The use of different currencies in the invoicing of international trade transactions plays a major role in the international transmission of economic fluctuations. Existing studies argue that an exporter’s invoicing choice reflects structural aspects of her industry, such as market share and...

There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...

Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current asset price and risk about the future asset price....

Recent crises have seen very large spikes in asset price risk without dramatic shiftsin fundamentals. We propose an explanation for these risk panics based on selffullling shifts in risk made possible by a negative link between the current assetprice and risk about the future asset price. This...

This paper studies the Cass-Koopmans-Ramsey model of optimal economic growth with a representative agent whose preferences for consumption can be gradually varied between the standard CES case and Kahneman and Tversky's prospect utility. The numerical analysis of a specific parametrization shows...

This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall...

Filtrations have been introduced by Doob and have been a fundamentalfeature of the theory of stochastic processes. Most basic objects, such asmartingales, semimartingales, stopping times or Markov processes involvethe notion of filtration.[...]

In the presence of transactions costs, no matter how small, ar-bitrage activity does not necessarily render equal all riskless rates ofreturn. When two such rates follow stochastic processes, it is not opti-mal immediately to arbitrage out any discrepancy that arises betweenthem. The reason is...

Consider an Rd-valued semimartingale S and a sequence of Rd-valuedS-integrable predictable processes Hn valued in some closed convex set K C Rd,containing the origin. Suppose that the real-valued sequence Hn * S converges toX in the semimartingale topology.[...]

Macroeconomic time series often involve a threshold effect in theirARMA representation, and exhibit long memory features. In this paperwe introduce a new class of threshold ARFIMA models to account forthis. The threshold effect is introduced in the autoregressive and/or thefractional integration...