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We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) ma[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask s[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional vola[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research ha[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the aut[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. [...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return re[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail ris[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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