Now showing items 1-3 of 3

  • The Dynamics of UK and US Inflation Expectations 

    Gefang, Deborah; Koop, Gary; Potter, Simon M. (University of StrathclydeUniversity of LancasterFederal Reserve Bank of New York, 2008)
    This paper investigates the relationship between short term and long term in ation expectations in the US and the UK with a focus on iflation pass through (i.e. how changes in short term expectations affect long term ...
  • No Good Deals - No Bad Models 

    Boyarchenko, Nina; Cerrato, Mario; Crosby, John; Hodges, Stewart (University of GlasgowFederal Reserve Bank of New YorkCity University, London, 2013)
    Faced with the problem of pricing complex contingent claims, an investor seeks to make his valuations robust to model uncertainty. We construct a notion of a model- uncertainty-induced utility function and show that model ...
  • Understanding Liquidity and Credit Risks in the Financial Crisis 

    Gefang, Deborah; Koop, Gary; Potter, Simon M. (University of StrathclydeUniversity of LancasterFederal Reserve Bank of New York, 2011)
    This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which reflect ...

Copyright © 2015 SIRE - All Rights Reserved