Increasing Social Returns, Learning and 'Catastrophe' Phenomena
We develop a new microeconomic formulation for increasing social returns to labour in an overlapping generations model with production. The economy...
Is There Chaos in Economic Time Series? A Study of the Stock and the Foreign Exchange Markets
Financial markets occasionally exhibit extreme price fluctuations that are difficult to explain, notably October 1987. A mathematical system in which...
News Effects in a High Frequency Model of the Sterling-Dollar Exchange Rate
This paper uses an extremely high frequency data set on the Dollar-Sterling exchange rate to investigate the impact of news events on the very short...
Is The Foreign Exchange Market Characterised by Nonlinearity?
This is a further study of non linear dynamics, chaos, in a huge, continuous time data set for a foreign exchange spot rate, in this case the Dollar...
Asymmetric Information and the Trade-Off Between Cash Flow and Net Present Value
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Dually-Traded Italian Equities: London vs. Milan
Italian blue chip stocks are now actively trade in two markets: the dealers' market of SEAQ International in London and the traditional auction market...
Asset Prices and Persistence in Fundamentals: A Vector Arma Estimation of Expectations Theories For Stocks and Bonds
The paper tests expectations theories for stock prices and interest rates by estimating a vector autoregressive moving average model. The existence of...
Actual and Warranted Relations Between Asset Prices
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do...
Convergence of Recursive Learning Mechanisms to Steady States and Cycles in Stochastic Nonlinear Models
We examine recursive algorithms for learning steady states and cycle in dynamic nonlinear models. Simple generically necessary and sufficient...
Venture Capital Finance With Temporary Asymmetric Learning
We analyse the nature of financial contracts in a passive learning environment where the arrival of information is private to the entrepreneur and...
National Fiscal Policy within EMU: The Fiscal Implications of Maastricht
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