Discussion Papers

Risk management systems in current use treat the statistical relations governing asset returns as being exogenous, and attempt to estimate risk only...

It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, optimising agents. This paper proposes a rational...

We study the relation of financial development and the pace of technological advance in a dynamic agency theoretic model. A firm which is financed by...

Recent debate on the reform of the international financial architecture has highlighted the potentially important role of the official sector in...

In this paper we explain the apparent "diversification discount" of conglomerates without assuming inefficient-cross subsidisation through internal...

This paper investigates, in a simple model of overlapping moral hazard problems between banks and firms, how the number of bank relationships affect...

The paper sets out to tackle the following puzzle when insiders of a firm have more information than outside investors. The insiders' desire to sell...

In this paper we provide a characterisation of the welfare properties of rational expectations equilibria of economies in which, prior to trading...

We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show...

“Cash is dirty ... Cash is heavy ... Cash is inequitable ... Cash is quaint, technologically speaking ... Cash is expensive ... Cash is obsolete.”...

Two features distinguish residential real estate from financial assets: households’ consumption demand for a dwelling and the indivisibility of...

This paper estimates a structural times series model of return volatility. We argue that the structural time series approach to GARCH modelling first...

This paper analyzes the interaction between legal shareholder protection, managerial incentives, monitoring, and ownership concentration. Legal...

Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of...

Do large investors increase the vulnerability of a country to speculative attacks in the foreign exchange markets? To address this issue, we build a...

We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and...