Discussion Papers

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...

A derivative asset is a security whose terminal pay-off depends entirely on the price of one or more underlying assets. Call and put options on a...

In 1986 Ho/Lee presented a discrete-time binomial model of the stochastic movements of the term-structure of interest-rates. It has since been...

We contrast equilibria in loan markets under bilateral bank-borrower relationships, in which proprietary technological knowledge of borrowers is not r...

We analyze optimal schemes for privatization in a transitional economy. In many cases, established Western firms are good candidates for large...

The stability of the EMS depends crucially on realignment expectations of the market participants. In this paper we discuss how to measure such...