We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for observable differences, including rating, financial...

This paper explores a pricing algorithm which behaves as a Walrasian auctioneer under the following constraints: [i] traders arrive randomly and each sales/purchase order should be carried out at the currently posted price (sequential service), [ii] the auctioneer need not know the exact...