Discussion Papers

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 Cash is obsolete.”...

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

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...

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...

There are two fundamental puzzles about trade credit: why does it appear to be so expensive, and why do input suppliers engage in the business of...

This paper offers an option pricing framework grounded in econometric microstructure modelling. We consider a model where stock price dynamics follow...

We develop a simple binomial model of liquidity and credit risk in which a bondholder has the option to time the sale of his security, given a...

I study an example of a coordination game, and examine the robustness of equilibrium predictions with respect to changes in the information structure...

Markov switching models with time-varying means, variances and mixing weights are applied to characterize business cycle variation in the probability...