Showing 1 - 10 of 600
This paper studies asset markets in which ambiguity averse investors face Knightian uncertainty about expected payoffs. The same investors, however, might wish to resolve their uncertainty, although not risk, by just purchasing information. In these markets, uninformed and, hence, ambiguity...
Persistent link: https://www.econbiz.de/10004997416
This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of .uctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive...
Persistent link: https://www.econbiz.de/10005073840
 This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and...
Persistent link: https://www.econbiz.de/10005027650
In a market with informationally connected traders, the dynamics of volume, price informativeness, price volatility, and liquidity are severely affected by the information linkages every trader experiences with his peers. We show that in the presence of information linkages among traders, volume...
Persistent link: https://www.econbiz.de/10005027664
Does capital markets uncertainty affect the business cycle? We find that financial volatility predicts 30% of post-war economic activity in the United States, and that during the Great Moderation, aggregate stock market volatility explains, alone, up to 55% of real growth. In out-of-sample...
Persistent link: https://www.econbiz.de/10008493129
Persistent link: https://www.econbiz.de/10005478194
We show that price level stabilization is not optimal in an economy where agents have incomplete knowledge about the policy implemented and try to learn it. A systematically more accommodative policy than what agents expect generates short term gains without triggering an abrupt loss of...
Persistent link: https://www.econbiz.de/10011155373
I solve a repeated moral hazard model with a fast and flexible numerical algorithm. Instead of applying the traditional Abreu, Pierce and Stacchetti (1990), I extend the Lagrangean techniques developed in Marcet and Marimon (1998) to the principal-agent framework. A numerical procedure is...
Persistent link: https://www.econbiz.de/10011081120
This paper analyzes the incentives to strategically default in a dynamic principal-agent model with hidden savings and one-sided limited commitment. The agent's outside option depends on the hidden savings, therefore the principal cannot observe the agent's incentives to default. The agent has a...
Persistent link: https://www.econbiz.de/10011081754
We show that price level stabilization is not optimal in an economy where agents have incomplete knowledge about the policy implemented and try to learn it. A systematically more accommodative policy than what agents expect generates short term gains without triggering an abrupt loss of...
Persistent link: https://www.econbiz.de/10011115736