Endogenous State Prices, Liquidity, Default, and the Yield Curve
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Other versions of this item:
- Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2006. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series 2006fe15, Oxford Financial Research Centre.
- Raphael Espinoza & Dimitrios Tsomocos & Charles Goodhart, 2007. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," FMG Discussion Papers dp583, Financial Markets Group.
- Espinoza, Raphael A. & Goodhart, Charles & Tsomocos, Dimitrios P., 2007. "Endogenous state prices, liquidity, default, and the yield curve," LSE Research Online Documents on Economics 24479, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
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More about this item
Keywordscash-in-advance constraints; risk-neutral probabilities; state prices; term structure of interest rate;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-03 (All new papers)
- NEP-CBA-2007-03-03 (Central Banking)
- NEP-CFN-2007-03-03 (Corporate Finance)
- NEP-DGE-2007-03-03 (Dynamic General Equilibrium)
- NEP-FMK-2007-03-03 (Financial Markets)
- NEP-MAC-2007-03-03 (Macroeconomics)
- NEP-UPT-2007-03-03 (Utility Models & Prospect Theory)
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