Title:Arbitrage, Hedging, and Financial Innovation
Author(s):DOW, JamesDate:1998Type of Publication:ArticleAbstract:I consider the costs and benefits of introducing a new security in a standard framework where uninformed traders with hedging needs interact with risk-averse informed traders, Opening a new market may make everyboby worse ...
Title:Are there Any Reliable Leading Indicators for US Inflation and GDP growth?
Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2006Type of Publication:ArticleAbstract:In this paper, we evaluate the relative merits of three alternative approaches to extracting information from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a ...
Title:Asymptotic Inference on Cointegrating Rank in Partial Systems
Author(s):HARBO, Ingrid; JOHANSEN, Soren; NIELSEN, Bent; RAHBEK, AndersDate:1998Type of Publication:ArticleAbstract:The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, ...
Title:Back to Keynes?
Author(s):VAN DER PLOEG, FrederickDate:2005Type of Publication:Article
Title:Banking Panics and Policy Responses
Author(s):ENNIS, Huberto M.; KEISTER, ToddDate:2010Type of Publication:ArticleAbstract:When policy makers have limited commitment power, self-fulfilling bank runs can arise as an equilibrium phenomenon. We study how such banking panics unfold in a version of the Diamond and Dybvig (1983) model. A run in this ...
Title:Bankruptcy, Finance Constraints, and the Value of the Firm
Author(s):GALE, Douglas; GOTTARDI, PieroDate:2011-01-01Type of Publication:ArticleAbstract:We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature, and default may lead to the sale of the firms' assets at fire sale prices when a finance ...
Title:Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention
Author(s):BARTOLINI, Leonardo; BERTOLA, Giuseppe; PRATI, AlessandroDate:2001Type of Publication:ArticleAbstract:We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the US market for federal funds: depository institutions tend to hold more reserves during ...
Title:Benchmarking Performance
Author(s):COURTY, Pascal; MARSCHKE, GeraldDate:2005Type of Publication:Article
Title:Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing
Author(s):SAIKKONEN, Pentti; LUETKEPOHL, Helmut; TRENKLER, CarstenDate:2006Type of Publication:ArticleAbstract:In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period ...
Title:Britain and Canada and their large neighboring monetary unions, part I
Author(s):HOWARTH, David; VERDUN, Amy; PADFIELD, Melissa; YOUNG, Patricia; WILLETT, Thomas D.; ARTIS, Michael J.; LAIDLER, David; SCHEMBRI, Lawrence; GRUBEL, Herbert; CROWLEY, Patrick M.Date:2006Type of Publication:Article
Title:Business Cycles for G7 and European Countries
Author(s):ARTIS, Michael J.; KONTOLEMIS, Zenon G.; OSBORN, Denise R.Date:1997Type of Publication:ArticleAbstract:This article proposes classical business cycle turning points for the G7 and a number of European countries based on industrial production. This enables us to examine the international nature of cyclical movements free ...
Title:Buyers' Miscoordination, Entry and Downstream Competition
Author(s):FUMAGALLI, Chiara; MOTTA, MassimoDate:2008Type of Publication:ArticleAbstract:This article shows that buyers' coordination failures might prevent entry in an industry with an incumbent firm and a more efficient potential entrant. If there were a single buyer, or if all buyers formed a central ...
Title:Can Non-Linear Time Series Models Generate US Business Cycle Asymmetric Shape?
Author(s):GALVAO, Ana Beatriz C.Date:2002Type of Publication:ArticleAbstract:Fifteen univariate non-linear time series models of US output are evaluated by their ability to reproduce the asymmetric shape of the US business cycle. Two models account for the growth being faster after a trough and ...