Market structure and pricing

• Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence

  Staff Working Paper 2006-38 Fousseni Chabi-Yo

  The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound).

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G12, G13

• Credit in a Tiered Payments System

  Staff Working Paper 2006-36 Alexandra Lai, Nikil Chande, Sean O'Connor

  Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers).

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L12, L13, L2, L22

• Multinationals and Exchange Rate Pass-Through

  Staff Working Paper 2006-30 Alexandra Lai, Oana Secrieru

  The authors examine the impact of multinational enterprises (MNEs) on exchange rate pass-through in an environment where an MNE engages in Cournot (quantity) competition with domestic and foreign rivals.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Exchange rates, Market structure and pricing JEL Code(s): F, F2, F23, L, L1, L16