We develop a model of banking competition for deposits based on modern financial intermediation theory and industrial organization analysis. The standard demand deposit contract makes banks vulnerable to failure and introduces (endogenous) expectations-based vertical differentiation. A...

We study the effect of parameter uncertainty on the long-run risk of three alternative asset classes: equity, nominal bonds and short-term T-Bills. We estimate the long-run risk as the annualized predictive variance of returns at different horizons implied by a vector autoregression using...

We study inflation replication in European markets and find that investors can improve their inflation hedge by acquiring foreign inflation-linked derivatives on the international market. Although European inflation-linked bonds holdings have a substantial impact on the inflation hedging...