Auflistung LIF-SAFE Working Papers nach Titel
Anzeige der Dokumente 198-217 von 334
-
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 ... -
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ... -
Predictors and Portfolios Over the Life Cycle
(2018-06-08)In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we evaluate the welfare effects of predictability on life-cycle consumption-portfolio choice. We compare skilled investors ... -
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 ...