Article history: Received 8 September 2007 Received in revised form 9 April 2008 Accepted 17 July 2008 Available online 7 August 2008 A random-matching model with a clearinghouse is constructed to investigate the impact of privatemoney on economic efficiency and social welfare in threemonetary regimes. A subset of agents, called bankers, whose credit histories are recorded by the clearinghouse,...

Previous option pricing research typically assumes that the risk-free rate or the short rate is constant during the life of the option. In this study, we incorporate the stochastic nature of the short rate in our option valuation model and derive explicit formulas for European call and put options on a stock when the short rate follows the Merton model. Using our option model as a benchmark, ou...

Even though theorists acquiesce to the liquidity effect as a theoietical proposition, it is often challenged on efficacy grounds. It is argued that changes in the money stock do not leave all other things unchanged. Monetarists, such as Friedman (1968) assert that the liquidity effect is, at best, only temporary; the ultimate effect of more rapid money growth is higher inflation (or, mom-c impo...

Many past studies documented a strong evidence of a linkage between stock prices and macroeconomic activities across different stock markets and time horizons. However, most of these studies have focused on developed economies and highlighted the impact of either domestic variables or a few global factors. In recent times, the impact of global macroeconomic factors upon stock returns has garner...

Mutual fund returns strongly persist over multi-year periods—that is the central finding of this paper. Further, consumer and fund manager behavior both play a large role in explaining these longterm continuation patterns—consumers invest heavily in last-year’s winning funds, and managers of these winners invest these inflows in momentum stocks to continue to outperform other funds for at least...

Discussion papers are research materials circulated by their authors for purposes of information and discussion. They have not undergone formal peer review or the editorial treatment accorded RFF books and other publications. Abstract Uncertainty about costs causes otherwise equivalent price and quantity controls to result in different quantity responses and costs. Weitzman (1974) found that th...

the exchange rate unification is one of the most important instruments of economic adjustment, which is used in many countries. this paper shows the effects of the exchange rate unification on price level (inflation), gross domestic production (gdp), non-oil exports, private conception, government expenditure and stock of money. the data, is used related to the period 1959-2000. to analyze the ...

in this paper, we develop an inventory model with delay in payments for deteriorating items. in our model, retailer who purchases the items enjoys a fixed credit period offered by his/her supplier and, in turn, also offers a credit period to his/her customers in order to promote the market competition. the demand is assumed to be linear function of the retailer's current-stock level. the effect...

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

THE CONCEPT OF THE OPTIMAL MONEY STOCK The concept of the optimal stock of money introduced by Milton Friedman (1969) has stimulated much discussion and controversy. More recently, Lucas (1994) has provided new estimates of the welfare gain for the American economy from setting the optimal level of real cash balances. Before turning to a critique of Lucas, let us provide a rationale for this co...