Floor Trading versus Electronic Screen Trading: An Empirical Analysis of Market Liquidity in the Nikkei Stock Index Furtures Market
This paper compares liquidity and informational efficiency in a computerized and a traditional open outcry market. We use data for the Nikkei Stock...
Financial Fragility in the Early 1990s - What Can Be Learnt from International Experience?
One of the distinctive features of the recent recession in a large number of OECD countries was financial fragility, whereby the pattern of economic...
Institutional Investors, Unstable Financial Markets and Monetary Policy
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Endogenous Cycles in a Stiglitz-Weiss Economy
We show that all it takes to produce cycles in a dynamic Stiglitz-Weiss economy is the inclusion of a state variable. The resulting simple model...
Central Bank Reputation and Conservativeness
In a monetary game played by the private sector and a central banks (CB), who has private information, reputation may not completely solve the CB time...
Delay and Cycles
This paper examines a dynamic model of the business cycle in which delay plays a crucial role. Since the profitability of investment depends of the...
Bayesian Inference and Asset Pricing
This paper tests portfolio efficiency in a multivariate context using Bayesian techniques and extends the Bayesian portfolio efficiency literature by...
Risk and Return in the Spanish Stock Market
In this paper we use Spanish data to test the restrictions that a dynamic APT-type asset pricing model imposes on the risk-return relationship. For...
Pricing Intra-day Credit in Real Time Gross Settlement Systems
Some Real Time Gross Settlement (RTGS) systems require the explicit provision of intra-day liquidity. This can be provided through either...
Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model: Germany, Japan and USA
This paper presents a series of empirical tests of the traditional Consumption Based Capital Asset Pricing Model using data from the German, Japanese...
Auditor Performance, Implicit Guarantees and the Valuation of Legal Liability
Liability exposure is now such a major concern for auditors that any discussion of equilibrium audit fee structures needs to take account of the expec...
Multiple Banking as a Commitment Not To Rescue
The existence of multiple banking in the German "Hausbank" system is explained by a commitment problem on the side of the banks. Banks are faced with...
