Discussion Papers

A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...

Recent events in several countries have underscored the importance of good governance in private occupational pension plans. The present paper uses...

We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...

Equilibrium credit rationing in the sense of Stiglitz and Weiss (1981) implies the marginal cost of funds to the borrower is infinite. So borrowers...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature...

We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...

We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...

Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...

The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...

The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...

This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between...

We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into...

The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.

It changes the...

Liquidity, defined as the ease with which an asset may be marketed, has a self-fulfilling dimension. If investors in the primary market for a new...

We develop a structural model of an industry with many entrepreneurial firms in order to investigate the cyclical behaviour of aggregate fixed...

This paper studies how the introduction of social learning with costs to delay affects coordination games with incomplete information. We present a...