Showing 1 - 10 of 14
This Paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets....
Persistent link: https://www.econbiz.de/10005497716
This Paper develops a simple but general methodology to estimate the expected intertemporal marginal rate of substitution or ‘EMRS’, using only data on asset prices and returns. Our empirical strategy is general, and allows the EMRS to vary arbitrarily over time. A novel feature of our...
Persistent link: https://www.econbiz.de/10005656417
This Paper analyses the effect of a possible takeover on information flows and on the terms of trade in business relationships. We consider a long-term relationship between a firm and a privately-informed stakeholder, a buyer for example. In our model, takeovers both increase the surplus from...
Persistent link: https://www.econbiz.de/10005662138
This Paper characterizes the integration patterns of international currency unions (such as the CFA Franc zone and the East Caribbean Currency Area). We empirically explore different features of currency unions, and compare them both to countries with sovereign monies, and to regions within...
Persistent link: https://www.econbiz.de/10005666442
constant markups. The differences are important quantitatively; price differences in Hungarian exports between Germany and the …
Persistent link: https://www.econbiz.de/10008530371
In this paper we estimate a New-Keynesian DSGE model with heterogeneity in price and wage setting behavior. In a recent … study, Coibion and Gorodnichenko (2011) develop a DSGE model, in which firms follow four different types of price setting … heterogeneity in wage rigidity, such as the persistence in price and the wage inflation, which a standard New Keynesian model with …
Persistent link: https://www.econbiz.de/10011249376
We study optimal merger policy in a dynamic model in which the presence of scale economies implies that firms can … the period the merger is proposed. We also find that the ability to commit can lead to a significant welfare improvement …
Persistent link: https://www.econbiz.de/10011084004
Exploiting the Japanese banking crisis as a laboratory, we provide firm-level evidence on the real effects of bank bailouts. Government recapitalizations result in positive abnormal returns for the clients of recapitalized banks. After recapitalizations, banks extend larger loans to their...
Persistent link: https://www.econbiz.de/10005014571
structural approach to infer acquirers’ gains from merging by interpreting a merger as an auction. Using nonparametric methods …
Persistent link: https://www.econbiz.de/10005656211
the respective mono-tonicity properties. If the profit differential between post-merger and pre-merger profits satisfies … equilibria of merger games with simultaneous and sequential moves. The application of our framework to specific oligopoly models … illustrates that the introduction of two-sided asymmetric information may lead to considerable changes in the predicted merger …
Persistent link: https://www.econbiz.de/10005788984