Most of those who take macro and monetary policy decisions are agents.  The worst penalty which can be applied to these agents is to sack them.  Agents thus have loss functions which are bounded above.  We work with a bell loss function which has this property.  With additive uncertainty the...

This paper shows that standard corporate finance theory implies that there is potentially a trade off between the variances of dividends and equity prices. We show how the trade off works in a stochastic difference equation model of dividend policy demonstrating that the solution may be unstable...

No abstract is available.

In this paper we construct a rational expectations model based on a Phillips curve that embodies persistence in inflation. As we assume that the central bank targets the natural rate of output, there is no inflation bias. We derive optimal monetary policy rules that are state-contingent and...

No abstract available.

This paper tries to provide a simple explanation for the empirical finding, documented here and also by Hau, Killeen and Moore (2002), that spreads in the spot USD/EUR market are substantially higher than those in the preceding DEM/USD foreign exchange market. The paper argues that it is...

Following Lawrence Harris (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of clustering in the final digit of bid/ask prices depends on the desired degree of price resolution. The selection of spreads also involves clustering,...

The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes...

No abstract available.

Using a new database covering some 91 supervisory agencies, this paper examines how important various skilled experts are in the regulatory process and the relative usage of different kinds of such experts. We seek to explore what kind of perspective supervisors in different institutional...