Auflistung LIF-SAFE Working Papers nach Titel
Anzeige der Dokumente 195-214 von 334
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On the Optimal Provision of Social Insurance
(2015-08-29)In this paper we compute the optimal tax and education policy transition in an economy where progressive taxes provide social insurance against idiosyncratic wage risk, but distort the education decision of households. ... -
Only Time will Tell: A Theory of Deferred Compensation
(2018-08-09)This paper provides a complete characterization of optimal contracts in principal-agent settings where the agent's action has persistent effects. We model general information environments via the stochastic process of the ... -
Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation
(2014-12-01)I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment ... -
Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change
(2018-09-24)This paper studies a dynamic stochastic general equilibrium model involving climate change. Our framework allows for feedback effects on the temperature dynamics. We are able to match estimates of future temperature ... -
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ... -
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 ... -
Optimal Policy and Taylor Rule Cross-Checking Under Parameter Uncertainty
(2013-09-26)We examine whether the robustifying nature of Taylor rule cross-checking under model uncertainty carries over to the case of parameter uncertainty. Adjusting monetary policy based on this kind of cross-checking can improve ... -
Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence
(2017-01-31)People who delay claiming Social Security receive higher lifelong benefits upon retirement. We survey individuals on their willingness to delay claiming later, if they could receive a lump sum in lieu of a higher annuity ... -
Optimal Taxes on Capital in the OLG Model with Uninsurable Idiosyncratic Income Risk
(2018-02-09)We characterize the optimal linear tax on capital in an Overlapping Generations model with two period lived households facing uninsurable idiosyncratic labor income risk. The Ramsey government internalizes the general ... -
Optimists and Pessimists in (In)Complete Markets
(2019-06-06)We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ... -
Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ... -
OTC Discount
(2020-12-08)We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ... -
OTC Discount
(2021-10-08)We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ... -
P2P Lending versus Banks: Cream Skimming or Bottom Fishing?
(2018-04-18)We derive three testable predictions from a bank-P2P lender model of competition: (i) P2P lending grows when some banks are faced with exogenously higher regulatory costs, (ii) P2P loans are riskier than bank loans; and ... -
P2P Lending versus Banks: Cream Skimming or Bottom Fishing?
(2021-10-08)We derive three testable predictions from a bank-P2P lender model of competition: (a) P2P lending grows when some banks are faced with exogenously higher regulatory costs, (b) P2P loans are riskier than bank loans, and (c) ... -
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ... -
Paying for Market Liquidity: Competition and Incentives
(2019-02-01)Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ... -
Peer Effects and Risk Sharing in Experimental Asset Markets
(2015-02-02)Previous research has documented strong peer effects in risk taking, but little is known about how such social influences affect market outcomes. Since the consequences of social interactions are hard to isolate in financial ... -
Performance Benefits of Tight Control
(2013-06-18)This study investigates the transition from being a listed company with a dispersed ownership structure to being a privately held company with a concentrated ownership structure. We consider a sample of private equity ... -
Portfolio Similarity and Asset Liquidation in the Insurance Industry
(2018-07-30)An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ...