Influential research by members of the Financial Markets Group has been published in some of the most recognised international journals in the field.
Click to see a collection of notable FMG working papers which have been published in American Economic Review, Econometrica, Journal of Finance, Journal of Financial Economics, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies, and Review of Financial Studies.
Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market
This paper examines two aspects of spot FX volatility. Using intra-daily quotation data on the Deutsche Mark/Dollar we simultaneously estimate the...
Trading Volumes and Transaction Costs In the Foreign Market - Evidence from Daily Dollar-Yen Spot Data
A Generalized Method of Moments estimation of the determinants of dollar/yen bid–ask spreads is undertaken. In particular, a long time-series of daily...
The Dynamics of Default and Debt Reorganization
This article documents the fact that when debtors decide to default on their obligations too early, it is in the creditors’ collective interest, as...
Capital Adequacy and Foreign Exchange Risk Regulation - Recent Developments in Industrial Countries
Download not available
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...
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
Download not available
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...
