Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage- free model of the yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...

A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within the standard dividend discount model. This paper proposes a resolution based upon a model that contains both a random supply of risky assets and finitely lived agents who trade...

If co-existing parallel markets are efficient, then arbitrage will maintain a correct pricing relationship. A related question is whether two parallel emerging markets offering more or less the same securities but using different institutional designs, can behave as a single, fully integrated...

This paper explores the implications of investors’ everyday mild feelings for aggregate asset returns. To this end, it introduces a novel class of state dependent preferences - happiness maintenance preferences - into the standard Mehra and Prescott (1985) economy by allowing investors’...

The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...

In this paper we study asset prices in a parsimonious two-agent macroeconomic model with two key features: limited participation in the stock market and heterogeneity in the elasticity of intertemporal substitution in consumption. The parameter values for the model are taken from the business...

An important literature has pointed out the coordination problems faced by the agents, in particular the financial one when they have to manage risk and their portfolio. If we follow Kaldor and its definition of speculation, then we could point out that in this case agents are short term...

The thrust of current deposit insurance reform--risk-based insurance premiums and capital requirements--is an effort to price deposit insurance more fairly. Fairly pricing deposit insurance eliminates inequitable wealth transfers, but it does not lead to an efficient equilibrium. This paper...

In a finite-trader version of the Diamond-Dybvig (1983) model, the symmetric, ex-ante efficient allocation is implementable by a direct mechanism (i.e., each trader announces the type of his own ex-post preference) in which truthful revelation is the strictly dominant strategy for each trader....

CAPITAL ACCUMULATION HAS BEEN EMPHASISED AS THE MAJOR FACTOR GOVERING THE RATE OF DEVELOPMENT. THIS STUDY THEREFORE AIMS EXPLORING IN THE LIGHT OF PAST TRENDS, THE ROLE AND SCOPE OF COMMERCIAL BANKS AS FINANCIAL INTERMEDIARIES IN MOBILIZING DOMESTIC SAVINGS FOR DEVELOPMENT AND THE CONSTRAINTS IN...