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Rydqvist, Kristian; Schwartz, Steven; Spizman, Joshua - C.E.P.R. Discussion Papers - 2011

A worker can contribute pre-tax dollars to a private pension plan. Under a progressive tax, this feature reduces income taxes. Ippolito (1986} argues that an individual in 1979 can reduce lifetime taxes by 20%. We re-examine his analysis using the complete time-series of US income tax history...

Persistent link: https://www.econbiz.de/10009644030

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - C.E.P.R. Discussion Papers - 2015

We provide new empirical evidence concerning the contentious debate over the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. These accounting rules, through their interactions with capital regulations, alter financial institutions’...

Persistent link: https://www.econbiz.de/10011186617

Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System

Cukierman, Alex; Izhakian, Yehuda - C.E.P.R. Discussion Papers - 2011

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

Persistent link: https://www.econbiz.de/10009144737

Life-Cycle Portfolio choice with Liquid and Illiquid Assets

Campanale, Claudio; Fugazza, Carolina; Gomes, Francisco J - C.E.P.R. Discussion Papers - 2015

different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard …

Persistent link: https://www.econbiz.de/10011145459

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility

Bhamra, Harjoat S.; Uppal, Raman - C.E.P.R. Discussion Papers - 2005

an investor’s risk aversion and elasticity of intertemporal substitution that is made possible by recursive utility, in … contrast to expected utility, where the two are governed by the same parameter. In particular, we study exactly how risk … portfolio policies. We find that, in general, the consumption and portfolio decisions depend on both risk aversion and the …

Persistent link: https://www.econbiz.de/10005661747

Incomplete-Market Equilibria Solved Recursively on an Event Tree

Dumas, Bernard J; Lyasoff, Andrew - C.E.P.R. Discussion Papers - 2009

We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...

Persistent link: https://www.econbiz.de/10005124234

Asset Pricing under Rational Learning about Rare Disasters

Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Persistent link: https://www.econbiz.de/10009201120

Are Household Portfolios Efficient? An Analysis Conditional on Housing

Pelizzon, Loriana; Weber, Guglielmo - C.E.P.R. Discussion Papers - 2003

periods of no adjustment that are affected by housing price risk (through a hedge term). When the housing stock is not …

Persistent link: https://www.econbiz.de/10005114460

Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe

Bovenberg, A Lans; Nijman, Theo E - C.E.P.R. Discussion Papers - 2015

withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …

Persistent link: https://www.econbiz.de/10011252616

Investors' horizons and the Amplification of Market Shocks

Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2010

After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the...

Persistent link: https://www.econbiz.de/10008683532