This paper uses two-dimensional asymmetric Taylor reaction functions for 16 OECDcountries to account for diff erent reactions to the infl ation rate and output by central banks before or after an election of the fi scal authorities in the respective country. Important for such an investigation is not only the period before or after an election takes place but also whether the infl ation rate an...

I document the profits on a trade that is long the old 30-year Treasury bond and short the new 30-year Treasury bond, and is rolled over every auction cycle from June 1995 to November 1999. Despite the systematic convergence of the spread over the auction cycle, the average profits are close to zero. The difference in repo-market financing rates between the two bonds is a significant cost of ca...

In this paper we present a model of international interest rate arbitrage under conditions of entry and exit costs to and from the domestic capital market. We seek to measure the maximum potential effect of capital controls, such as non-interest paying reserve requirements, on interest rate differentials. We quantify the effect of such taxes using a dynamic optimization model with uncertainty a...

This paper investigates a number of specific questions related to the dynamics of international government bond market integration in six of the G7 economies over the nearly last two decades. It examines whether such integration had been significant, the extent to which integration at the short end, and the long end, of the yield curve differed; what was the nature of such integration; and the ...

This paper focuses on the theory of uncovered interest rate parity and whether interest-rate differentials have resulted in the higher interest rate currency depreciating over time. Previous literature has empirically rejected the theory indicating that higher interest rate currencies have actually appreciated relative to lower interest rate currencies. In this paper, uncovered interest rate pa...

The purpose of this paper is to provide an overview of the municipal bond market with an emphasis on the numerous embedded contingent claims. Embedded contingent claims include the standard call features, sinking funds, the advance refunding option, the synthetic advance refunding option, the credit risk option (default risk), marketability, and the numerous tax-related events. Municipal bond i...

Premiums on US sovereign CDS have risen to persistently elevated levels since the financial crisis. In this paper, we ask whether these premiums reflect the probability of a US fiscal default, namely a state in which budget balance can no longer be restored by further raising taxes or eroding the real value of debt by raising inflation. To that end, we develop an equilibrium macrofinance model ...

We investigate whether term structure anomalies in U.S. data may be due to a generalized peso problem, in which a high-interest-rate regime occurred less frequently in the U.S. sample than was rationally anticipated. We formalize this idea by estimating a regime-switching model of short-term interest rates with data from seven countries. Under the small-sample distributions generated by the mod...

1. Choi SY, Jin U, Suh JH, Kim YH. Chronic post-traumatic pseudoaneurysm of the innominate artery with an associated bovine aortic arch resulting in airway obstruction. Eur J Cardiothorac Surg. 2008;34:669. 2. Cothren CC, Moore EE. Postraumatic innominate artery pseudoaneurysm. J Am Coll Surg. 2005;201:806–7. 3. Dhaliwal RS, Luthra S, Goyal S, Behra S, Krishna R, Ba K. Traumatic giant pseudoane...

We derive a model in which a standard international capital asset pricing model (ICAPM) is nested within an ICAPM with market imperfections. In the latter model an idiosyncratic stochastic factor affects the return of risky government bonds (over a risk-free rate) on top of the systematic component that is common to all countries (and that is interacted with a time-varying idiosyncratic “beta”)...