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Currency Risk in Currency Unions
Kriwoluzky, Alexander; Müller, Gernot; Wolf, Martin - C.E.P.R. Discussion Papers - 2013
Sovereign yield spreads within currency unions may reflect the risk of outright default. Yet, if exit from the currency union is possible, spreads may also reflect currency risk. In this paper, we develop a New Keynesian model of a small member country of a currency union, allowing both for...
Persistent link: https://www.econbiz.de/10011084136
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Investment and Demand Uncertainty
Guiso, Luigi; Parigi, Giuseppe - C.E.P.R. Discussion Papers - 1996
-uncertainty relationship is in principle ambiguous and can vary greatly across groups of firms depending on the degree of irreversibility of …
Persistent link: https://www.econbiz.de/10005123802
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Disasters implied by equity index options
Backus, David; Chernov, Mikhail; Martin, Ian - C.E.P.R. Discussion Papers - 2009
events as departures from normality of the log of the pricing kernel and summarize their impact with high-order cumulants …: skewness, kurtosis, and so on. We show that high-order cumulants are quantitatively important in both representative …
Persistent link: https://www.econbiz.de/10004976797
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A "quantum" approach to rational inattention
Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 2010
entropy, in the usual discrete sense, of the endogenous variable. The approach is illustrated with two applications: a general …
Persistent link: https://www.econbiz.de/10008530353