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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...
Persistent link: https://www.econbiz.de/10012158736
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The effect of better information on income inequality
Eckwert, Bernhard; Zilcha, Itzhak - 2003
which is used for updating beliefs. Thus, a better information system affects the distribution of human capital in each …) If the relative measure of risk aversion is less (more) than 1 then more information raises (reduces) income inequality …. (b) When a risk sharing market is available better information results in higher inequality regardsless of the measure …
Persistent link: https://www.econbiz.de/10011507996
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Guaranteed renewable life insurance under demand uncertainty
Hoy, Michael; Mirza, Afrasiab; Sadanand, Asha B. - 2018
Guaranteed renewability is a prominent feature in many health and life insurance markets. It is well established in the literature that, when there is (only) risk type uncertainty, the optimal GR contract with renewal price set at the actuarially fair price for low risk types provides full...
Persistent link: https://www.econbiz.de/10011864322
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Endogenous growth, the distribution of wealth, and optimal policy under incomplete markets and idiosyncratic risk
Clemens, Christiane; Heinemann, Maik - 2012
This paper combines the standard incomplete markets model of uninsurable idiosyncratic risks and borrowing constraints with the Arrow/Romer approach to endogenous growth to analyze the interaction of risk, growth, and inequality, the latter also endogenously determined in equilibrium. We derive...
Persistent link: https://www.econbiz.de/10009540768
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Legal uncertainty as a welfare enhancing screen
Lang, Matthias - 2016
Consider legal uncertainty as uncertainty about the legality of a specific action. In particular, suppose that the threshold of legality is uncertain. I show that this legal uncertainty raises welfare. Legal uncertainty changes deterrence in opposite directions. The probability of conviction...
Persistent link: https://www.econbiz.de/10011557794
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Risk and heterogeneity in benefits from vocational versus general secondary-education : estimates for early and mature career stages in Portugal
Hartog, Joop; Raposo, Pedro; Reis, Hugo - 2023
We estimate a dynamic model of individual labour market careers (turnover and search, wage development) on Portuguese panel data of graduates from vocational and general secondary education. We find that vocational graduates benefit more from the internal labour market than from the external...
Persistent link: https://www.econbiz.de/10014309585
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Unpacking economic uncertainty : measuring the firm, sector and aggregate components
Mohades, Siavash; Piccillo, Giulia; Treibich, Tania - 2024
We introduce a novel method for measuring economic uncertainty at the firm, sector, and aggregate levels using sales volatility and validate it by comparison with existing macroeconomic uncertainty measures. We use Compustat firms data in the period 2000-2022 to construct our uncertainty...
Persistent link: https://www.econbiz.de/10014486791
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Uncertainty and the employment dynamics of small and large businesses
Ghosal, Vivek; Ye, Yang - 2014
We examine the impact of uncertainty on employment dynamics. Alternative measures of uncertainty are constructed based on the survey of professional forecasters, and regression-based forecasting models for GDP growth, inflation, S&P500 stock price index, and fuel prices. Our results indicate...
Persistent link: https://www.econbiz.de/10010428770
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The usual suspects : does risk tolerance, altruism, and health predict the response to COVID-19?
Sheth, Ketki; Wright, Greg C. - 2020
Using a registered pre-analysis plan, we survey college students during California's Stay-at-Home order to test whether compliance with social distancing requirements depends on key parameters that affect their marginal benefit from doing so. We find a quarter of students violated the order....
Persistent link: https://www.econbiz.de/10012213128
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International environmental agreements with uncertainty, learning and risk aversion
Finus, Michael; Pintassilgo, Pedro; Ulph, Alistair - 2014
This paper analyses the formation of international environmental agreements (IEAs) under uncertainty, focusing on the role of learning and risk aversion. It bridges two strands of literature: one focused on the role learning for the success of IEA formation when countries are risk neutral and...
Persistent link: https://www.econbiz.de/10010234539