G20 - General

• Volatility and Liquidity Costs

  Staff Working Paper 2013-29 Selma Chaker

  Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C1, C14, C5, C51, C58, G, G2, G20

• Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model

  Staff Working Paper 2013-14 Jasmina Arifovic, George Evans, Olena Kostyshyna

  We conduct experiments with human subjects in a model with a positive production externality in which productivity is a non-decreasing function of the average level of employment of other firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): D, D8, D83, G, G2, G20