Current sales of most consumer durables are accounted for by replacements. However, only in recent years has the economic literature provided a more rigorous analysis of replacement purchases by incorporating elements of dynamic programming, and of the th

For a sample of six countries with dirty/free float regimes over 1999-2002––the United States, Japan, the Czech Republic, Poland, Switzerland, and the United Kingdom, we investigate whether paired currencies exhibit a pattern of asymptotic dependence on the euro. That is, whether an...

Based upon Granger causality and Pesaran-Shin’s generalized impulse-response functions, this paper studies the link between the term structure and economic growth, and the link between the term structure and actual and expected percent changes of the Cons

The purpose of this paper is lo analyze the incidence of firing costs, specifically severance payments, on the path of wages, job length, and job creation over an intertemporal context. This was an important topic in the discussion about labor reforms in

Spatial dependency has been broadly studied in several research areas, such as environmental criminology, economic geography, environmental sciences, and urban economics. However, it has been essentially overlooked in other subfields of economics and in the field of finance as a whole. A key...

Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financial assets with a given probability over a given time horizon. VaR became a key measure of market risk since the Basle Committee stated that banks should be able to cover losses on their trading...

This article presents a model to select the optimal hedge ratios of a portfolio comprised of an arbitrary number of commodities. In particular, returns dependency and heterogeneous investment horizons are accounted for by copulas and wavelets, respectively. We analyze a portfolio of London Metal...

Most Latin American economies in the 1980’s and early 1990’s were burdened with extremely high inflation rates. Chile’s strategy to strengthen its financial market was to rely on inflation-linked securities. Indeed, indexation pervaded the whole economy for almost thirty years. However,...

We present a static general equilibrium model of an economy with agents with heterogeneous wealth and endogenous credit constraints created by partial loan recovery rates. Higher loan recovery rates and better bankruptcy protection increase output and credit penetration, while the former raises...

Between the 1970's and the 1980's, the market of derivatives flourished. Forwards, futures and options began to be regularly traded. According to information gathered by The Bank of International Settlements, between January and April 1998, the value of over-the-counter (OTC) positions...