The Challenge of European Integration for Prudential Policy
The economic unification of Europe is taking a long time. It has become more challenging with the advent of financial integration and the single...
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...
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...
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...
Likelihood-based Estimation of Latent Generalised ARCH Structures
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these...
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
An order flow model, where the coded identity of the counterparties of every trade is known, hence providing institution level order flow, is applied...
Evaluation of Joint Density Forecasts of Stock and Bond Returns: Predictability and Parameter Uncertainty
One of the most important findings in empirical finance has been the fact that returns are not i.i.d. Predictability, or time variation in the...
Financial System Requirements for Successful Pension Reform
This paper examines the financial system prerequisites needed for the successful delivery of funded private pensions. In particular, it examines the...
FCIs and Economic Activity: Some International Evidence
A Monetary Conditions Index (MCI), a weighted average of the short-term real interest rate and the real exchange rate, is a commonly used indicator of...
The IS Curve and the Transmission of Monetary Policy: Is there a Puzzle?
In this paper we assess the performance of the New Keynesian IS Curve for the G7 countries. We find that there is an IS puzzle for both the purely...
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...
