作者：Greenaway-McGrevy, Ryan; Mark, Nelson C.; Sul, Donggyu; Wu, Jyh-Lin
作者单位：University of Auckland; University of Notre Dame; National Bureau of Economic Research; University of Texas System; University of Texas Dallas; National Sun Yat Sen University
摘要：Using recently developed model selection procedures, we determine that exchange rate returns are driven by a two-factor model. We identify them as a dollar factor and a euro factor. Exchange rates are thus driven by global, U.S., and euro-zone stochastic discount factors. The identified factors can also be given a risk-based interpretation. Identification motivates multilateral models for bilateral exchange rates. Out-of-sample forecast accuracy of empirically identified multilateral models do...
作者：Iskhakov, Fedor; Rust, John; Schjerning, Bertel
作者单位：Australian National University; Georgetown University; University of Copenhagen
摘要：We extend the classic Bertrand duopoly model of price competition to a dynamic setting where competing duopolists invest in a stochastically improving production technology to leapfrog their rival and attain temporary low-cost leadership. We find a huge multiplicity of Markov-perfect equilibria (MPE) and show that when firms move simultaneously the set of all MPE payoffs is a triangle that includes monopoly payoffs and a symmetric zero mixed strategy payoff. When firms move asynchronously, the...
