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Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

Optimal dynamic risk sharing when enforcement is a decision variable

Koeppl, Thorsten V. - 2003

then persist and the optimal incentive structure changes dynamically over time with third-party enforcement monotonically …

Persistent link: https://www.econbiz.de/10009635888

Risk sharing through financial markets with endogenous enforcement of trades

Köppl, Thorsten V. - 2004

- increase borrowing costs, while interest rates per se depend on the change in enforcement over time. …

Persistent link: https://www.econbiz.de/10009636542

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...

Persistent link: https://www.econbiz.de/10009640455

Interpreting implied risk-neutral densities

Hördahl, Peter; Vestin, David - 2003

apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the … premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that … the differences between the objective and the risk neutral distributions also vary over time. We conclude that one should …

Persistent link: https://www.econbiz.de/10009635905

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...

Persistent link: https://www.econbiz.de/10009636537

Guess what

Koeppl, Thorsten V.; Monnet, Cyril - 2004

Exchanges and other trading platforms are often vertically integrated to carry out trading, clearing and settlement as one operation. We show that such vertical silos can prevent efficiency gains from horizontal consolidation of trading and settlement platforms to be realized. Independent of the...

Persistent link: https://www.econbiz.de/10009639429

Tax compliance social norms and institutional quality : an evlolutionary theory of public good provision

Nicolaides, Panayiotis - 2014

Persistent link: https://www.econbiz.de/10010478775

Investors with too many options?

Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...

Persistent link: https://www.econbiz.de/10009640343

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