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Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
Acharya, Viral V; Schaefer, Stephen M; Zhang, Yili - C.E.P.R. Discussion Papers - 2007
The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...
Persistent link: https://www.econbiz.de/10005123999
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When Does Labor Scarcity Encourage Innovation?
Acemoglu, Daron - C.E.P.R. Discussion Papers - 2009
This paper studies the conditions under which the scarcity of a factor (in particular, labor) encourages technological progress and technology adoption. In standard endogenous growth models, which feature a strong scale effect, an increase in the supply of labor encourages technological...
Persistent link: https://www.econbiz.de/10005791910
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The Environment and Directed Technical Change
Acemoglu, Daron; Aghion, Philippe; Bursztyn, Leonardo; … - C.E.P.R. Discussion Papers - 2011
This paper introduces endogenous and directed technical change in a growth model with environmental constraints. A unique final good is produced by combining inputs from two sectors. One of these sectors uses "dirty" machines and thus creates environmental degradation. Research can be directed...
Persistent link: https://www.econbiz.de/10009365645
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A Dynamic Analysis of the Demand for Health Insurance and Health Care
Bolhaar, Jonneke; Lindeboom, Maarten; van der Klaauw, Bas - C.E.P.R. Discussion Papers - 2008
We investigate the presence of moral hazard and advantageous or adverse selection in a market for supplementary health insurance. For this we specify and estimate dynamic models for health insurance decisions and health care utilization. Estimates of the health care utilization models indicate...
Persistent link: https://www.econbiz.de/10005504294
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Competitive Risk Sharing Contracts with One-Sided Commitment
Krueger, Dirk; Uhlig, Harald - C.E.P.R. Discussion Papers - 2004
given period, after having observed their income, the agent can walk away from the contract, while the intermediary cannot … financial intermediaries. Insurance can be provided because in an equilibrium contract an up-front payment effectively locks in … the agent with an intermediary. We then show that our contract economy is equivalent to a consumption-savings economy with …
Persistent link: https://www.econbiz.de/10005498096
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Agricultural Decisions after Relaxing Credit and Risk Constraints
Karlan, Dean S.; Osei, Robert; Osei-Akoto, Isaac; Udry, … - C.E.P.R. Discussion Papers - 2012
The investment decisions of small-scale farmers in developing countries are conditioned by their financial environment. Binding credit market constraints and incomplete insurance can reduce investment in activities with high expected profits. We conducted several experiments in northern Ghana in...
Persistent link: https://www.econbiz.de/10011083318
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The Supermodular Stochastic Ordering
Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013
In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...
Persistent link: https://www.econbiz.de/10011083601
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Macroeconomics after the crisis – hedgehog or fox?
Miller, Marcus; Zhang, Lei - C.E.P.R. Discussion Papers - 2014
Following the financial crisis of 2008/9, there has been renewed interest in what Greenwald and Stiglitz dubbed ‘pecuniary externalities’. Two that affect borrowers and lenders balance sheets in pro-cyclical fashion are described, along with measures that might help curb their destabilising...
Persistent link: https://www.econbiz.de/10011083632
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Buffett’s Alpha
Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2013
Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...
Persistent link: https://www.econbiz.de/10011083650
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Macroinsurance for Microenterprises: A Randomized Experiment in Post-Revolution Egypt
McKenzie, David - C.E.P.R. Discussion Papers - 2014
their growth. Economic theory suggests uncertainty can cause firms to delay investments until uncertainty is resolved. We …
Persistent link: https://www.econbiz.de/10011084029