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Real-time macroeconomic data and uncertainty
Glass, Katharina; Fritsche, Ulrich - 2015 - 2nd updated version
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions …
Persistent link: https://www.econbiz.de/10011298898
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Real-time information content of macroeconomic data and uncertainty : an application to the Euro area
Glass, Katharina; Fritsche, Ulrich - 2014
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions …, covering the period of January 1991 until March 2014. The information content or informativeness of revision is measured using …
Persistent link: https://www.econbiz.de/10010425751
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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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Short-term decisions under long-term uncertainty
Tol, Richard S. J. - 1997
The behaviour of future policy-makers substantially influences future greenhouse gas emissions. Uncertainty about the motives of future policy-makers may thus strongly influence the climate policy strategies of current policy-makers. Analytical and numerical analyses in this paper confirm this...
Persistent link: https://www.econbiz.de/10011608362
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Targeting and informal insurance
Ligon, Ethan - 2002
information involves targeted interventions to help those households. However, the effectiveness of these interventions depends on …
Persistent link: https://www.econbiz.de/10010279311
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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/10010282062
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An economic index of riskiness
Aumann, Robert J.; Serrano, Roberto - 2006
Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indifferent between taking and not taking that gamble. We characterize this index by axioms, chief among them a “duality” axiom which, roughly speaking, asserts...
Persistent link: https://www.econbiz.de/10010318897
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On Environmental Taxation under Uncertainty
Blomquist, Sören; Aronsson, Thomas - 1999
This paper addresses optimal taxation, when the relationship between consumption and environmental damage is uncertain and treated as a random variable by policy makers. The main purpose is to analyze how additional uncertainty about this relationship affects the optimal unit tax on the...
Persistent link: https://www.econbiz.de/10010321768
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Riskiness, Risk Aversion, and Risk Sharing: Cooperation in a Dynamic Insurance Game
Laczó, Sarolta - 2008
This paper examines how cooperation in an insurance game depends on risk preferences and the riskiness of income. It considers a dynamic game where commitment is limited, and characterizes the level of cooperation as measured by the reciprocal of the discount factor above which perfect risk...
Persistent link: https://www.econbiz.de/10010494384
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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