Discussion Papers

Inter-Dealer trading is an important but rarely discussed aspect of many financial markets. This paper allows for trading between market makers on the...

Presidential Lecture delivered by Mervyn King (Bank of England and London School of Economics), to the European Economic Association on 27th August...

The empirical objective of this study is to account for the time-variation in the covariances between stock markets, and to assess the extent of...

We model competition among middlemen who buy from sellers and sell to buyers. If middlemen compete in bid prices in the first stage, a Walrasian...

This paper considers unit root regressions in data having simultaneously extensive cross-section and time-series variation. The standard least squares...

This paper considers a model of growth and income distribution in the presence of imperfect capital markets. Moral hazard on the part of borrowers is...

This paper analyses the cost of trading French shares on two exchanges, the Paris Bourse and London's SEAQ International. Using a large data set...

We develop a theory of long term debt based on the idea that debt and equity differ in their priority status relative to future corporate cash...

There is a widespread belief that UK bankruptcy procedures are not working well, in spite of the 1986 reforms. A recent Coopers and Lybrand report...

A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state space form. The method is...

This is considerable empirical evidence that most investors participate in only a limited number of markets. Once the participation decision is...

Realignment expectations which measure exchange rate credibility are analyzed for European exchange rates, using daily financial data since the...

Fixed exchange rates are less volatile than floating rates. But the volatility of macroeconomic variables such as money and output does not change...

A large body of empirical research has found that stock returns tend to be higher in January than in other months. One possible explanation is that...

Within an optimal contracting framework, we analyze some important aspects of debt structure: the number of creditors a company borrows from; the...

This paper reassesses the UK results of significant abnormal returns from directors' trading for a new sample of directors' trades 1984-1986, and...