To analyse the interdependence between monetary and fiscal policy during a financial crisis, we develop an open-economy DSGE model with monetary and fiscal policy as well as financial markets in a continuous-time framework based on stochastic differential equations. Monetary policy is modelled...

This study analyzes a continuous-time N-agent Brownian hidden-action model with exponential utilities, in which agents' actions jointly determine the mean and the variance of the outcome process. In order to give a theoretical justi¯cation for the use of linear contracts, as in Holmstrom and...

This dissertation collects two papers regarding the econometric and economic theoryand testing of the predictability of asset returns. It is widely accepted that stockreturns are not only predictable but highly so. This belief is due to an abundanceof existing empirical literature fi nding often...

We revisit the effects of switching costs on dynamic competition. We consider stationary Markovian strategies, with market shares being the state variable, and characterize a relatively simple Markov Perfect pricing equilibrium at which there is switching by some consumers at all times. For the...

This paper presents a cyclical square-root model for the term structure of interest rates assuming that the spot rate converges to a certain time-dependent long-term level. This model incorporates the fact that the interest rate volatility depends on the interest rate level and specifies the...