This paper analyzes the equilibrium trading strategies of informed traders in the presence of market closures defined as periodic predictable stops of trading. We construct a dynamic auction model based on rational strategic behavior with asymmetric information across the agents. Empirical...

Emerging market economies typically experience procyclical public expenditures and private consumption, countercyclical default risk, interest rate spreads, current account and inflation tax rates as well as and higher volatility in consumption than in output. We develop a quantitative...

We study a standard quantitative model of sovereign default in which the government in a small open economy (SMO) decides how much to save and whether to default on its debt. In contrast with previous quantitative studies, we do not assume that a defaulting country is exogenously excluded from...

The q-theory explanations of asset pricing anomalies are quantitatively important. We perform a new asset pricing test by using GMM to minimize the difference between average stock returns in the data and average investment returns constructed from observable firm characteristics. Under various...