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Anzeige der Dokumente 101-120 von 1145
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A Life-Cycle Model with Ambiguous Survival Beliefs
(2015-10-02)Based on a cognitive notion of neo-additive capacities reflecting likelihood insensitivity with respect to survival chances, we construct a Choquet Bayesian learning model over the life-cycle that generates a motivational ... -
Interbank Funding as Insurance Mechanism for (Persistent) Liquidity Shocks
(2015-11-01)The interbank market is important for the efficient functioning of the financial system, transmission of monetary policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. ... -
Signaling Cooperation
(2015-11-08)We examine what an applicant’s vita signals to potential employers about her willingness to cooperate in teams. Intensive social engagement may credibly reveal that an applicant cares about the well-being of others and ... -
When Do Jumps Matter for Portfolio Optimization?
(2015-11-25)We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ... -
Insurance Activities and Systemic Risk
(2015-12-01)This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-à-vis other industries by applying 3 measures, namely the linear Granger causality ... -
Coinvestment and risk taking in private equity funds
(2016-01-01)Private equity fund managers are typically required to invest their own money alongside the fund. We examine how this coinvestment affects the acquisition strategy of leveraged buyout funds. In a simple model, where the ... -
Reputation, Honesty, and Cheating in Informal Milk Markets in India
(2016-01-01)Sellers display astounding differences in their cheating behavior, even in developing countries with weak enforcement of rules. Using the context of informal milk markets in India, we examine the role of reputation and ... -
A Quasi Real-Time Leading Indicator for the EU Industrial Production
(2016-01-04)We build a quasi real-time leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper gives rise to an ex-ante LI that is immune to “overlapping ... -
The Old Boy Network: The Impact of Professional Networks on Remuneration in Top Executive Jobs
(2016-01-18)We investigate the impact of social networks on earnings using a dataset of over 20,000 senior executives of European and US firms. The size of an individual's network of influential former colleagues has a large positive ... -
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
(2016-01-25)In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases ... -
Competition in Treasury Auctions
(2016-02-01)We investigate the role of competition on the outcome of Austrian Treasury auctions. Austria's EU accession led to an increase in the number of banks participating in treasury auctions. We use structural estimates of ... -
Taming Models of Prospect Theory in the Wild? Estimation of Vlcek and Hens (2011)
(2016-02-01)Shortcomings revealed by experimental and theoretical researchers such as Allais (1953), Rabin (2000) and Rabin and Thaler (2001) that put the classical expected utility paradigm von Neumann and Morgenstern (1947) into ... -
Entrepreneurial Spawning: Experience, Education, and Exit
(2016-02-29)We investigate the career dynamics of high-tech entrepreneurs by analyzing the exit choice of entrepreneurs: to act as a business angel, to found another firm, or to become dependently employed. Our detailed data from ... -
Investment-Specific Shocks, Business Cycles, and Asset Prices
(2016-03-14)We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we ... -
The Political Economy of Bank Bailouts
(2016-04-14)In this paper, we examine how the institutional design affects the outcome of bank bailout decisions. In the German savings bank sector, distress events can be resolved by local politicians or a state-level association. ... -
Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
(2016-04-18)This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different ... -
Commodities, Financialization, and Heterogeneous Agents
(2016-04-28)The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for ... -
Understanding the Shift from Micro to Macro-Prudential Thinking: A Discursive Network Analysis
(2016-05-09)While some economists argued for macro-prudential regulation pre-crisis, the macro-prudential approach and its emphasis on endogenously created systemic risk have only gained prominence post-crisis. Employing discourse and ... -
Preference Evolution and the Dynamics of Capital Markets
(2016-05-13)This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the ... -
Optimal Consumption and Portfolio Choice with Loss Aversion
(2016-05-16)This paper analyses the consumption-investment problem of a loss averse investor equipped with s-shaped utility over consumption relative to a time-varying reference level. Optimal consumption exceeds the reference level ...