Management Behaviour and Market Response
We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...
Optimal Expectations
This paper introduces a tractable, structural model of subjective beliefs. Since agents that plan for the future care about expected future utility...
Basel II and Developing Countries: Diversification and Portfolio Effects
Our concerns on the potential impact of the proposed new Basel Capital Accord (Basel II) were first expressed following the release of the second...
The role of bank capital and the transmission mechanism of monetary policy
This paper is a theoretical study of the transmission mechanism of monetary policy in the presence of an endogenous role of bank capital. The basic...
Coordination, learning, and delay
This paper studies how the introduction of social learning with costs to delay affects coordination games with incomplete information. We present a...
Financial Contagion Through Capital Connections: a Model of the Origin and Spread of Bank Panics
Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and multiple banks. The equilibrium...
Economic Policy and Exchange Rate Regimes: What Have we Learned in the 10 Years Since Black Wednesday?
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Britain, Germany and EMU: What have we learned in the 10 years since Black Wednesday? 3 Selected Papers
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Hedging housing risk in London
This paper investigates the benefits of allowing households to compensate the portfolio distortion due to their housing consumption through...
The impact of wealth on consumption and retirement behaviour in the UK
Housing and pension wealth are shown to be important determinants of personal sector consumption and retirement behaviour in the UK. Housing and state...
Internal Ratings, the Business Cycle and Capital Requirements: Some Evidence From an Emerging Market Economy
The concept of risk-based capital requirements enjoys widespread support. Effective implementation, however, requires that risk be measured accurately...
A transaction level study of the effects of central bank intervention on exchange rates
We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data...
Consistent testing for stochastic dominance : a subsampling approach
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and...
In-kind Finance
It is typically less profitable for an opportunistic borrower to divert inputs than to divert cash. Suppliers, therefore, may lend more liberally than...
