The paper introduces a model of bid/ask price formation in an imperfectly centralized forex dealership market in continuous time. The dealers have costly access to best quotes while interpreting signals from the joint dealer-customer order flow and deciding upon their own price quotes and...

The paper introduces a transition from an exchange rate target zone to the free float in a dynamic general equilibrium model of production, trade and consumption under diffusion uncertainty in a small open economy. The loss of credibility and subsequent collapse of the target zone is modeled by...

The paper studies dynamic equilibria in international financial markets with consumption and portfolio optimizing agents. The arising stochastic dymanic optimization problems with state variable (in particular: liquidity) constraints are analyzed by means of the adjoint/Euler equation for the...

The paper studies the parity conditions between assets denominated in different currencies, traded in a wellintegrated segment of the international capital market, and derives the consequences for the exchange rate expectations. The main objective is to assess the uncovered asset return parity...

The paper derives the adjoint/Euler equation for the co-state process of optimal control of diffusions in both integral and differential forms, as a part of the Stochastic Maximum Principle. The result is applied to the consumption and portfolio selection problems with statevariable-dependen t...

The paper proposes a model of multiple dealer forex trade in two variants: for direct and brokered market organization. The equilibrium order flow pattern is derived as a function of shadow prices (marginal valuations) of FX holdings across market participants. The shadow currency values can be...

The paper introduces a model of price formation in an economy with a decentralized dealership market for each of the traded securities, in continuous time. Each dealer is a competitive liquidity provider for non-dealer investors in the partial market for the given security. Quotes are in the...

The paper investigates the importance of domestic and foreign liquidity constraints and variablity of various sources of household income for the properties of the consumption function in the Czech economy, with the consequences for monetary policy and the exchange rate. For this purpose, the...

A model of loan negotiation between a bank and a firm is applied to a situation when the borrowing producer receives support from the government in the form of a sales or investment subsidy. A pre-condition of obtaining government support is the company's expenditure in the form of a lobby...

The paper deals with the transmission of monetary policy inside the fmancial sector. The objective is to link an optimizing stochastic model of portfolio decisions by a representative financial institution with a number of features that this optimizing behavior implies for the monetary...