Now showing items 1-10 of 34
Intertemporal arbitrage, speculative balances, and the liquidity effect
This thesis explores money manager intertemporal arbitrage as an explanation of the liquidity effect. We develop a theoretical model of optimal portfolio adjustment by professional money managers, and show that they engage ...
A time series analysis of the Japanese yen
This paper sought to address the question as to whether the exchange rate can be forecasted more accurately by a monetary model of exchange rate determination or the random walk in the case of the Japan-U.S. exchange ...
INDIRECT TAXES AND RELATIVE PRICES: AN APPLICATION OF LEONTIEF MODELS
The generalized Leontief model is particularly suitable for the study of indirect taxation and, yet, to my knowledge, it had not been extended to a world where taxes are levied. Three features of the model distingush it ...
Higher-order spectral based tests of Gaussianity, linearity, and stationarity in stock returns
This paper presents empirical examinations of three important aspects of stock returns: Gaussianity, linearity, and stationarity by applying time series tests based upon the higher-order spectra. If the stationary time ...
Symbiotic transfer, arbitrage, and equilibrium
We lay a unified foundation for a theory of general equilibrium by proving the existence of an equilibrium for a grand model which covers all the well-known general equilibrium models under the convexity and continuity ...
LDC DEBT PROBLEMS AND DEBT RESCHEDULINGS (LOGIT, DISEQUILIBRIUM)
The first wave of debt reschedulings started in the early 1980s, when a number of African and small Latin American countries began to experience liquidity problems. The number of countries rescheduling their debt suddenly ...