We present a method for identifying and estimating the gains from trade in limit order markets and provide new empirical evidence that the limit order market is a good market design. The gains from trade in our model arise because traders have different valuations for the stock. We use...

We analyse order placement strategies in a limit order market, using data on the order flow from the Stockholm Stock Exchange. Traders submitting market or limit orders trade off the order price against both the execution probability and the winner’s curse risk associated with different order...

We develop a model of price formation in a dealership market where monitoring of the information flow requires costly effort. The result is imperfect monitoring, which creates profit opportunities for speculators, who do not act as dealers but simply monitor the information flow and quote...

This paper employs cohort technique and Consumer Expenditure Survey data to construct average age-profiles of consumption and income over the working lives of typical households across different education and occupation groups. Using these profiles, we estimate a structural model of optimal...

We offer a duality-based methodology for incorporating multi-sector effects of international trade into open economy macroeconomic models, developing the concepts of the dynamic factor price equalization set and the integrated intertemporal equilibrium. Under this approach, the aggregate...

The paper shows that the conversion from national currency bank notes to hard-ECU notes is promoted by the provision of an implicit and free currency call option. This wealth effect is caused by the devaluation-proof definition of this currency. Nevertheless, additional transactions and...

This paper is intended to make four main points that are relevant for previously planned economies in transition to a market economy. First, national output can be increased by reducing or eliminating relative price distortions through price reform and free trade and by thus enhancing...

Given a general belief that jobs last longer in tightly regulated labour markets, the presumption would be that jobs last longer in Italy than they do in Britain. We use two large micro datasets to address this issue. Surprisingly, we find a higher proportion of male workers in Britain than in...

This paper empirically investigates the effects of the US safeguard protection on steel imports in 2002 on the mark-ups of EU steel producers. We identify a large panel of EU steel producers between 1995 and 2005 affected by the safeguards. Using the Roeger methodology, our results show that the...

A principal contracts with agents who have diverse abilities to forecast changes in their future tastes. While the principal knows that the agent’s tastes are changing, the agent believes that with probability ?, their future preferences will be identical to their present preferences. The...