Discussion Papers

We develop a model of monetary and fiscal policy where the time inconsistency of optimal monetary policy is due to the effects of tax distortions. If...

Several authors have derived closed-form option prices in models where the underlying financial variable follows a diffusion process with the...

In this paper we, first, by explicitly taking account of the private sector's influence and pressure on the monetary authorities, provide a more...

The combination of post-takeover moral hazard by the bidder and free-riding by the target shareholders leads the former to acquire in a tender offer...

This paper argues that the ownership structure of a firm acts as a commitment device to delegate a certain degree of authority from the shareholders...

This paper examines alternative methods for making inferences about the value and dynamics of (unobserved) credit quality from market prices. Using...

This paper compares liquidity and informational efficiency in a computerized and a traditional open outcry market. We use data for the Nikkei Stock...

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...

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...

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...

This paper tests portfolio efficiency in a multivariate context using Bayesian techniques and extends the Bayesian portfolio efficiency literature by...

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...

Some Real Time Gross Settlement (RTGS) systems require the explicit provision of intra-day liquidity. This can be provided through either...

This paper presents a series of empirical tests of the traditional Consumption Based Capital Asset Pricing Model using data from the German, Japanese...

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...