Discussion Papers

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...

This paper develops a simple model of bank lending and liquidity shortages. Firms borrow from banks in the form of long term renegotiable deposit...

Facing a powerful union enables a firm to obtain more wage flexibility and increases the workers' investment. Hence, when the firm must invest, there...

In a transition economy with a rigid production structure and a core of unredeemable enterprises, a restrictive credit policy may result in a Laffer...

This paper investigates the determinants of price quote revisions on the London Stock Exchange for a sample of highly liquid stocks over a two week...

The value of bank charters is an important component of bankruptcy costs to bankers and may constitute an incentive for banks to adopt prudent...

Derivative assets analysis usually takes a model of the underlying price process as given and attempts to value derivative securities relative to that...

This paper proposes an empirical estimation of implied volatility using OLS regression, Error Components, and Dummy Variable models, by regressing the...

Financial indices are constructed to capture the strong common variation in a large number of financial time series. Often, these measures are also of...

This paper analyses a model in which earnings equal the sum of permanent and transitory components. The two components are estimated from the time...

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In this paper, we argue that there may be a contradiction in the use of nominal interest rates to defend a parity in a fixed exchange rate system. The...

This paper begins by noting that Leland's (1992) results on the effects of insider trading are not robust to the introduction of some noise in the...