Category Archives: TEL

Theoretical Economics Letters

The Unemployment Volatility Puzzle: A Note on the Role of Reference Points

Author(s): Vincent Boitier Abstract This theoretical note aims at studying the role of reference points in generating unemployment volatility. For this purpose, I introduce the notion of reference points in a standard Mortensen- Pissarides model. I obtain two results. First, I find … Continue reading

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Disequilibrium Pricing—Greek Euro Crisis

Author:Frederick Betz ABSTRACT Financial instability in Greece began in 2009 when the interest rates on Greek sovereign bonds surged; and this can be graphed in a “price disequilibrium” model. To explain how this came about, we create a systems-dynamics model … Continue reading

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Measuring the Severity of a Banking Crisis and Finding Its Associated Factors: How Are the Factors Different for Simple and Severe Banking Crises?

Author(s):Anichul Hoque Khan, Hasnat Dewan ABSTRACT This study measures the severity of a banking crisis by using its duration and the cost. Using this new methodology, we find that the factors associated with a severe banking crisis are not quite … Continue reading

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Analysis of the Effect of Index Futures on Stock Market with a New Fama-French 3-Factor Model

Author(s): Xinyue Bei1, Yanjia Yang2, Liuling Li3, Bruce Mizrach4 ABSTRACT In this paper, the effect of Index Futures on stock market is studied. A new model, which is based on the 3-factor model in Fama and French (1993), the EGARCH-type … Continue reading

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A Model of Room Rentals in a Seasonal Hotel Illustrating Monopolistic Competition

Author:Gerald Aranoff A short article about my paper: “A Model of Room Rentals in a Seasonal Hotel Illustrating Monopolistic Competition” published in Theoretical Economics Letters Volume 4 number 2, pages 139-145 by Gerald Aranoff. July 9, 2014 We illustrate monopolist … Continue reading

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Valuation of Certificates on a Straddle with Forward Start—Theory and Evidence

Author(s):Rodrigo Hernandez, Yinying Shao This paper introduces a new financial product named Certificates on a Straddle with Forward Start and provides detailed descriptions of the product specifications. It shows that the payoff of a Certificate on a Straddle with Forward Start … Continue reading

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