LIF-SAFE Working Papers: Recent submissions

Anzeige der Dokumente 321-334 von 334

    • Trust in the Monetary Authority 

      Bursian, Dirk; Faia, Ester (2013-07-01)
      Trust in policy makers fluctuates significantly over the cycle and affects the transmission mechanism. Despite this it is absent from the literature. We build a monetary model embedding trust cycles; the latter emerge as ...

    • Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios 

      Calvet, Laurent E.; Sodini, Paolo (2013-03-21)
      This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested In risky assets is an increasing and concave function of financial wealth, ...

    • 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 ...

    • The Dynamics of Crises and the Equity Premium 

      Branger, Nicole; Kraft, Holger; Meinerding, Christoph (2015-05-18)
      It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ...

    • Interbank Networks and Backdoor Bailouts: Benefiting from other Banks' Government Guarantees 

      Eisert, Tim; Eufinger, Christian (2018-05-02)
      This paper explains why banks derive a benefit from being highly interconnected. We show that when banks are protected by government guarantees they can significantly increase their expected returns by channeling funds ...

    • Incentive-Based Capital Requirements 

      Eufinger, Christian; Gill, Andrej (2018-05-02)
      This paper proposes a new regulatory approach that implements capital requirements contingent on executive incentive schemes. We argue that excessive risk-taking in the financial sector originates from the shareholder moral ...

    • Monetary Policy and Risk Taking 

      Angeloni, Ignazio; Faia, Ester; Lo Duca, Marco (2016-05-19)
      We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel — monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel ...

    • Bank and Sovereign Debt Risk Connection 

      Darracq Pariès, Matthieu; Faia, Ester; Rodriguez Palenzuela, Diego (2013-01-01)
      Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden ...

    • 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, ...

    • Option-Implied Information and Predictability of Extreme Returns 

      Vilkovz, Grigory; Xiaox, Yan (2013-01-28)
      We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...

    • Does Mood Affect Trading Behavior? 

      Kaustia, Markku; Rantapuska, Elias (2012-11-09)
      We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, ...

    • Does sophistication affect long-term return expectations? Evidence from financial advisers' exam scores 

      Kaustia, Markku; Lehtoranta, Antti; Puttonen, Vesa (2013-01-22)
      We use unique data fromfinancial advisers’ professional exam scores and combine it with other variables to create an index of financial sophistication. Using this index to explain long-term stock return expectations, we ...

    • 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 ...

    • 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 ...