Discussion Papers

Using transactions data from the London Stock Exchange, the paper estimates the extent to which market maker's prices are influenced by trades (order...

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This paper addresses the economics of mass privatization in Germany, Czechoslovakia, Hungry and Poland; it provides a summary description of the...

Traditional empirical strategies for studying convergence—more generally, the dynamics and determinants of economic growth—can be misleading if...

This paper investigates the empirical relationship between volatility, average spread, and number of quotations in the foreign exchange spot market...

This paper combines three strands of recent work in theoretical macroeconomics: (i) general equilibrium models with "sunspot solutions", i.e...

It is often argued that greater transparency of the trading process enhances market liquidity by reducing the opportunities for taking advantage of...

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This paper investigates the link between external monetary disturbances and the domestic economy in England during the great period of the Gold...

This paper presents a strategic model of temporary leverage. When repayment of senior debt relies upon future investment, shareholders may credibly...

We investigate on three exchange rate series the profitability of signals generated by the breaking of levels of support and resistance identified and...

Chaos theory is an exciting new development. The modelling of non-linear deterministic mathematical system can help to explain events in several...

We present a feasible estimation method for maximum likelihood estimation of factor models in which the common factors are subject to ARCH-type...

In a financial contracting environment asymmetric information may determine whether two projects are incorporated jointly as a single firm or...