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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Loriano Mancini, Angelo Ranaldo

We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...

Wiley-Blackwell2013

Updating existing railway bridges based on monitoring data

Eugen Brühwiler, Mark Anthony Treacy, Marina Rocha Pinto Portela Nunes

Due to the important direct and indirect costs of the intervention, more detailed examination methods based on data as obtained from monitoring is suggested. This paper reports on an ongoing study to examine the fatigue safety of one standard bridge type, ...

CRC Press/Balkema2012

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model

In an estimated two-country DSGE model, we find that efficiency shocks specific to investment account for more than half of the forecast variance of cyclical fluctuations in the US trade balance. Both domestic and foreign investment-specific shocks have a ...

Ghent University Faculty of Economics and Business Administration Working Paper 2008/5442011

Linearly Adjustable International Portfolios

Daniel Kuhn

We present an approach to multi‐stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solut ...

American Institute of Physics2010

Alignment of defect levels and band edges through hybrid functionals: Effect of screening in the exchange term

Alfredo Pasquarello, Peter Broqvist, Hannu-Pekka Komsa

We investigate how various treatments of exact exchange affect defect charge transition levels and band edges in hybrid functional schemes for a variety of systems. We distinguish the effects of long-range vs short-range exchange and of local vs nonlocal e ...

2010

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Optimal Exchange-Rate Targeting with Large Labor Unions

Luisa Lambertini, Vincenzo Cuciniello

We study whether monetary policy should target the exchange rate in a two-country model with non-atomistic wage setters, non-traded goods and different degrees of exchange- rate pass through. Commitment to an exchange rate target reduces the labor market d ...

Center for Fiscal Policy Working Paper Series2009

Réserves de change

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Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Digging out the PPP hypothesis: an integrated empirical coverage

Updating existing railway bridges based on monitoring data

Financial Markets Equilibrium with Heterogeneous Agents

Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model

Linearly Adjustable International Portfolios

Alignment of defect levels and band edges through hybrid functionals: Effect of screening in the exchange term

Essays on Equilibrium Asset Pricing

Hydrogen tracer diffusion in LiBH(4) measured by spatially resolved Raman spectroscopy

Optimal Exchange-Rate Targeting with Large Labor Unions

Alignment of defect levels and band edges through hybrid functionals: Effect of screening in the exchange term

Essays on Equilibrium Asset Pricing

Hydrogen tracer diffusion in LiBH(4) measured by spatially resolved Raman spectroscopy

Optimal Exchange-Rate Targeting with Large Labor Unions

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Financial Markets Equilibrium with Heterogeneous Agents

Updating existing railway bridges based on monitoring data

Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model

Digging out the PPP hypothesis: an integrated empirical coverage

Linearly Adjustable International Portfolios