human Capital
Consider an entrepreneur who needs to raise funds from an investor, but cannot commit not to withdraw his human capital from the project. The...
Diffusion of Technical Change and the Identification of the Trend Component in Real GNP
The paper analyzes identification issues raised by general dynamic specifications of the trend, as opposed to the conventional random walk, in both...
