The Draft Statute of the European System of Central Banks: A Commentary
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The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market
Following Lawrence Harris' (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of...
Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio...
On The Preservation of Deterministic Cycles When Some Agents Perceive Them To Be Random Fluctuations
Some recent equilibrium models, based on perfect foresight, give rise to complex but deterministic fluctuations in prices and quantities. We modify...
Intertemporal Asset Pricing Without Consumption
This paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In...
Does the CAPM Explain Why the Dividend Yield Helps Predict Returns?
This paper measures risk using proxies based on a GARCH-M model or an instrumental variables method. Using US data, it finds that the lagged dividend...
Auction Markets, Dealership Markets and Execution Risk
Dealers are suppliers of liquidity: in this respect their role is similar to that played by speculators in auction markets. However, dealers are a...
Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion
The aim of the paper was to present a theoretical explanation of the effect of the mimetic contagion on the dynamics of the market price of a...
