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1.
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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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2.
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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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3.
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This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the eco[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). [...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of c[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framewo[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Go[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of sev[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dyn[...]
2003 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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The author describes the rapid development of the syndicated corporate loan market in the 1990s. He explores the historical forces that led to the development of the cont[...]
2003 | Text | Staff Working Paper - Document de travail du personnel |
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