Auflistung LIF-SAFE Working Papers nach Titel
Anzeige der Dokumente 53-72 von 334
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Consumption and Wage Humps in a Life-Cycle Model with Education
(2015-02-24)The observed hump-shaped life-cycle pattern in individuals’ consumption cannot be explained by the classical consumption-savings model. The consensus explanation is that the hump is caused by constraints and unspanned ... -
Consumption Habits and Humps
(2015-07-10)We show that the optimal consumption of an individual over the life cycle can have the hump shape (inverted U-shape) observed empirically if the preferences of the individual exhibit internal habit formation. In the absence ... -
Consumption-Investment Problems with Stochastic Mortality Risk
(2014-03-03)I numerically solve realistically calibrated life cycle consumption-investment problems in continuous time featuring stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity ... -
Consumption-Portfolio Choice with Preferences for Cash
(2018-07-12)This paper studies a consumption-portfolio problem where money enters the agent's utility function. We solve the corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption ... -
Control Thyself: Self-Control Failure and Household Wealth
(2014-10-09)We examine the relationship between household wealth and self-control. Although self-control has been linked to consumption and financial behavior, its measurement remains an open issue. We employ a definition of self-control ... -
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
(2017-01-27)We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ... -
Corporate Groups
(2014-09-22)This paper contrasts the recent European initiatives on regulating corporate groups with alternative approaches to the phenomenon. In doing so it pays particular regard to the German codified law on corporate groups as the ... -
Credit Cycles: Experimental Evidence
(2016-06-23)This paper reports that credit cycles emerged in laboratory economies that were not hit by aggregate shocks and in which information about fundamentals was perfect. This main result is in our view puzzling because standard ... -
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
(2019-10-14)We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ... -
Critical Illness Insurance in Life Cycle Portfolio Problems
(2014-03-03)I analyze a critical illness insurance in a consumption-investment model over the life cycle. I solve a model with stochastic mortality risk and health shock risk numerically. These shocks are interpreted as critical illness ... -
Cross-Border Resolution of Global Banks
(2015-03-01)Most recent regulations establish that resolution of global banking groups shall be done according to bail-in procedures and following a Single Point of Entry (SPE) as opposed to a Multiple Point of Entry (MPE) approach. ... -
Debt Holder Monitoring and Implicit Guarantees: Did the BRRD Improve Market Discipline?
(2018-09-25)This paper argues that the introduction of the Banking Recovery and Resolution Directive (BRRD) improved market discipline in the European bank market for unsecured debt. The different impact of the BRRD on bank bonds ... -
Depressed Demand
(2020-02-14)Using a survey of Dutch households, we find that individuals who have experienced higher national unemployment rates over their lifetime save more and borrow less, after controlling for aggregate shocks, income, wealth, ... -
Designated Market Makers: Competition and Incentives
(2020-03-30)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 ... -
Did Consumers Want Less Debt? Consumer Credit Demand versus Supply in the Wake of the 2008-2009 Financial Crisis
(2014-01-01)We explore the sources of household balance sheet adjustment following the collapse of the housing market in 2006. First, we use microdata from the Federal Reserve Board’s Senior Loan Officer Opinion Survey to document ... -
Direct and Indirect Risk-Taking Incentives of Inside Debt
(2016-07-16)We develop a model of managerial compensation structure and asset risk choice. The model provides predictions about the relation between credit spreads and different compensation components. First, we show that credit ... -
Discount rates, debt maturity, and the fiscal theory
(2021-10-12)This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government ... -
Does Austerity Pay Off?
(2015-02-01)We ask whether cuts of government consumption lower or raise the sovereign default premium. To address this question, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series ... -
Does Exchange of Information between Tax Authorities Influence Multinationals’ Use of Tax Havens?
(2015-02-23)Since the mid-1990s, countries offering tax systems that facilitate international tax avoidance and evasion have been facing growing political pressure to comply with the internationally agreed standards of exchange of tax ... -
Does feedback on personal investment success help?
(2016-12-06)In a field study with more than 1.500 customers of an online-broker we test what happens when investors receive repeated feedback on their investment success in a monthly securities account report. The reports show investors’ ...