Discussion Papers

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...

We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...

We develop an incomplete contract model to analyze the enlargement strategy of a club. An applicant is characterized by his wealth and the degree of...

This paper investigates whether banks’ loan supply depend on internally generated capital in a fashion that varies according to the size-structure of...

Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their...

We consider a model of optimal bank closure rules (cum capital replenishment by banks), with Poisson-distributed audits of the bank’s asset value by...

One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...