UK annuity rates and pension replacement ratios 1957-2002
This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between...
Pensionmetrics 2: stochastic pension plan design during the distribution phase
We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into...
Predatory Trading
This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader...
Corporate Bond Prices and Co-ordination Failure
It has been suggested (Morris, Shin 2001) that co-ordination failure between holders of debt can affect the price of debt. In essence, fear of...
Financing constraints, irreversibility, and investment dynamics
We develop a structural model of an industry with many entrepreneurial firms in order to investigate the cyclical behaviour of aggregate fixed...
Equilibrium Analysis, Banking, Contagion and Financial Fragility
This paper contains a general equilibrium model of an economy with incomplete markets (GEI) with money and default. The model is a simplified version...
The Cross-Section of European IPO Returns
We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...
IPOs: Insights from Seven European Countries
We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...
Management Behaviour and Market Response
We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...
Optimal Expectations
This paper introduces a tractable, structural model of subjective beliefs. Since agents that plan for the future care about expected future utility...
Basel II and Developing Countries: Diversification and Portfolio Effects
Our concerns on the potential impact of the proposed new Basel Capital Accord (Basel II) were first expressed following the release of the second...
The role of bank capital and the transmission mechanism of monetary policy
This paper is a theoretical study of the transmission mechanism of monetary policy in the presence of an endogenous role of bank capital. The basic...
Coordination, learning, and delay
This paper studies how the introduction of social learning with costs to delay affects coordination games with incomplete information. We present a...
Financial Contagion Through Capital Connections: a Model of the Origin and Spread of Bank Panics
Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium...
Economic Policy and Exchange Rate Regimes: What Have we Learned in the 10 Years Since Black Wednesday?
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