Now showing items 211-220 of 250
Strategic Order Flow in the On-The-Run and Off-The-Run Bond Markets
(2006-10)
We study the determinants of liquidity and price differentials between on-the-run and off-the-run U.S. Treasury bond markets. To guide our analysis, we develop a parsimonious model of multi-asset speculative trading in ...
Modeling the Credit Risk of Mortgage Loans: A Primer
(2007-01)
This paper presents a simple version of the application of option based pricing models to mortgage credit risk. The approach is based on the notion that default can be viewed as exercising a put option, and that the place ...
The Economics of Corporate Tax Selfishness
(2004)
This paper offers an economics perspective on corporate tax noncompliance. It first reviews what is known about the extent and nature of corporate tax noncompliance and the resources devoted to enforcement. It then addresses ...