LIF-SAFE Working Papers: Recent submissions
Anzeige der Dokumente 221-240 von 334
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"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
(2015-07-31)In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ... -
Aggregate and Distributional Effects of Increasing Taxes on Top Income Earners
(2015-07-13)We analyze the macroeconomic implications of increasing the top marginal income tax rate using a dynamic general equilibrium framework with heterogeneous agents and a fiscal structure resembling the actual U.S. tax system. ... -
On Deficits and Symmetries in a Fiscal Capacity
(2015-07-01)"There is a growing debate about complementing the European Monetary Union by a more comprehensive fiscal union. Against this background, this paper emphasizes that there is a trade-off in designing a system of fiscal ... -
Are Tax Havens Good? Implications of the Crackdown on Secrecy
(2015-07-01)The pressure on tax haven countries to engage in tax information exchange shows first effects on capital markets. Empirical research suggests that investors do react to information exchange and partially withdraw from ... -
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. ... -
Regulatory Influence on Market Conditions in the Banking Union
(2015-06-02)This paper looks into the specific influence that the European banking union will have on (future) bank client relationships. It shows that the intended regulatory influence on market conditions in principle serves as a ... -
Compensation Schemes, Liquidity Provision, and Asset Prices: An Experimental Analysis
(2015-06-01)In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At ... -
Non-Mandatory Say on Pay Votes and AGM Participation: Evidence from Germany
(2015-06-01)Since August 2009, German legislation allows for voluntary Say on Pay Votes (SoPV) during Annual General Meetings (AGMs). We examine 1,169 AGMs of all German listed firms with more than 10,000 agenda items over the period ... -
Informal Sector and Economic Development: The Credit Supply Channel
(2015-05-01)The standard view suggests that removing barriers to entry and improving judicial enforcement reduces informality and boosts investment and growth. However, a general equilibrium approach shows that this conclusion may ... -
A Decentralization Theorem of Taxation
(2015-05-01)"In the EU there are longstanding and ongoing pressures towards a tax that is levied on the EU level to substitute for national contributions. We discuss conditions under which such a transition can make sense, starting ... -
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 ... -
Measuring Sovereign Contagion in Europe
(2015-04-01)This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ... -
Multiplex interbank networks and systemic importance: An application to European data
(2015-05-01)Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures ... -
On the Impact of Leveraged Buyouts on Bank Systemic Risk
(2015-04-01)Although banks are at the center of systemic risk, there are other institutions that contribute to it. With the publication of the leveraged lending guideline in March 2013, the U.S. regulators show that they are especially ... -
Taking the Lead: When Non-Banks Arrange Syndicated Loans
(2015-04-01)In the mid-1990s, institutional investors entered the syndicated loan market and started to serve borrowers as lead arrangers. Why are non-banks able to compete for this role against banks? How do the composition of ... -
The Influence of Leveraged Buyouts on Target Firms’ Competitors
(2015-04-01)This paper analyzes the influence Leveraged Buyouts (LBOs) have on the operating performance of the LBO target companies’ direct competitors. A unique and hand-collected data set on LBOs in the United States in the period ... -
The Effects of Contingent Convertible (CoCo) Bonds on Insurers’ Capital Requirements under Solvency II
(2015-02-01)The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they ... -
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 ... -
Banking Union and the Governance of Credit Institutions - A Legal Perspective
(2015-04-08)The creation of the Banking Union is likely to come with substantial implications for the governance of Eurozone banks. The European Central Bank, in its capacity as supervisory authority for systemically important banks, ... -
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
(2016-11-18)We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the Euro-zone crisis and the subsequent European Central Bank (ECB) interventions. Credit risk drives the liquidity ...