Auflistung LIF-SAFE Working Papers nach Titel
Anzeige der Dokumente 174-193 von 334
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Momentum-managed equity factors
(2019-07-22)Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios ... -
Monetary Policy and Risk Taking
(2016-05-19)We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel — monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel ... -
Monetary Policy and the Cost of Wage Rigidity: Evidence from the Stock Market
(2018-01-01)Using a unique confidential contract level dataset merged with firm-level asset price data, we find robust evidence that firms' stock market valuations and employment levels respond more to monetary policy announcements ... -
Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk
(2014-03-26)This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary ... -
Mortgage Supply and the US Housing Boom: The Role of the Community Reinvestment Act
(2019-10-30)This paper studies the role of the Community Reinvestment Act (CRA) in the US housing boom-bust cycle. I find that the enhancement in CRA enforcement in 1998 increased the growth rate of mortgage lending by CRA-regulated ... -
Mortgage Supply and the US Housing Boom: The Role of the Community Reinvestment Act
(2016-10-30)This paper studies the role of the Community Reinvestment Act (CRA) in the US housing boom-bust cycle. I find that the enhancement in CRA enforcement in 1998 increased the growth rate of mortgage lending by CRA-regulated ... -
Motivated Beliefs and the Elderly's Compliance with COVID-19 Measures
(2021-01-26)Although the elderly are more vulnerable to COVID-19, the empirical evidence suggests that they do not behave more cautiously in the pandemic than younger individuals. This theoretical model argues that some individuals ... -
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
(2018-11-01)Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ... -
Multiplex interbank networks and systemic importance: An application to European data
(2015-05-01)Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures ... -
Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ... -
Natural Disaster and Bank Stability: Evidence from the U.S. Financial System
(2018-04-01)We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ... -
Networks in Risk Spillovers: A Multivariate GARCH Perspective
(2018-08-01)We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ... -
"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
(2015-07-31)In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ... -
Non-Mandatory Say on Pay Votes and AGM Participation: Evidence from Germany
(2015-06-01)Since August 2009, German legislation allows for voluntary Say on Pay Votes (SoPV) during Annual General Meetings (AGMs). We examine 1,169 AGMs of all German listed firms with more than 10,000 agenda items over the period ... -
Obfuscation and Rational Inattention in Digitalized Markets
(2021-02-05)This paper studies the behavior of competing firms in a duopoly with rational inattentive consumers. Firms play a sequential game in which they decide to obfuscate their individual prices before competing on price. ... -
Older People’s Willingness to Delay Social Security Claiming
(2016-09-01)We designed and fielded an experimental module in the 2014 HRS which seeks to measure older persons’ willingness to voluntarily defer claiming of Social Security benefits. In addition we evaluate the stated willingness of ... -
On Deficits and Symmetries in a Fiscal Capacity
(2015-07-01)"There is a growing debate about complementing the European Monetary Union by a more comprehensive fiscal union. Against this background, this paper emphasizes that there is a trade-off in designing a system of fiscal ... -
On the (ir)relevance of monetary incentives in risk preference elicitation experiments
(2020-08-31)Incentivized experiments in which individuals receive monetary rewards according to the outcomes of their decisions are regarded as the gold standard for preference elicitation in experimental economics. These task-related ... -
On the Applicability of Maximum Likelihood Methods: From Experimental to Financial Data
(2013-12-24)This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research question, ... -
On the Distributive Effects of Inflation
(2015-06-01)This paper undertakes a quantitative investigation of the effects of anticipated inflation on the distribution of household wealth and welfare. Consumer Finance Data on household financial wealth suggests that about a third ...