[...]In this article, we study the influence of market liquidity anddynamic trading strategies on the short-run dynamics of theyield curve. Specifically, we focus on the recent behavior ofintermediate-maturity interest rates for evidence of marketliquidity effects arising from the hedging of...

[...]Early in the morning of each business day, the major foreignexchange trading firms send their customers lists oftechnical trading signals for that day. Timely technical signalsare also supplied by major real-time information providers.These signals, which are based primarily on prior price...

In this paper, we address this question, exploringthe interface between long-horizon financial riskmanagement and long-horizon volatility forecastabilityand, in particular, whether long-horizon volatility isforecastable enough such that volatility models are usefulfor long-horizon risk...

The purpose of this paper is to present a framework forincentive-compatible regulation that would enable regulatorsto ensure that riskier banks maintain higher capitalholdings.Under the precommitment approach, a bankannounces the appropriate level of capital that covers themaximum value of...

[...]This paper presents an overview of the new capitalrequirements. In the first section, we describe the structureof the requirements and the considerations that went intotheir design. In addition, we address some of the concernsthat have been raised about the methods of calculating...

The decline in unskilled workers’ real wagesduring the 1980s in the United States andthe increase in their unemployment inEurope (due to the comparative inflexibilityof European labor markets vis-à-vis those in the UnitedStates)1 have prompted a search for possible explanations.This search...

[...]We conclude that technological change, combinedwith overall growth in the capital stock, is the most importantfactor driving the growing wage inequality betweenlow-skilled and high-skilled workers. Increased competitionfrom abroad, both from developing and industrializedcountries, appears...

This paper tests whether the so-called ‘reach of the market’ helps to explain ‘why Europe’ and ‘why north-western Europe’. By looking at grain markets from the late seventeenth to the early twentieth century, this study concludes that the process of commodity market integration...