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What do Information Frictions do?
Bhattacharya, Joydeep; Chakraborty, Shankha - Iowa State University of Science and Technology <Ames, … - 2003
Researchers have incorporated labor or credit market frictions in isolation within simple neoclassical models to open up a role for institutions, inject realism into their models and examine the impact of these distortions on output and employment. We present an overlapping generations model...
Persistent link: https://www.econbiz.de/10009418938
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Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Bajgrowicz, Pierre; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011
We propose a technique to avoid spurious detections of jumps in highfrequencydata via an explicit thresholding on available test statistics. Weprove that it eliminates asymptotically all spurious detections. MonteCarlo results show that it performs also well in finite samples. In DowJones...
Persistent link: https://www.econbiz.de/10009486851
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Linearization and Local Stability of Random Dynamical Systems
Evstigneev, Igor V.; Pirogov, Sergey A.; Schenk-Hoppé, … - National Centre of Competence in Research - Financial … - 2010
dynamics ingeneral metric spaces, as well as in Banach spaces, are obtained. Theresults pertaining to Banach spaces are based …
Persistent link: https://www.econbiz.de/10009486855
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Entrepreneurial Spawning and Firm Characteristics
Habib, Michel; Hege, Ulrich; Mella-Barral, Pierre - National Centre of Competence in Research - Financial … - 2011
, profitability, and innovativeness. We examine the dynamics of spawning overtime. Our model accounts for much of the empirical …
Persistent link: https://www.econbiz.de/10009486974
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Endogenous Completeness of Diffusion Driven Equilibrium Markets
Hugonnier, J.; Malamud, Semyon; Trubowitz, E. - National Centre of Competence in Research - Financial … - 2010
We study the existence of dynamic equilibria with endogenously complete markets incontinuous-time, heterogenous agents economies driven by diusion processes. Ourmain results show that under appropriate conditions on the transition density ofthe state variables, market completeness can be deduced...
Persistent link: https://www.econbiz.de/10009522184
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Overbidding in Fixed-Rate Tenders: The Role of Exposure Risk
Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - National Centre of Competence in Research - Financial … - 2011
The …xed rate tender is one of the main operational formats usedby central banks in the implementation of their monetary policies. Whileacademic research has largely dismissed the procedure for its tendency to en-courage overbidding, central banks such as the ECB and the Bank of Englandhave...
Persistent link: https://www.econbiz.de/10009522185
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House Price Dynamics and Dispersed Information
Favara, Giovanni; Song, Zheng - National Centre of Competence in Research - Financial … - 2010
We use a user-cost model to study how dispersed information among housing marketparticipants a¤ects the equilibrium house price. In the model, agents are disparatelyinformed about local economic conditions, consume housing services, and speculate onprice changes. Information dispersion leads...
Persistent link: https://www.econbiz.de/10009522191
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A Dreadful Heritage: Interpreting Epidemic Disease at Eyam, 1666-2000
Ransome-Wallis, Patrick - London School of Economics and Political Science - 2005
. The construction of the Eyam plague story offers an unusually clear case study in the social and intellectual dynamics of …
Persistent link: https://www.econbiz.de/10005870945
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The Dynamics of being Disabled
Burchardt, Tania - London School of Economics and Political Science - 2000
Government policies on disability – and criticism of them – rest in parton an understanding of the circumstances of disabled people informedby cross-sectional survey data, dividing the population into “thedisabled” and “the non-disabled”. While conceptual debates about thenature of...
Persistent link: https://www.econbiz.de/10008733217
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An Economic Model of Household Income Dynamics,with an Application to Poverty Dynamics amongAmerican Women
Burgess, Simon M.; Propper, Carol - London School of Economics and Political Science - 1998
) household income dynamics. This is largelybecause of the difficulties created by the fact that on top of the humancapital issues … proposesa framework for modelling household income dynamics. it emphasisesthe role of household formation and dissolution, and …, income and poverty dynamics.We illustrate this framework with an application to poverty rates amongyoung women in the US. We …
Persistent link: https://www.econbiz.de/10008756563