Time Series of Commodity Futures Prices
This paper examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price...
Managing Government Default Risk in Federal States
Federal governments typically apply fiscal rules to impose fiscal discipline on lower levels of government. Analogously, by trading in government debt...
The Vulnerability of Banks to Government default risk in the EMU
This paper examines the vulnerability of banks in EMU countries to shocks to default risk premiums on public debt. This vulnerability depends on (1)...
Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy
This paper considers a two country economy similar to that in Obstfeld and Rogoff (1995). We build on their model by distinguishing between sticky...
Financing Entrepreneurs: Optimal Contracts and the Role of Intermediaries
I study an economy in which entrepreneurs seek financing for longterm projects from capital-constrained intermediaries, who specialise in monitoring...
The Third Leg of the Stool: Financial Stability as a Prerequisite for EMU
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Modelling Bid-Ask Spreads in Competitive Dealership Markets
In competitive dealership markets, several transactions may take place within the same time interval so that observed prices cannot be ordered...
Inter-Market Price and Volatility Impacts Generated by Large Trades: The Case of European Cross-Quoted Securities
This paper investigates whether block trades in European cross-quoted securities executed on the London Stock Exchange's SEAQ-I market produce any...
Optimal Bail Out Policy, Conditionality and Creative Ambiguity
This paper addresses the issue of the optimal behaviour of the Lender of Last Resort (LOLR) in its microeconomic role regarding individual financial...
Bank Moral Hazard and Market Discipline
We show that market discipline can be effective in resolving the moral hazard problem which arises when depositors do not know whether bankers are...
Corporate Walkout Decisions and the Value of Default
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...
Moments of Markov Switching Models
This paper derives the moments for a range of Markov switching models. We characterize in detail the patterns of volatility, skewness and kurtosis...
A Recursive Modelling Approach to Predicting UK Stock Returns
This paper applies an extended and generalized version of the recursive modelling strategy developed in Pesaran and Timmermann (1995) to the UK stock...
Foreign exchange intervention and macroeconomic stability
Using a standard monetary policy model, we study how foreign exchange intervention may be used to condition the perception among economic agents of...
