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Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011756113

Consumption and precautionary saving : an empirical analysis under both financial and environmental risks

Baiardi, Donatella; Manera, Matteo; Menegatti, Mario - 2011

This paper studies the empirical relationship between consumption and saving under two different sources of uncertainty: financial risk and environmental risk. The analysis is carried out using time series data for six advanced economies in the period 1965-2007. The results support the...

Persistent link: https://www.econbiz.de/10009235901

Multiple losses, ex-ante moral hazard, and the non-optimality of the standard insurance contract

Breuer, Michael (contributor) - 2003 - [Elektronische Ressource]

Under certain conditions the optimal insurance policy will offer full coverage above a deductible, as Arrow and others … have shown long time ago. Interestingly, the same design of insurance policies applies in case of a single loss and ex …-ante moral hazard. However, many insurance policies provide coverage against a variety of losses and the possibilities for the …

Persistent link: https://www.econbiz.de/10001744785

Designing UISAs for developing countries

Cirelli, Fernando; Espino, Emilio; Sanchez, Juan M. - 2018

The benefits of implementing Unemployment Insurance Savings Accounts (UISAs) are studied in the presence of the …

Persistent link: https://www.econbiz.de/10011911462

A theory of firm decline

Clementi, Gian Luca; Cooley, Thomas F.; Di Giannatale, Sonia - 2010 - This version: July 20, 2009

We study the problem of an investor that buys an equity stake in an entrepreneurial venture, under the assumption that the former cannot monitor the latter’s operations. The dynamics implied by the optimal incentive scheme is rich and quite different from that induced by other models of...

Persistent link: https://www.econbiz.de/10008732070

Dynamic regulation of public franchises with imperfectly correlated demand shocks

Buso, Marco; Dosi, Cesare; Moretto, Michele - 2023

In a continuous-time setting, we study the design of a dynamic contract between a government and a private entity, wherein the latter commits to pay the government in return for the exclusive right to sell a service by operating a public facility. Private revenues are modelled as depending on...

Persistent link: https://www.econbiz.de/10013547855

Sharing of climate risks across world regions

Emmerling, Johannes - 2014

uniform. We analyze how climate risks could be reduced via an insurance scheme at the global scale across regions and quantify …

Persistent link: https://www.econbiz.de/10010404114

The effects of environmental risk on consumption : an empirical analysis on the Mediterranean countries

Baiardi, Donatella; Manera, Matteo; Menegatti, Mario - 2014

This paper empirically estimates a micro-founded model which studies the macroeconomic impact of environmental and financial risks on consumption choices in the Mediterranean Region. The analysis is carried out using time series aggregate data for fourteen Mediterranean countries over the period...

Persistent link: https://www.econbiz.de/10010347224

The impact of ambiguity prudence on insurance and prevention

Berger, Loïc - 2015

Most decisions concerning (self-)insurance and self-protection have to be taken in situations in which a) the effort … under which ambiguity aversion raises the demand for (self-)insurance and self-protection. In particular, it is shown that …

Persistent link: https://www.econbiz.de/10010486991

Credit and saving constraints in general equilibrium : evidence from survey data

Granda Carvajal, Catalina; Hamann S., Franz A.; Tamayo, … - 2017

with credit constraints. Saving constraints in the form of fixed costs to use the financial system lead households to seek … informal saving instruments (cash) and result in lower aggregate saving. Credit constraints induce misallocation of capital … model using survey data from a developing country where informal saving and credit constraints are pervasive. Our …

Persistent link: https://www.econbiz.de/10011656466