Discussion Papers

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...

The existence of multiple banking in the German "Hausbank" system is explained by a commitment problem on the side of the banks. Banks are faced with...

This paper is a theoretical study into how credit constraints interact with aggregate economic activity over the business cycle. We construct a model...

This paper considers a model of financial intermediation based on the existence of a moral hazard problem in the choice of investment projects by a...

A salient feature of recent currency speculations in the European Exchange Rate Mechanism is that the speculators can be big strategic players in the...