Showing 1 - 10 of 359
This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets across various holding horizons. The econometric analysis is based on a self-exciting threshold autoregression setup. Using quarterly French and US data from 1970Q4 to 2012Q4,...
Persistent link: https://www.econbiz.de/10010934676
This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets across various holding horizons. The econometric analysis is based on a self-exciting threshold autoregression setup. Using quarterly French and US data from 1970Q4 to 2012Q4,...
Persistent link: https://www.econbiz.de/10010934776
Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these...
Persistent link: https://www.econbiz.de/10012717250
We explore the various arguments for and against the recommendation that younger households should invest a larger share of their pension wealth in risky assets. The ability of young agents to compensate their financial losses by saving more during their career provides the strongest argument in...
Persistent link: https://www.econbiz.de/10012784949
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10012786224
We consider in this paper the problem of a risk-averse firm with limited liability. The firm has to select the size of its investment in a risky project. We show that the optimal exposure to risk of the limited liability firm is always larger than under full liability. Moreover, there exists a...
Persistent link: https://www.econbiz.de/10012775169
The ability to share risk efficiently in the economy is essential to welfare and growth. However, the increased frequency of natural catastrophes over the last decade has raised once again questions associated to the limits of insurability in a free-market economy, and to the relevance of public...
Persistent link: https://www.econbiz.de/10012783800
The efficient rate of return of a zero-coupon bond with maturity t is determined by our expectations about the mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and t. The shape of the yield curve is thus determined by how these moments vary with t. We...
Persistent link: https://www.econbiz.de/10012754563
Suppose that a group of agents having divergent expectations can share risks efficiently. We examine how this group should behave collectively to manage these risks. We show that the beliefs of the representative agent are in general a function of the group's wealth level, or equivalently, that...
Persistent link: https://www.econbiz.de/10012754636
We consider the effect of information on the ex ante average risk-free rate and the equity premium in a standard exchange economy with a representative agent. We show that information always increases the average risk-free rate. Clearly, perfect information eliminates the equity premium;...
Persistent link: https://www.econbiz.de/10012728058