The objectives of this paper are: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a ""volatility shock"" in one of the asset markets, under sufficiently realistic assumptions about the fund manager''s performance criteria and investment restrictions; and (2) to...

It is generally impossible to design an ex post efficient mechanism for bilateral trading when the traders' valuations for an object of trade are private, there are no outside subsidies and the traders can refuse to carry out a transaction if they expect to lose money. The first two essays focus...

On February 12, 2010, SUERF, the Oesterreichische Nationalbank and the Bankwissenschaftliche Gesellschaft continued their established tradition of jointly organised conferences. As evidenced also by the 115 conference participants, this year's subject of "Contagion and Spillovers – New...

We develop a general equilibrium multi-industry model in which firms use external funds to conduct productivity-enhancing R&D. Industries differ in terms of research costs, which lead them to different optimal research expenditures. In the model, more R&D-intensive industries require more...

This paper presents a stylized analysis of the effects of ring-fencing (i.e., different restrictions on cross-border transfers of excess profits and/or capital between a parent bank and its subsidiaries located in different jurisdictions) on cross-border banks. Using a sample of 25 large...

The benefits from financial development are known to vary across industries. However, no systematic effort has been made to determine the technological characteristics that are shared by industries that tend to grow relatively faster in more financially developed countries. This paper explores a...

The objective of this paper is twofold: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and portfolio restrictions; and (2) to...

This paper proposes a framework to examine the comovements of asset prices with seemingly unrelated fundamentals, as an outcome of the optimal portfolio strategies of large institutional fund managers. In emerging markets, the dominant presence of dedicated fund managers whose compensation is...