LIF-SAFE Working Papers: Recent submissions
Anzeige der Dokumente 261-280 von 334
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Equilibrium Asset Pricing in Directed Networks
(2018-10-16)Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ... -
A Life-Cycle Model with Ambiguous Survival Beliefs
(2015-10-02)Based on a cognitive notion of neo-additive capacities reflecting likelihood insensitivity with respect to survival chances, we construct a Choquet Bayesian learning model over the life-cycle that generates a motivational ... -
Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods
(2016-04-18)This paper investigates extensions of the method of endogenous gridpoints (ENDGM) introduced by Carroll (2006) to higher dimensions with more than one continuous endogenous state variable. We compare three different ... -
Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk
(2015-04-13)When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We incorporate both risks into an analytically tractable model with two overlapping generations. We derive the ... -
Assessing Systemic Fragility – a Probabilistic Perspective
(2014-10-01)We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic ... -
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 ... -
How Special Are They? – Targeting Systemic Risk by Regulating Shadow Banking
(2014-10-05)This essay argues that at least some of the financial stability concerns associated with shadow banking can be addressed by an approach to financial regulation that imports its functional foundations more vigorously into ... -
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 ... -
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 ... -
The Effects of a Low Interest Rate Environment on Life Insurers
(2015-01-01)Low interest rates are becoming a threat to the stability of the life insurance industry, especially in countries such as Germany, where products with relatively high guaranteed returns sold in the past still represent a ... -
A Repeated Principal-Agent Model with On-the-Job Search
(2014-08-01)This paper analyzes how on-the-job search (OJS) by an agent impacts the moral hazard problem in a repeated principal-agent relationship. OJS is found to constitute a source of agency costs because efficient search incentives ... -
Does Product Familiarity Matter for Participation?
(2015-05-19)"Household access to financial products is often conditioned on previous use. However, banning access when learning is possible may be discriminatory or counterproductive. The ""experiment"" of German reunification ... -
Financial Incentives and Loan Officer Behavior: Multitasking and Allocation of Effort Under an Incomplete Contract
(2017-10-10)We investigate the implications of providing loan officers with a non-linear compensation structure that rewards loan volume and penalizes poor performance. Using a unique data set provided by a large international commercial ... -
Vertical Fiscal Imbalances and the Accumulation of Government Debt
(2014-07-01)"The implications of delegating fiscal decision making power to sub-national governments has become an area of significant interest over the past two decades, in the expectation that these reforms will lead to better and ... -
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 ... -
Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security
(2017-12-01)We ask whether a pay-as-you-go financed social security system is welfare improving in an economy with idiosyncratic productivity and aggregate business cycle risk. We show analytically that the whole welfare benefit from ... -
Incompatible European Partners? Cultural Predispositions and Household Financial Behavior
(2015-01-27)The Eurozone fiscal crisis has created pressure for institutional harmonization, but skeptics argue that cultural predispositions can prevent convergence in behavior. Our paper derives a robust cultural classification of ... -
Financial Regulation in the EU – Cross-Border Capital Flows, Systemic Risk and the European Banking Union as Reference Points for EU Financial Market Integration
(2014-06-01)This is a chapter for a forthcoming volume Oxford Handbook of Financial Regulation (Oxford University Press 2014) (eds. Eilís Ferran, Niamh Moloney, and Jennifer Payne). It provides an overview of EU financial regulation ... -
Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries
(2014-08-08)Recent empirical evidence suggests that during the last years fiscally weak European countries significantly cut their R&D budgets in an effort to reduce their deficit, according to the spirit of the Fiscal Compact. We ... -
Measuring Ambiguity Aversion: A Systematic Experimental Approach
(2014-06-20)This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ...