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9506 Results

Search Frictions and Asset Price Volatility

Staff Working Paper 2010-1 B. Ravikumar, Enchuan Shao
We examine the quantitative effect of search frictions in product markets on asset price volatility. We combine several features from Shi (1997) and Lagos and Wright (2002) in a model without money. Households prefer special goods and general goods.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, G, G1, G12

Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate

Staff Discussion Paper 2010-2 Alejandro García, Andrei Prokopiw
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.
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