Publications

Download not available

We compare equilibrium trading outcomes with and without participation by an informed insider, assuming inflexible ex ante aggregate investment...

This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price...

Federal governments typically apply fiscal rules to impose fiscal discipline on lower levels of government. Analogously, by trading in government debt...

This paper examines the vulnerability of banks in EMU countries to shocks to default risk premiums on public debt. This vulnerability depends on (1)...

This paper considers a two country economy similar to that in Obstfeld and Rogoff (1995). We build on their model by distinguishing between sticky...

I study an economy in which entrepreneurs seek financing for longterm projects from capital-constrained intermediaries, who specialise in monitoring...

Download not available

In competitive dealership markets, several transactions may take place within the same time interval so that observed prices cannot be ordered...

This paper investigates whether block trades in European cross-quoted securities executed on the London Stock Exchange's SEAQ-I market produce any...

This paper addresses the issue of the optimal behaviour of the Lender of Last Resort (LOLR) in its microeconomic role regarding individual financial...

We show that market discipline can be effective in resolving the moral hazard problem which arises when depositors do not know whether bankers are...

We present a continuous-time asset pricing model of the levered firm where shareholders select not only the timing but also the form of control...

This paper derives the moments for a range of Markov switching models. We characterize in detail the patterns of volatility, skewness and kurtosis...

This paper applies an extended and generalized version of the recursive modelling strategy developed in Pesaran and Timmermann (1995) to the UK stock...