Publications

In this paper we assess the performance of the New Keynesian IS Curve for the G7 countries. We find that there is an IS puzzle for both the purely...

We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...

Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...

Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...

This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the...

This paper examines the unfinished agenda of the governance structure for financial regulation and supervision in Europe. In this unfinished agenda...

We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...

We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...

Using stochastic modelling, we demonstrate that the best investment strategy for the accumulation phase of a defined contribution pension plan is one...

Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...

The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...

The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...

Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common method for this purpose, though...

The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.

It changes the...

Liquidity, defined as the ease with which an asset may be marketed, has a self-fulfilling dimension. If investors in the primary market for a new...