LIF-SAFE Working Papers: Recent submissions
Anzeige der Dokumente 281-300 von 334
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Anchoring in Experimental Asset Markets
(2015-02-10)We investigate the relationship between anchoring and the emergence of bubbles in experimental asset markets. We show that setting a visual anchor at the fundamental value (FV) in the first period only is sufficient to ... -
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 ... -
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ... -
Mutual Excitation in Eurozone Sovereign CDS
(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 ... -
Exit Strategies
(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 ... -
An Experiment on Retail Payments Systems
(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 ... -
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
(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 ... -
Add-On Pricing in Retail Financial Markets and the Fallacies of Consumer Education
(2016-07-11)We analyze the consequences of consumer education on prices and welfare in retail financial markets when some consumers are naive about shrouded addon prices and banks try to exploit this. Allowing for different information ... -
Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk
(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 ... -
Liquidity Coinsurance and Bank Capital
(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 ... -
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 ... -
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 ... -
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 ... -
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
(2015-02-01)In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ... -
Life Insurance Demand under Health Shock Risk
(2015-06-03)This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ... -
Banks’ financial distress, lending supply and consumption expenditure
(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 ... -
How do insured deposits affect bank risk? Evidence from the 2008 Emergency Economic Stabilization Act
(2014-10-01)This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance ... -
Systemic Risk and Sovereign Debt in the Euro Area
(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 ... -
Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis
(2016-10-01)We design a novel test for changes in market discipline based on the relation between firm-specific risk, credit spreads, and equity returns. We use our method to analyze the evolution of bailout expectations during the ... -
Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate
(2016-06-21)Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits ...