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Regulating financial networks under uncertainty

Ramírez, Carlos - 2020

I study the problem of regulating a network of interdependent financial institutions that is prone to contagion when …-improving interventions. While improving network transparency potentially reduces this uncertainty, it does not always lead to welfare …) susceptibility of the network to contagion, (ii) the cost of improving network transparency, (iii) the cost of regulating …

Persistent link: https://www.econbiz.de/10012162697

The effects of capital requirements on good and bad risk-taking

Pancost, N. Aaron; Robatto, Roberto - 2019

We study optimal capital requirement regulation in a dynamic quantitative model in which nonfinancial firms, as well as households, hold deposits. Firms hold deposits for precautionary reasons and to facilitate the acquisition of production inputs. Our theoretical analysis identifies a novel...

Persistent link: https://www.econbiz.de/10012132611

Extreme risk interdependence

Polanski, Arnold; Stoja, Evarist - 2016

We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the...

Persistent link: https://www.econbiz.de/10011974915

R&D profitability : the role of risk and Knightian uncertainty

Amoroso, Sara; Moncada Paternò Castello, Pietro; … - 2015

This paper provides the first empirical attempt of linking firms' profits and investment in R&D revisiting Knight's (1921) distinction between uncertainty and risk. Along with the risky profit-maximizing scenario, identifying a second, off-setting, unpredictable bias that leads to heterogeneous...

Persistent link: https://www.econbiz.de/10011983707

When gambling for resurrection is too risky

Kirti, Divya - 2018

Rather than taking on more risk, US insurers hit hard by the crisis pulled back from risk taking, relative to insurers hit less hard by the crisis. Capital requirements alone do not explain this risk reduction: insurers hit hard reduced risk within assets with identical regulatory treatment....

Persistent link: https://www.econbiz.de/10011848370

Pensions, purchasing-power risk, inflation and indexation

Whitehouse, Edward R. - 2009

Persistent link: https://www.econbiz.de/10003818953

Life-cycle risk-taking with personal disaster risk

Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - 2021

This paper examines households' self-insurance in financial markets when a rare personal disaster, such as disability or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment choices, even if most workers will not experience a disaster....

Persistent link: https://www.econbiz.de/10012793436

Structural analysis with mixed frequencies : monetary policy, uncertainty and gross capital flows

Bacchiocchi, Emanuele; Bastianin, Andrea; Missale, … - 2016

In this paper we study how monetary policy, economic uncertainty and economic policy uncertainty impact on the dynamics of gross capital inflows in the US. Particular attention is paid to the mixed frequency-nature of the economic time series involved in the analysis. A MIDAS-SVAR model is...

Persistent link: https://www.econbiz.de/10012054521

Pension systems, intergenerational risk sharing and inflation

Beetsma, Roel; Bovenberg, Ary Lans - 2006

Persistent link: https://www.econbiz.de/10013446564