Anzeige der Dokumente 21-40 von 1145

    • Two Monetary Models with Alternating Markets 

      Camera, Gabriele; Chien, YiLi (2013-10-28)
      We present a thought-provoking study of two monetary models: the cash-in-advance and the Lagos and Wright (2005) models. We report that the different approach to modeling money — reduced-form vs. explicit role — neither ...
    • Growth Options and Firm Valuation 

      Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina (2013-11-01)
      "This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, ...
    • Household Debt and Social Interactions 

      Georgarakos, Dimitris; Haliassos, Michalis; Pasini, Giacomo (2013-12-06)
      Can concern with relative standing, which has been shown to influence consumption and labor supply, also increase borrowing and the likelihood of financial distress? We find that perceived peer income contributes to debt ...
    • Stock Ownership and Political Behavior: Evidence from Demutualizations 

      Kaustia, Markku; Knüpfer, Samuli; Torstila, Sami (2013-12-12)
      A setting in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to salience of stock ownership. We use this shock to identify the effect of stock ownership on ...
    • Systemic Risk and Sovereign Debt in the Euro Area 

      Radev, Deyan (2013-12-13)
      We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ...
    • On the Applicability of Maximum Likelihood Methods: From Experimental to Financial Data 

      Jakusch, Sven Thorsten (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, ...
    • Did Consumers Want Less Debt? Consumer Credit Demand versus Supply in the Wake of the 2008-2009 Financial Crisis 

      Gropp, Reint E.; Krainer, John; Laderman, Elizabeth (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 ...
    • Will They Take the Money and Work? An Empirical Analysis of People’s Willingness to Delay Claiming Social Security Benefits for a Lump Sum 

      Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph; Schimetschek, Tatjana (2014-01-01)
      This paper investigates whether exchanging the Social Security delayed retirement credit, currently paid as an increase in lifetime annuity benefits, for a lump sum would induce later claiming and additional work. We show ...
    • Banks’ financial distress, lending supply and consumption expenditure 

      Damar, H. Evren; Gropp, Reint E.; Mordel, Adi (2014-02-01)
      We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank financial distress on consumer credit and consumption expenditures. We ...
    • Liquidity Coinsurance and Bank Capital 

      Castiglionesi, Fabio; Feriozzi, Fabio; Lóránth, Gyöngyi; Loriana Pelizzon (2014-03-01)
      Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank markets (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We ...
    • Consumption-Investment Problems with Stochastic Mortality Risk 

      Schendel, Lorenz S. (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 ...
    • Critical Illness Insurance in Life Cycle Portfolio Problems 

      Schendel, Lorenz S. (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 ...
    • Asset Pricing Under Uncertainty About Shock Propagation 

      Branger, Nicole; Grüning, Patrick; Kraft, Holger; Meinerding, Christoph (2014-03-25)
      We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift ...
    • Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk 

      Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (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 ...
    • Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets 

      Bluhm, Marcel; Krahnen, Jan Pieter (2014-03-30)
      We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ...
    • Exit Strategies 

      Angeloni, Ignazio; Faia, Ester; Winkler, Roland (2014-04-01)
      We study alternative scenarios for exiting the post-crisis fiscal and monetary accommodation using a macromodel where banks choose their capital structure and are subject to runs. Under a Taylor rule, the post-crisis ...
    • The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy 

      Jordà, Òscar; Taylor, Alan M. (2014-04-01)
      After the Global Financial Crisis a controversial rush to fiscal austerity followed in many countries. Yet research on the effects of austerity on macroeconomic aggregates was and still is unsettled, mired by the difficulty ...
    • Mutual Excitation in Eurozone Sovereign CDS 

      Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana (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 ...
    • An Experiment on Retail Payments Systems 

      Camera, Gabriele; Casari, Marco; Bortolotti, Stefania (2014-05-05)
      We study the behavioral underpinnings of adopting cash versus electronic payments in retail transactions. A novel theoretical and experimental framework is developed to primarily assess the impact of sellers’ service fees ...
    • Endogenous Banks’ Networks, Cascades and Systemic Risk 

      Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (2014-06-01)
      We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ...