Credit Rating Agencies and Speedy Payday Loans INTERNATIONAL RESOURCE ALLOCATION: Trade with Incomplete Information 4 INTERNATIONAL RESOURCE ALLOCATION: Trade with Incomplete Information 3 INTERNATIONAL RESOURCE ALLOCATION: Trade with Incomplete Information 2
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Archive for July, 2014

THE BOND MARKETS: ANALYTICAL METHODOLOGY 6

THE BOND MARKETS: ANALYTICAL METHODOLOGY 6

A comparison of the pure-Gaussian model and the Poisson-Gaussian model reveals a sharp drop in Gaussian volatility (v) when jumps are introduced into a pure-Gaussian model. For example, in Table 3,...

THE BOND MARKETS: ANALYTICAL METHODOLOGY 5

THE BOND MARKETS: ANALYTICAL METHODOLOGY 5

Estimation using Discrete-Time Approximations. Estimation using the continuous-time method of the previous section is an exceedingly intensive numerical process. It requires numerical optimization...

THE BOND MARKETS: ANALYTICAL METHODOLOGY 4

THE BOND MARKETS: ANALYTICAL METHODOLOGY 4

ESTIMATION The analytics from Section 2 are applied to daily data on the Fed funds rate for the period January 1988 to December 1997. The total number of observations is 2609. The data is from the...

THE BOND MARKETS: ANALYTICAL METHODOLOGY 3

THE BOND MARKETS: ANALYTICAL METHODOLOGY 3

The Moments. The moments of the jump-diffusion process offer valuable insights. First, the behavior of options prices may be inferred from a study of the moments. Second, the moments are easily used...

THE BOND MARKETS: ANALYTICAL METHODOLOGY 2

THE BOND MARKETS: ANALYTICAL METHODOLOGY 2

The Stochastic Process. The following is the mean reverting process for interest rates employed in this paper: where 9 is a central tendency parameter for the interest rate r, which reverts at rate...

THE BOND MARKETS: ANALYTICAL METHODOLOGY

THE BOND MARKETS: ANALYTICAL METHODOLOGY

The discussion so far begs the question: should we eschew diffusion processes in favor of jump models of the term structure? Our empirical results in the paper show that jumps are a necessary...

THE BOND MARKETS: INTRODUCTION 2

Recent work by Brenner, Harjes and Kroner [15] and Koedijk, Nissen, Schotman and Wolff [32] provides strong evidence that in addition to level dependence, time varying volatility (i.e. ARCH) models...

THE BOND MARKETS: INTRODUCTION

This paper examines the role of jump-enhanced diffusions (i.e., Poisson-Gaussian processes) in modelling the term structure of interest rates. Theoretical work 011 jump-difFusion term structure...

SOME COUNTRIES PRODUCE SO MUCH MORE OUTPUT PER WORKER THAN OTHERS: Conclusion

Countries produce high levels of output per worker in the long run because they achieve high rates of investment in physical capital and human capital and because they use these inputs with a high...

SOME COUNTRIES PRODUCE SO MUCH MORE OUTPUT PER WORKER THAN OTHERS: Robustness of the Results 3

The seventh specification considers a measure of the density of economic activity, computed following the methods of Ciccone and Hall (1996). The density measure is constructed to have a theoretical...

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