Discussion Papers

In this paper we provide a characterisation of the welfare properties of rational expectations equilibria of economies in which, prior to trading...

We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show...

This study empirically examines the Fama-French three-factor model of stock returns for India. We find evidence for pervasive market, size, and book...

This paper considers the impact of financial contracting on growth by exploring a model where entrepreneurs initially do R&D but subsequently need...

Using a new database covering some 91 supervisory agencies, this paper examines how important various skilled experts are in the regulatory process...

Two features distinguish residential real estate from financial assets: households’ consumption demand for a dwelling and the indivisibility of...

“Cash is dirty ... Cash is heavy ... Cash is inequitable ... Cash is quaint, technologically speaking ... Cash is expensive ... Cash is obsolete.”...

This paper estimates a structural times series model of return volatility. We argue that the structural time series approach to GARCH modelling first...

This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal...

Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of...

Do large investors increase the vulnerability of a country to speculative attacks in the foreign exchange markets? To address this issue, we build a...

Creditors of a distressed borrower face a coordination problem. Even if the fundamentals are sound, fear of premature foreclosure by others may lead...

We study the dynamics of the spread between U.S. corporate and Treasury bonds. We foloped for interest rate processes we try to infer from the data...

We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and...

This paper puts forward the existence of financing constraints as a possible explanation for two main empirical regularities about inventories; that...

This paper shows that if moral hazard leads to credit rationing, an appropriate usury law must raise social welfare. Under market clearing, a usury...