Search Results - subject:"buffer"

Theoretical Foundations of Buffer Stock Saving

Carroll, Christopher D. - 2021

"Buffer-stock" versions of the dynamic stochastic optimizing model of saving are now standard in the consumption … literature. This paper builds theoretical foundations for rigorous understanding of the main characteristics of buffer stock … aggregate income growth in a small open economy populated by buffer stock consumers …

Persistent link: https://www.econbiz.de/10013240659

Financial Crash, Commodity Prices and Global Imbalances

Caballero, Ricardo J.; Farhi, Emmanuel; Gourinchas, … - 2021

In this paper we argue that the persistent global imbalances, the subprime crisis, and the volatile oil and asset prices that followed it, are tightly interconnected. They all stem from a global environment where sound and liquid financial assets are in scarce supply

Persistent link: https://www.econbiz.de/10013243462

Income Risk, Precautionary Saving, and Loss Aversion – An Empirical Test

Ibanez, Marcela; Schneider, Sebastian O. - 2021

This paper empirically examines the behavioral precautionary saving hypothesis by Koszegi and Rabin (2009) stating that uncertainty about future income triggers saving because of loss aversion. We extend their theoretical analysis to also consider the internal margin, i.e., the strength, of loss...

Persistent link: https://www.econbiz.de/10013243502

Commodity Price Modeling by Optimal Storage Time

Karimi, Nader; Assa, Hirbod; Salavati, Erfan; Adibi, … - 2021

We propose a modified version of the speculative storage model of Deaton and Laroque (1992) in a continuous-time framework. Unlike most of the literature, where either the demand or the price process are exogenously given, our framework models them endogenously for the storable commodities. This...

Persistent link: https://www.econbiz.de/10013244570

Jumps in Commodity Prices : New Approaches for Pricing Options

Frau, Carme; Crosby, John - 2021

We present a new term-structure model for commodity futures prices based on Trolle and Schwartz (2009) which we extend by incorporating multiple jump processes. Our work explores the valuation of plain vanilla options on futures prices when the spot price follows a log-normal process, the...

Persistent link: https://www.econbiz.de/10013244842

Conditional capital surplus and shortfall across resource firms

Irawan, Denny; Okimoto, Tatsuyoshi - 2021

Persistent link: https://www.econbiz.de/10014382233

The Pass-Through of International Commodity Price Shocks to Producers' Welfare

Kebede, Hundanol A. - 2021

International commodity price shocks may have large impacts on producers in developing countries. In this paper, a unique household panel data from Ethiopia is utilized to show that a decrease in international coffee price has strong pass-through to the consumption of households that rely on...

Persistent link: https://www.econbiz.de/10014579730

Precautionary Savings and the Stock-Bond Covariance

Laarits, Toomas - 2021

I show that the precautionary savings motive can account for high-frequency variation in the stock-bond covariance. An increase in the price of risk lowers risky asset prices on account of an increase in risk premia; it lowers bond yields on account of the precautionary savings component....

Persistent link: https://www.econbiz.de/10013245205

The Empirical Importance of Precautionary Saving

Gourinchas, Pierre-Olivier; Parker, Jonathan A. - 2021

One of the basic motives for saving is the accumulation of wealth to insure future welfare. Both introspection and extant research on consumption insurance find that people face substantial risks that they do not fairly pool. In theory, the consumption and wealth accumulation of price-taking...

Persistent link: https://www.econbiz.de/10013245305

Commodity Prices and Inflation : Evidence from Seven Large Industrial Countries

Boughton, James M.; Branson, William H.; Muttardy, Alphecca - 2021

This paper examines the relationships between movements in primary commodity prices and changes in inflation in the large industrial countries. It begins by developing a two-country model in order to examine the theoretical effects of monetary, fiscal, and supply-side disturbances on commodity...

Persistent link: https://www.econbiz.de/10013246667