Discussion Papers

This paper analyzes the welfare effects of economic transparency in the conduct of monetary policy. We propose a model of monopolistic competition...

Within an asymmetric information set-up in which individuals differ in terms of their risk aversion and can choose whether or not to take preventative...

We propose a speculative attack model in which agents receive multiple public signals. It is characterised by its focus on an informational structure...

This paper examines the choice of tools for managing a firm’s operational risks: cash reserves, insurance contracts, and financial assets under an...

What determines the direction of spread of currency crises? We examine data on waves of currency crises in 1992, 1994, 1997, and 1998 to evaluate...

In this paper we compare overall as well as downside risk mea- sures with respect to the criteria of first and second order stochastic dominance...

Compensation schemes often reward success but do not penalize failure. Fixed salaries with stock options or bonuses have this feature. Yet the...

We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to...

The theory of equalizing differences suggests that employer provided pension benefits should be compensated by reduced wage benefits for an employee’s...

The regulatory story of hedge funds is a remarkable one, especially for an investment class born to remain outside any regulatory oversight.

We argue on theoretical grounds that obligatory compliance with stricter financial reporting rules (e.g., the US Sarbanes-Oxley Act) may entail...

The estimation of the profit and loss distribution of a loan portfolio requires the modelling of the portfolio’s multivariate distribution. This...

This paper presents the Conditional Probability of Default (CoPoD) methodology for modelling the probabilities of loan defaults (PoDs) by small and...

Using cross-sectional analysis of corporate dividend policy we show that large shareholders extract rents from firms and expropriate minority...

First generation models assume that the level of reserves of a Central Bank in a fixed exchange rate regime is common knowledge among consumers, and...

This paper proposes a measure of financial fragility that is based on eco- nomic welfare in a general equilbrium model calibrated against UK data. The...