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...
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...
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...
Hedging housing risk in London
This paper investigates the benefits of allowing households to compensate the portfolio distortion due to their housing consumption through...
The impact of wealth on consumption and retirement behaviour in the UK
Housing and pension wealth are shown to be important determinants of personal sector consumption and retirement behaviour in the UK. Housing and state...
A transaction level study of the effects of central bank intervention on exchange rates
We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data...
Consistent testing for stochastic dominance : a subsampling approach
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and...
Returns from active management in international equity markets; evidence from a panel of UK pension funds
This paper proposes new performance decomposition measures that allow us to analyse the sources of returns on the international equity holdings of a...
Loan securitisation: default term structure and asset pricing based on loss prioritisation
Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan...
Performance clustering and incentives in the UK pension fund industry
Despite being largely unconstrained in their investment decisions, we find evidence of clustering in the performance of a large cross-section of UK...
Speculative attacks and financial architecture: experimental analysis of coordination games with public and private information
Speculative Attacks can be modeled as a coordination game with multiple equilibria if the state of the economy is common knowledge. With private...
How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess...
A structural model of corporate bond pricing with co-ordination failure
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
Venture capital contracts and market structure
We examine the relation between optimal venture capital contracts and the supply and demand for venture capital. Both the composition and type of...
Pricing catastrophe insurance derivatives
We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modeling the underlying index as a...
