A presentation of an equilibrium bond-pricing model driven by two stochastic factors: the real interest rate and the expected rate of inflation. The models parameters are estimated using a maximum-likelihood technique based on a Kalman filter.

This paper presents an equilibrium bond pricing model driven by two stochastic factors: the real interest rate and the expected rate of inflation. The model's parameters are estimated using a maximum likelihood technique based on a Kalman filter. Data on nominal U.S. Treasury securities and...

This paper analyzes the efficiency and distributional consequences of the largest out- of-court restructuring ever ($20 billion of debt). The restructuring was engineered by a five-bank committee composed of the largest creditors, which took effective control of the company at the onset of...

The thesis consists of two parts. The first two essays deal with issues of infrequent trading of stocks, and the third essay concerns a contract called a right of first refusal (RFR). Based on the Beveridge and Nelson (1981, Journal of Monetary Economics) decomposition of an ARIMA process, the...

An examination of banks' optimal deposit-rate-setting behavior when some customers have limited recall, showing that when banks exploit this phenomenon, deposit rates will tend to be set at round fractions and will be relatively "sticky" at these levels.

This paper develops and estimates an equilibrium model of the term structures of nominal and real interest rates. The term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor that models the changing level to which inflation is...

The market prices of developing countries'debts are imperfect indicators of the countries'payment capacity for three reasons: the concave shape of the debt's payoff structure, the presence of third-party guarantees, and the differences in the terms of various debt claims. Claessens and Pennacchi...

A model of multimarket spatial competition is developed where small, single-market banks compete with large, multimarket banks (LMBs) for retail loans and deposits. Consistent with empirical evidence, LMBs are assumed to have different operating costs, set retail interest rates that are uniform...

The recent wave of bank mergers has raised concern with its effect on competition. This paper examines the influence of concentration and merger activity on consumer loan interest rates. It uses Bank Rate Monitor, Inc. survey data on loan rates quoted weekly by large commercial banks in ten...