Publications des institutions partenaires
Stationary Markov equilibria for overlapping generations
At a stationary Markov equilibrium of a Markovian economy of overlapping generations, prices at a date-event are determined by the realization of the shock, the distribution of wealth and, with production, the stock of capital. Stationary Markov equilibria may not exist; this is the case with intra-generational heterogeneity and multiple commodities or long life spans. Generalized…
Institution partenaire
English / 01/01/2004
Testable implications of general equilibrium theory: A differentiable approach
Is general equilibrium theory empirically testable? Our perspective on this question differs fromthe standard, Sonnenschein–Debreu–Mantel (SDM) viewpoint. While the SDM tradition considersaggregate (excess) demand as a function of prices, we suppose that what is observable is the equilibriumprice vector as a function of the fundamentals of the economy.We apply this perspective to…
Institution partenaire
English / 01/01/2004
Is intertemporal choice theory testable?
Kreps–Porteus preferences constitute a widely used alternative to time separability. We showin this paper that with these preferences utility maximization does not impose any observable restrictions on a household’s savings decisions or on choices in good markets over time. The additional assumption of a weakly separable aggregator is needed to ensure that the assumption of utility…
Institution partenaire
English / 01/01/2004
A new approach to markov-switching GARCH models
Institution partenaire
English / 01/01/2004
Modeling higher frequency macroeconomic data: an application to German monthly money demand
Institution partenaire
English / 01/01/2004
Multiple Unit Auctions and Short Squeezes
This article develops a theory of multiunit auctions where short squeezes can occur in the secondary market. Both uniform and discriminatory auctions are studied and bidders can submit multiple bids. We show that bidders with short and long preauction positions have different valuations in an otherwise common value setting. Discriminatory auctions lead to more short squeezing and…
Institution partenaire
English / 11/08/2003
Stationary equilibria in asset-pricing models with incomplete markets and collateral
We consider an infinite-horizon exchange economy with incomplete markets and collateral constraints. As in the two-period model of Geanakoplos and Zame (2002), households can default on their liabilities at any time, and financial securities are only traded if the promises associated with these securities are backed by collateral. We examine an economy with a single perishable…
Institution partenaire
English / 01/01/2003
Computing moments of ratios of quadratic forms in normal variables
The accuracy and speed of numerical methods for computing the moments of a ratio of quadratic forms in normal variables is examined, with particular application to the sample autocorrelation function. Methods based on a saddlepoint approximation are demonstrated to be not only superior to existing approximations, but are numerically reliable and virtually as accurate as the method…
Institution partenaire
English / 01/01/2003
Prediciton of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
Institution partenaire
English / 01/01/2003
On Median Unbiased Inference for First Order Autoregressive Models
Institution partenaire
English / 01/01/2003
Bidder Behavior in Multiunit Auctions: Evidencefrom Swedish Treasury Auctions
We analyze a unique data set on multiunit auctions, which contains the actual demand schedules of the bidders as well as the auctionawards in over 400 Swedish Treasury auctions. First, we document that bidders vary their prices, bid dispersion, and the quantity demanded in response to increased uncertainty at the time of bidding. Second,we find that bid shading can be explained by a…
Institution partenaire
English / 01/01/2002
Asset Pricing under the Quadratic Class
We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector. We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application. We consider asset pricing in general and derivative pricing in particular under the quadratic class. We provide two general transform…
Institution partenaire
English / 01/01/2002
Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios
Institution partenaire
English / 01/01/2002
Calculating the density and distribution function for the singly and doubly noncentral F
Institution partenaire
English / 01/01/2002
Function spaces of generalized smoothness and pseudo-differential operators associated to a continuous negative definite function
Institution partenaire
English / 01/01/2002
A Descriptive Analysis of the Finnish Treasury Bond Market 1991-1999
This paper presents a descriptive analysis of the primary and secondary market for Finnish treasury bonds. The paper focuses on three issues. First, we report basic descriptive statistics such as auction volumes and secondary market yields and volumes. Second, we estimate the revenues earned by primary dealers from the treasury bond market. Third, we analyse the development of the…
Institution partenaire
English / 01/01/2002
Agency and the pace of adoption of new techniques
We study the relation of financial development and the pace of technological advance in a dynamic agency theoretic model. A firm which is financed by outside shareholders but run by managers has the prospect of a process innovation which arrives stochastically. Adopting the innovation requires firing old management and hiring new with skills appropriate for the new technique. We show…
Institution partenaire
English / 01/01/2002
Optimization of Assets and Liabilities, Proceeding of International Scientific School
Institution partenaire
English / 01/01/2002
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