What happens when you regulate risk?: evidence from a simple equilibrium model
The implications of Value-at-Risk regulations are analyzed in a CARA-normal general equilibrium model. Financial institutions are heterogeneous in...
Macroeconomic news, order flows and exchange rates
Under rational expectations and efficient markets, the news contained in public information announcements is directly impounded into prices with there...
What is a promise from the government worth?: measuring and assessing the implications of political risk in state and personal pension schemes in the United Kingdom
There are three key types of political risk facing state and personal pension schemes: those induced by demographic, economic and pure political...
Common factors in conditional distributions for Bivariate time series
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...
Pension fund governance and the choice between defined benefit and defined contribution plans
Recent events in several countries have underscored the importance of good governance in private occupational pension plans. The present paper uses...
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...
The near impossibility of credit rationing
Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...
A local instrumental variable estimation method for generalized additive volatility models
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...
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...
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...
Tranching
The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...
The role of money in the transmission mechanism of monetary policy: evidence from Thailand
Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...
Does reinsurance need reinsurers?
The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...
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...
UK pension fund management after Myners: the hunt for correlation begins
The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.
It changes the...
Self-fulfilling liquidity and the coordination premium
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...
