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The Costs and Benefits of Deviating from the Systematic Component of Monetary Policy
Monetary Policy Benefits
2015/8/3
Recent turmoil in the financial markets raises questions about whether and by
how much monetary policy should deviate from its regular, more systematic, responses to
economic conditions. Whether it ...
Real Output Costs of Financial Crises: A Loss Distribution Approach
Real Output Costs Financial Crises Loss Distribution Approach Risk Management
2012/3/2
The adverse effects of financial crises in terms of output losses or output growth below its potential can be treated like losses from catastrophic events which have a low likelihood but a large impac...
CENTRAL BANK DOLLAR SWAP LINES AND OVERSEAS DOLLAR FUNDING COSTS
information history of central bank swap facilities efficacy of the swaps
2011/9/26
The article offers information on the history of central bank (CB) dollar swap facilities, the changes in volume and breadth as the conditions for funding evolved, and economic researches that documen...
Do Firms Incur Costs to Avoid Reducing Pre-Tax Earnings? Evidence from the Accounting for Low-Income Housing Tax Credits
earnings management expense classification pre-tax earnings tax credit
2011/9/2
Examining corporate investment in low-income housing tax credits reveals that firms are willing to incur costs in order to manage the income statement classification of an expense. Accounting rules al...
Credit Access, the Costs of Credit and Credit Market Discrimination
Bank credit Debt payments Discrimination Household credit Interest rates Loan denials
2011/8/22
Since the early 1990s, credit expanded relative to income, especially after 2001. It is hypothesized that traditionally uneven credit access and gaps in the costs of credit by demographic characterist...
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated `mean level' and selling it when it is above. In the presence of linear transaction c...
On the fractional Black-Scholes market with transaction costs
fractional Brownian motion proportional transaction costs
2010/10/20
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}...
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Transaction Costs
2010/10/19
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...
No-arbitrage of second kind in countable markets with proportional transaction costs
No-arbitrage transaction costs bond market
2010/10/21
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...
The dual optimizer for the growth-optimal portfolio under transaction costs
The dual optimizer the growth-optimal portfolio transaction costs
2010/10/20
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Ka...
Grameen Bank: Impact, Costs, and Program Sustainability
Grameen Bank Costs Program Sustainability
2009/9/1
Grameen Bank of Bangladesh is known worldwide for its innovative credit delivery to the rural poor. By incorporating group-based lending, mandatory savings and insurance, repayment rescheduling in cas...
Continuous-Time Markowitz's Model with Transaction Costs
continuous time mean-variance transaction costs singular stochastic control planning horizon
2010/11/1
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market
with one stock, one bond, and proportional transaction costs. This is a singular stochastic control prob...
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
capital growth theory transaction costs numeraire portfolios
2010/11/2
The aim of this work is to extend the capital growth theory devel-oped by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the noti...
Complexity of Transaction Costs and Evolution of Corporate Governance
transaction costs corporate governance selective mechanism life cycles
2010/12/7
Conflicting agendas in corporate governance show the limits of the transaction costs approach and property rights theory. A top-down approach of control and monitor may have negative effect on the com...
This paper develops a model of a monetary economy in which individual firms are subject to idiosyncratic productivity shocks as well as general inflation. Sellers can change price only by ...