In contrast to practice in the U.S., European IPOs are very rarely priced outside the indicative price range, and frequently are priced at its upper bound. We develop a model that provides a rationale for this seemingly inefficient pricing behaviour. The model allows for the practice, observed...

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its interaction with other banks and other private...

Social scientists use the history of Spain and her empire as a standard against which they have sought to establish the relatively superior efficiency of Anglo-Saxon institutions. This historical `experiment` underpins the core argument of new-institutional economic history. This paper argues...

We build a 4-equation model of the inflation process in South Africa (which has recently adopted inflation targeting), including the exchange rate, consumer prices, producer price, and import prices. This provides useful information on the speed and extent of exchange rate pass-through, and...

The removal of high levels of protection combined with substantial real devaluations has changed the environment in which Ghanaian manufacturing firms have operated in the 1990s. The changes in output, composition and productivity, which have occurred over this period, are examined in this...

Despite Uganda`s impressive reduction in monetary based poverty, during the 1990`s, recent evidence has shown there to be substantial mobility into and out of poverty. This paper represents on the first attempts to combine both qualitative and quantitative information to understand the factors...

In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in...

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...