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Rochet, Jean-Charles; Wright, Julian - 2009

We build a model of credit card pricing that explicitly takes into account credit functionality. We show that a monopoly card network always selects an interchange fee that exceeds the level that maximizes consumer surplus. If regulators only care about consumer surplus, a conservative...

Persistent link: https://www.econbiz.de/10011605184

Pricing payment cards

Bedre-Defolie, Özlem; Calvano, Emilio - 2009

In a payment card association such as Visa, each time a consumer pays by card, the bank of the merchant (acquirer) pays an interchange fee (IF) to the bank of the cardholder (issuer) to carry out the transaction. This paper studies the determinants of socially and privately optimal IFs in a card...

Persistent link: https://www.econbiz.de/10011605185

What drives the network’s growth? An agent-based study of the payment card market

Alexandrova-Kabadjova, Biliana; Negrín, José Luis - 2009

This paper investigates the impact on the network growth of the level of merchant discount, the level of Multilateral Interchange Fee (MIF), and the consumers' and the merchants' awareness of positive network effects. In an artificial market, in which issuers and acquirers belong to the same...

Persistent link: https://www.econbiz.de/10011605189

Asset pricing, habit memory, and the labor market

Jaccard, Ivan - 2010

This article studies the asset pricing and the business cycle implications of habit formation in a production economy with capital adjustment costs and endogenous labor supply. A specification of internal habit in the mix of consumption and leisure which minimizes the wealth effect on labor...

Persistent link: https://www.econbiz.de/10011605209

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new … calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward … sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean …

Persistent link: https://www.econbiz.de/10011605211

How far are we from the slippery slope? The Laffer curve revisited

Trabandt, Mathias; Uhlig, Harald - 2010

We characterize the Laffer curves for labor taxation and capital income taxation quantitatively for the US, the EU-14 and individual European countries by comparing the balanced growth paths of a neoclassical growth model featuring ”constant Frisch elasticity” (CFE) preferences. We derive...

Persistent link: https://www.econbiz.de/10011605220

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10011605240

Reputational contagion and optimal regulatory forbearance

Morrison, Alan D.; White, Lucy - 2010

This paper examines common regulation as cause of interbank contagion. Studies based on the correlation of bank assets and the extent of interbank lending may underestimate the likelihood of contagion because they do not incorporate the fact that banks have a common regulator. In our model, the...

Persistent link: https://www.econbiz.de/10011605242

Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy

Darracq Pariès, Matthieu; Loublier, Alexis - 2010

as they allow to substantially increase risk aversion, and consequently generate non-trivial risk premia, without … considered. The level and the dynamic pattern of risk premia are also markedly altered. We show that the effect of Epstein …

Persistent link: https://www.econbiz.de/10011605255

Monetary policy and capital regulation in the US and Europe

Cohen-Cole, Ethan; Morse, Jonathan - 2010

From the onset of the 2007-2009 crisis, the Federal Reserve and the European Central Bank have aggressively lowered interest rates. Both sets of changes are at odds with an anti-inflationary stance of monetary policy; indeed, as the crisis began in August 2007 inflation expectations were high...

Persistent link: https://www.econbiz.de/10011605268