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Kolokolov, Aleksey; Renò, Roberto - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 629-659

Persistent link: https://www.econbiz.de/10011988002

Incomplete markets as correlated distortions

Armangue-Jubert, Tristany; Pietrobon, Davide; Ruggieri, … - 2025

We argue that capital misallocation arises endogenously due to incomplete consumption insurance. We model risk-averse entrepreneurs with heterogeneous productivity who face idiosyncratic output shocks and choose how much capital to rent before uncertainty unfolds. We show that incomplete markets...

Persistent link: https://www.econbiz.de/10015272991

Foreign exchange market efficiency tests in Sub-Saharan Africa

Aron, Janine - In: Journal of African economies 6 (1997) 3, pp. 150-192

Persistent link: https://www.econbiz.de/10001337795

Testing foreign exchange market efficiency : evidence from daily and weekly data from Japanese and Australian foreign exchange markets

Salim, Ruhul A. - In: Asian economies 24 (1995) 2, pp. 70-88

Persistent link: https://www.econbiz.de/10001186055

The effectiveness of central bank intervention in the EMS : the post 1993 experience

Brandner, Peter; Grech, Harald; Stix, Helmut - 2001

Persistent link: https://www.econbiz.de/10001627329

The effectiveness of central bank intervention in the EMS : the post 1993 experience

Brandner, Peter; Grech, Harald; Stix, Helmut - 2001

Persistent link: https://www.econbiz.de/10001642289

Bank Cost Efficiency and Credit Market Structure Under a Volatile Exchange Rate

Mamonov, Mikhail; Parmeter, Christopher F.; Prokhorov, Artem - 2022

We study the differential impact of exchange rate volatility on cost efficiency and market structure when banks have … non-trivial exposures to foreign currency operations. First, we document that cost efficiency estimates are both severely …

Persistent link: https://www.econbiz.de/10014238705

The effectiveness of central bank intervention in the EMS : the post 1993 experience

Brandner, Peter; Grech, Harald; Stix, Helmut - 2001

We analyze the effectiveness of intervention in the European Monetary System by using daily data on the DEM-intervention activity of six European central banks, covering the period from August 1993 to April 1998. To test for the influence of intervention we apply EGARCH models. To allow for...

Persistent link: https://www.econbiz.de/10011492645

Asset issuance in over-the-counter markets

Bethune, Zachary; Sultanum, Bruno; Trachter, Nicholas - 2017

Persistent link: https://www.econbiz.de/10011795530

Bank Cost Efficiency and Credit Market Structure Under a Volatile Exchange Rate

Mamonov, Mikhail; Parmeter, Christopher F.; Prokhorov, Artem - 2022

We study the differential impact of exchange rate volatility on cost efficiency and market structure when banks have … cost efficiency estimates are both severely downward biased---by 30 percentage points on average---and generally not rank … dependence in the bank cost efficiency rankings constructed with the revaluations being kept or dropped. We relate this …

Persistent link: https://www.econbiz.de/10013289130