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Discussion Papers

External Financing Costs and Banks' Loan Supply: Does the Structure of the Bank Sector Matter

This paper investigates whether banks’ loan supply depend on internally generated capital in a fashion that varies according to the size-structure of...

September 2000
DP 357
Charlotte Ostergaard

Discussion Papers

Strategic Trading and Learning About Liquidity

Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their...

August 2000
DP 356
Harrison Hong
Sven Rady

Discussion Papers

Bank Capital Regulation With Random Audits

We consider a model of optimal bank closure rules (cum capital replenishment by banks), with Poisson-distributed audits of the bank’s asset value by...

August 2000
DP 354
Sudipto Bhattacharya
Manfred Plank
Gunter Strobl
Josef Zechner

Special Papers

Can Central Banking Survive the IT Revolution?

August 2000
SP 125
Charles Goodhart

Special Papers

Monetary Transmission Lags and the Formulation of the Policy Decision on Interest Rates

August 2000
SP 124
Charles Goodhart

Discussion Papers

Reallocation of Corporate Resources and Managerial incentive in Internal Capital Markets

One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...

July 2000
DP 353
Sandro Brusco
Fausto Panunzi

Special Papers

Financial Stability in the Euro Area: Some Lessons from US Financial History

May 2000
SP 123
E Philip Davis

Discussion Papers

Yield curve estimation by kernel smoothing

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...

April 2000
DP 515
Oliver Linton
Enno Mammen
J. Nielsen
C. Taanggard

Discussion Papers

Pricing Convexity Adjustment with Wiener Chaos

This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...

April 2000
DP 351
Eric Benhamou

Discussion Papers

A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks

This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...

April 2000
DP 350
Eric Benhamou

Discussion Papers

Public Trading and Private Incentives

This paper studies the link between public trading and the activity of a firm's large shareholder who can affect firm value. Public trading results in...

March 2000
DP 347
Antoine Faure-Grimaud
Denis Gromb

Discussion Papers

Excessive Continuation and Dynamic Agency Costs of Debt

This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...

March 2000
DP 348
Jean-Paul Decamps
Antoine Faure-Grimaud

Discussion Papers

Debt, Incentives and Performance: Evidence from UK Panel Data

A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...

March 2000
DP 344
Roberta Dessi
Donald Robertson

Discussion Papers

Valuation and Martingale properties of shadow prices

Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...

March 2000
DP 342
Lucien Foldes

Discussion Papers

Semiparametric Estimation of a Characteristic-based Factor Model of Stock Returns

This paper develops a new estimation procedure for characteristic-based factor models of stock returns. It describes a factor model in which the...

February 2000
DP 346
Gregory Connor

Discussion Papers

Banks as Catalysts for Industrialization

We provide a theoretical framework to address the historical debate about the role of banks in industrialization. We introduce banks into a model of...

February 2000
DP 343
Marco Da Rin
Thomas Hellman

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Fixed: Why Personal Finance is Broken, and How to Make it Wo ...

The 3rd Sir Oliver Hart Conference on Sustainable Investing

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Creditor-on-Creditor Violence and Secured Debt Dynamics

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Artificial intelligence and financial crises

Shadow Banks on the Rise: Evidence Across Market Segments

The Structure of Leveraged Buyouts and the Free-Rider Proble ...

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