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作者：Obstfeld, M; Taylor, AM
摘要：What determines sovereign risk? We study the London bond market from the 1870s to the 1930s. Our findings support conventional wisdom concerning the low credibility of the interwar gold standard. Before 1914 gold standard adherence effectively signalled credibility and shaved up to 30 basis points from country borrowing spreads. In the 1920s, however, simply resuming prewar gold parities was insufficient to secure benefits. Countries that devalued before resumption were treated more favourably...
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作者：Garratt, A; Lee, K; Pesaran, MH; Shin, Y
作者单位：University of Leicester; University of Cambridge; University of Edinburgh
摘要：A new modelling strategy that provides a practical approach to incorporating long-run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1-1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to develop a model with a transparent and theoretic...
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作者：Evans, MDD
摘要：I present a model for the term structures of nominal and real interest rates in the UK that incorporates Markov-switching and allows for non-neutralities, nonlinear dynamics, and flexibility in the dynamics of the risk premia. The model is used to assess how accurately the term structure reflects changing expectations of future yields and inflation. I find that variations in inflation expected over the next two to three years are very accurately reflected by current yields. Over longer horizon...
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作者：Asheim, GB; Dufwenberg, M
摘要：We justify the application to extensive games of a model of deductive reasoning based on three key features: 'caution', 'full belief of opponent rationality', and 'no extraneous restrictions on beliefs'. We apply the model to several examples, and show that it yields novel economic insights. The approach supports forward induction, without necessarily promoting backward induction.
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作者：Güth, W; Ivanova-Stenzel, R; Königstein, M; Strobel, M
摘要：We examine learning behaviour in auction and fair division experiments with independent private values under two different price rules, first and second price. Participants play all four games repeatedly and submit complete bid functions rather than single bids. This allows us to study how institutional changes are anticipated and whether learning is influenced by the structural differences between games. We find that learning does not drive bidding towards the benchmark solution, Bid function...
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作者：Ghosal, S; Miller, M
摘要：We study a model of sovereign debt crisis that combines problems of creditor co-ordination and debtor moral hazard. In the face of sovereign default, the need to give appropriate incentives to the debtor leads to excessive 'rollover failure' by creditors. We discuss how the incidence of crises might be reduced by international sovereign bankruptcy procedures involving increased 'contractibility' of sovereign debtor's payoffs, suspension of convertibility in a 'discovery' phase and penalties in...
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作者：Fatum, R; Hutchison, MM
摘要：This study provides evidence supporting the effectiveness of sterilised foreign exchange market intervention by central banks using an event study approach. An event study framework is better suited to the study of sporadic and intense periods of official intervention, juxtaposed with continuously changing exchange rates, than standard time-series studies. Focusing on daily Bundesbank and US official intervention operations, we identify separate intervention 'episodes' and analyse the subseque...
