Banking and Industry in Japan
This paper contains a review the history of the Japanese economy since 1931.
A Theory of Debt Based on the Inalienability of Human Capital
Consider an entrepreneur who needs to raise funds from an investor, but cannot commit not to withdraw his human capital from the project. The...
Diffusion of Technical Change and the Identification of the Trend Component in Real GNP
The paper analyzes identification issues raised by general dynamic specifications of the trend, as opposed to the conventional random walk, in both...
The Relative Importance of Permanent and Transitory Components: Identification and some Theoretical Bounds
Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP. Consequently, a...
Auction and Dealership Markets: What is the Difference?
In the 1980s, the practice of listing stocks in several exchanges has become more frequent, and as a result investors have gained access to...
Central Bank Forex Intervention Assessed in Continuous Time
This paper looks at some of the principal characteristics of foreign exchange intervention by central banks. The approach is novel in that virtually...
Quadratic Arch Models: A Potential Re-Interpretation of Arch Models
A new Quadratic ARCH model for the conditional variance of a time series is introduced. This model can be interpreted as a second-order Taylor...
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
Download is not available
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...