LIF-SAFE Working Papers: Recent submissions
Anzeige der Dokumente 161-180 von 334
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Liquidity Premia in CDS Markets
(2017-07-14)We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ... -
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ... -
Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare
(2017-04-13)"We study the general equilibrium implications of different fiscal policies on macroeconomic quantities, asset prices, and welfare by utilizing two endogenous growth models. The expanding variety model features only ... -
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 ... -
The Impact of Biases in Survival Beliefs on Savings Behavior
(2017-03-24)"On average young people ""undersave"" whereas old people ""oversave"" with respect to the rational expectations model of life-cycle consumption and savings. According to numerous studies on subjective survival beliefs, ... -
Women form social networks more selectively and less opportunistically than men
(2017-03-01)We test two hypotheses, based on sexual selection theory, about gender differences in costly social interactions. Differential selectivity states that women invest less than men in interactions with new individuals. ... -
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, ... -
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
(2016-10-01)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, ... -
Estimation and Model-Based Combination of Causality Networks
(2017-01-31)Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions ... -
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 ... -
Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices
(2017-10-05)The international diffusion of technology plays a key role in stimulating global growth and explaining co-movements of international equity returns. Existing empirical evidence suggests that countries are heterogeneous in ... -
Asymmetric Social Norms
(2017-01-10)Studies of cooperation in infinitely repeated matching games focus on homogeneous economies, where full cooperation is efficient and any defection is collectively sanctioned. Here we study heterogeneous economies where ... -
The Effect of Personal Financing Disruptions on Entrepreneurship
(2018-10-14)This paper studies how disruptions to personal sources of financing, aside from commercial lending supply shocks, impair the survival and growth of small businesses. Entrepreneurs holding deposit accounts at retail banking ... -
Abandon Ship: Deferred Compensation and Risk-Taking Incentives in Bad Times
(2017-05-23)We study how US chief executive officers (CEOs) invest their deferred compensation plans depending on the firm's profitability. By looking at the correlation between the CEO's return on these plans and the firm's stock ... -
Which Market Integration Measure?
(2017-08-04)This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In ... -
Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?
(2016-12-12)This paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate ... -
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’ ... -
Bank Response To Higher Capital Requirements: Evidence From A Quasi-Natural Experiment
(2016-12-07)We study the impact of higher capital requirements on banks’ balance sheets and its transmission to the real economy. The 2011 EBA capital exercise is an almost ideal quasi-natural experiment to identify this impact with ... -
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 ...