Similar Search Results

A Model of Credit Risk, Optimal Policies and Asset Prices

Basak, Suleyman; Shapiro, Alex - C.E.P.R. Discussion Papers - 2002

and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …

Persistent link: https://www.econbiz.de/10005788927

A Theory of Regular Markov Perfect Equilibria in Dynamic Stochastic Games: Genericity, Stability, and Purification

Doraszelski, Ulrich; Escobar, Juan - C.E.P.R. Discussion Papers - 2008

This paper develops a theory of regular Markov perfect equilibria in dynamic stochastic games. We show that almost all …

Persistent link: https://www.econbiz.de/10005497794

Competition for traders and risk

Bijlsma, Michiel; Boone, Jan; Zwart, Gijsbert - C.E.P.R. Discussion Papers - 2012

the labour market for traders intensifies, banks optimally offer top traders contracts inducing them to take more risk … to reduced risk-taking by their top traders. …

Persistent link: https://www.econbiz.de/10011084687

Consumption Over the Life-Cycle

Gourinchas, Pierre-Olivier; Parker, Jonathan A - C.E.P.R. Discussion Papers - 2000

risk aversion, we find that consumer behaviour changes strikingly over the life-cycle. Young consumers behave as buffer …

Persistent link: https://www.econbiz.de/10005504201

Dynamic Price Competition with Switching Costs

Fabra, Natalia; García, Alfredo - C.E.P.R. Discussion Papers - 2012

We develop a continuous-time dynamic model with switching costs. In a relatively simple Markov Perfect equilibrium, the dominant firm concedes market share by charging higher prices than the smaller firm. In the short-run, switching costs might have two types of anti-competitive effects: first,...

Persistent link: https://www.econbiz.de/10011084030

Monetary Policy and Uncertainty about the Natural Unemployment Rate

Wieland, Volker - C.E.P.R. Discussion Papers - 2003

Inflation-targeting central banks have only imperfect knowledge about the effect of policy decisions on inflation. An important source of uncertainty is the relationship between inflation and unemployment. This Paper studies the optimal monetary policy in the presence of uncertainty about the...

Persistent link: https://www.econbiz.de/10005067479

Dynamic Mean-Variance Asset Allocation

Basak, Suleyman; Chabakauri, Georgy - C.E.P.R. Discussion Papers - 2009

Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple...

Persistent link: https://www.econbiz.de/10005656376

When Can Central Banks Anchor Expectations? Policy communication and controllability

Acocella, Nicola; Di Bartolomeo, Giovanni; Hughes … - C.E.P.R. Discussion Papers - 2008

Rational expectations are often used as a strong argument against policy activism, as they may undermine or neutralize the policymaker’s actions. Although this sometimes happens, rational expectations do not always imply policy invariance or ineffectiveness. In fact, in certain circumstances...

Persistent link: https://www.econbiz.de/10005661866

The Impact of Changing Demographics and Pensions on The Demand for Housing and Financial Assets

Cerny, Ales; Miles, David K; Schmidt, Lubomir - C.E.P.R. Discussion Papers - 2005

Using a calibrated OLG model with several sources of uncertainty we find that the impact of ageing and of reform of social security upon the demand for housing and the level of owner occupation is substantial. The overall structure of household asset holdings – in particular the split between...

Persistent link: https://www.econbiz.de/10005662297

Linear-Quadratic Approximation of Optimal Policy Problems

Benigno, Pierpaolo; Woodford, Michael - C.E.P.R. Discussion Papers - 2006

We consider a general class of nonlinear optimal policy problems involving forward-looking constraints (such as the Euler equations that are typically present as structural equations in DSGE models), and show that it is possible, under regularity conditions that are straightforward to check, to...

Persistent link: https://www.econbiz.de/10005791608