Fiscal Policy and the Sub-Optimality of the Walsh Contract for Central Bankers
We develop a model of monetary and fiscal policy where the time inconsistency of optimal monetary policy is due to the effects of tax distortions. If...
Option Pricing with a Quadratic Diffusion Term
Several authors have derived closed-form option prices in models where the underlying financial variable follows a diffusion process with the...
What is the Central Bank's Game?
In this paper we, first, by explicitly taking account of the private sector's influence and pressure on the monetary authorities, provide a more...
Why Higher Takeover Premia Protect Minority Shareholders: Tender Offers When Dilution is Endogeneous
The combination of post-takeover moral hazard by the bidder and free-riding by the target shareholders leads the former to acquire in a tender offer...
Large Shareholders, Monitoring and the Value of the Firm
This paper argues that the ownership structure of a firm acts as a commitment device to delegate a certain degree of authority from the shareholders...
The Term Structure of Credit Risk: Estimates and Specifications
This paper examines alternative methods for making inferences about the value and dynamics of (unobserved) credit quality from market prices. Using...
Floor Trading versus Electronic Screen Trading: An Empirical Analysis of Market Liquidity in the Nikkei Stock Index Furtures Market
This paper compares liquidity and informational efficiency in a computerized and a traditional open outcry market. We use data for the Nikkei Stock...
Financial Fragility in the Early 1990s - What Can Be Learnt from International Experience?
One of the distinctive features of the recent recession in a large number of OECD countries was financial fragility, whereby the pattern of economic...
Institutional Investors, Unstable Financial Markets and Monetary Policy
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Endogenous Cycles in a Stiglitz-Weiss Economy
We show that all it takes to produce cycles in a dynamic Stiglitz-Weiss economy is the inclusion of a state variable. The resulting simple model...
Central Bank Reputation and Conservativeness
In a monetary game played by the private sector and a central banks (CB), who has private information, reputation may not completely solve the CB time...
Delay and Cycles
This paper examines a dynamic model of the business cycle in which delay plays a crucial role. Since the profitability of investment depends of the...
Bayesian Inference and Asset Pricing
This paper tests portfolio efficiency in a multivariate context using Bayesian techniques and extends the Bayesian portfolio efficiency literature by...
