This paper demonstrates that for a very general class of monetary models (the Sidrauski type models and the cash-in-advance models), Bailey’s rule to evaluate the welfare efect of infation is in deed accurate. The result ...

We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the ...

In this paper I study optimal auctions of identical goods. There is synergy in the number of goods and independent bidder’s signals.

In this paper we consider sequential auctions where an individual’s value for a bundle of objects is either greater than the sum of the values for the objects separately (positive synergy) or less than the sum (negative ...

We compare three frequently used volatility modelling techniques: GARCH, Markovian switching and cumulative daily volatility models. Our primary goal is to highlight a practical and systematic way to measure the relative ...

We study the macroeconomic effects of international trade policy by integrating a Hecksher-Ohlin trade model into an optimal-growth framework. The model predicts that an open economy will have higher factor productivity ...

Despite the belief, supported byrecentapplied research, thataggregate datadisplay short-run comovement, there has been little discussion about the econometric consequences ofthese data 'features.' W e use exhaustive M ...