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Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe

Bovenberg, A Lans; Nijman, Theo E - C.E.P.R. Discussion Papers - 2015

these developments, policyholders desire pensions tailored to their individual needs. This paper proposes a new type of … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of … illiquid capital, complementing public retirement provision, reducing the interest-rate sensitivity of pensions and smoothing …

Persistent link: https://www.econbiz.de/10011252616

Asset Management Contracts and Equilibrium Prices

Buffa, Andrea; Vayanos, Dimitri; Woolley, Paul - C.E.P.R. Discussion Papers - 2014

We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and...

Persistent link: https://www.econbiz.de/10011084367

The Tax Benefit of Income Smoothing

Rydqvist, Kristian; Schwartz, Steven; Spizman, Joshua - C.E.P.R. Discussion Papers - 2011

A worker can contribute pre-tax dollars to a private pension plan. Under a progressive tax, this feature reduces income taxes. Ippolito (1986} argues that an individual in 1979 can reduce lifetime taxes by 20%. We re-examine his analysis using the complete time-series of US income tax history...

Persistent link: https://www.econbiz.de/10009644030

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2001

We propose a multi-period model in which competitive arbitrageurs exploit discrepancies between the prices of two identical risky assets, traded in segmented markets. Arbitrageurs need to collateralize separately their positions in each asset, and this implies a financial constraint limiting...

Persistent link: https://www.econbiz.de/10005666703

Global Liquidity and Drivers of Cross-Border Bank Flows

Cerutti, Eugenio; Claessens, Stijn; Ratnovski, Lev - C.E.P.R. Discussion Papers - 2014

This paper studies the determinants of global liquidity using data on cross-border bank flows, with a longer time series and broader country sample than previous studies. We define global liquidity as non-price determinants of cross-border credit supply, consistent with its meaning as the...

Persistent link: https://www.econbiz.de/10011145399

Learning to open up: Capital account liberalizations in the post-Bretton Woods era

Bicaba, Zorobabel T.; Coricelli, Fabrizio - C.E.P.R. Discussion Papers - 2015

The Great Recession has shattered the consensus on the benefits of capital account liberalization. Capital account controls have been introduced in several countries and have even been supported by the International Monetary Fund. In this paper we investigate whether capital account policies in...

Persistent link: https://www.econbiz.de/10011165647

Competing on Speed

Pagnotta, Emiliano; Philippon, Thomas - C.E.P.R. Discussion Papers - 2012

Two forces have reshaped global securities markets in the last decade: Exchanges operate at much faster speeds and the trading landscape has become more fragmented. In order to analyze the positive and normative implications of these evolutions, we study a framework that captures (i)...

Persistent link: https://www.econbiz.de/10011084319

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Kelly, Bryan; Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2014

We empirically analyze the pricing of political uncertainty, guided by a theoretical model of government policy choice. After deriving the model's predictions for option prices, we test those predictions in an international sample of national elections and global summits. We find that political...

Persistent link: https://www.econbiz.de/10011084633

Conflicts of Interest, Reputation, and the Interwar Debt Crisis: Banksters or Bad Luck?

Flandreau, Marc; Gaillard, Norbert; Panizza, Ugo - C.E.P.R. Discussion Papers - 2010

This paper builds a new dataset with detailed information on the universe of foreign government bonds issued in New York in the 1920s and uses these data to describe the behavior of the financial intermediaries which operated in the New York market during the period leading to the interwar debt...

Persistent link: https://www.econbiz.de/10008468539

Time-Varying Market Integration and Expected Returns in Emerging Markets

de Jong, Frank; de Roon, Frans - C.E.P.R. Discussion Papers - 2001

We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market. The level of integration is a time-varying variable that depends on the market...

Persistent link: https://www.econbiz.de/10005123688

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