On a pricing problem for a multi-asset option with general transaction costs....
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on...
View ArticleScarcity effects of QE: A transaction-level analysis in the Bund market
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the public sector purchase...
View Article[1704.02160] A systemic shock model for too big to fail financial institutions
A systemic shock model for too big to fail financial institutions https://t.co/H4XdAMmBRY — Quant News (@QuantNews_com) April 10, 2017
View ArticleITG Releases March 2017 U.S. Trading Volume
NEW YORK, April 10, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced that March 2017 U.S. trading volume was 3.7 billion shares...
View ArticlePopulation and Civil War -- by Daron Acemoglu, Leopoldo Fergusson, Simon Johnson
Medical and public health innovations in the 1940s quickly resulted in significant health improvements around the world. Countries with initially higher mortality from infectious diseases experienced...
View ArticleTop Income Inequality in the 21st Century: Some Cautionary Notes -- by Fatih...
We revisit recent empirical evidence about the rise in top income inequality in the United States, drawing attention to four key issues that we believe are critical for an informed discussion about...
View ArticleThe Productivity Advantage of Serial Entrepreneurs -- by Kathryn L. Shaw,...
Serial entrepreneurs, who open more than one business, are found to have higher sales and higher productivity than novice entrepreneurs, who open one business. Using panel data on entrepreneurs and...
View ArticleDistributional Impacts of Energy Taxes -- by William A. Pizer, Steven Sexton
Despite popularity among economists for their efficiency, energy pollution taxes enjoy less political support than standards-based regulation because of common perceptions that they burden the poor...
View ArticleIs Post-Crisis Bond Liquidity Lower? -- by Mike Anderson, Rene M. Stulz
Price-based liquidity metrics are much better for small trades after the crisis than before the crisis. For large trades, these metrics are generally worse from 2010 to 2012 and better from 2013 to...
View ArticleMonetary Policy and Global Banking -- by Falk Braeuning, Victoria Ivashina
Global banks use their global balance sheets to respond to local monetary policy. However, sources and uses of funds are often denominated in different currencies. This leads to a foreign exchange (FX)...
View ArticleAccounting for Growth in the Age of the Internet: The Importance of...
We extend the conventional Solow growth accounting model to allow innovation to affect consumer welfare directly. Our model is based on Lancaster's New Approach to Consumer Theory, in which there is a...
View ArticleSovereign Default Risk and Firm Heterogeneity -- by Cristina Arellano, Yan...
This paper studies the recessionary effects of sovereign default risk using firm-level data and a model of sovereign debt with firm heterogeneity. Our environment features a two-way feedback loop. Low...
View ArticleThe Effects of E-Cigarette Minimum Legal Sale Age Laws on Youth Substance Use...
We use difference-in-differences models and individual-level data from the national and state Youth Risk Behavior Surveillance System (YRBSS) from 1991 to 2015 to examine the effects of e-cigarette...
View ArticleSelf-Fulfilling Debt Crises, Revisited: The Art of the Desperate Deal -- by...
We revisit self-fulfilling rollover crises by introducing an alternative equilibrium selection that involves bond auctions at depressed but strictly positive equilibrium prices, a scenario in line with...
View ArticleMeasuring the Effects of Federal Reserve Forward Guidance and Asset Purchases...
I extend the methods of Gurkaynak, Sack, and Swanson (2005) to separately identify the effects of Federal Reserve forward guidance and large-scale asset purchases (LSAPs) during the 2009-15 U.S. zero...
View ArticleGovernment Debt and Corporate Leverage: International Evidence -- by Irem...
We investigate the impact of government debt on corporate financing decisions. We document a negative relation between government debt and corporate leverage using data on 40 countries between 1990 and...
View ArticleThe Effects of Financial Development on Foreign Direct Investment -- by...
This paper empirically investigates the various effects that source and destination countries' financial development (SFD and DFD respectively) have on foreign direct investment (FDI).We establish...
View ArticleDo Payroll Tax Breaks Stimulate Formality? Evidence from Colombia's Reform --...
Alternative work arrangements have grown rapidly around the world. In Latin America, these alternative work arrangements have long been part of the labor market and have continued to grow. The informal...
View ArticleThe Long Reach of Education: Health, Wealth, and DI Participation -- by James...
Education is strongly related to participation in the Social Security Disability Insurance (DI) program. To explore this relationship, we describe the correlation between education and DI...
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