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Endogenous Growth, the Distribution of Wealth, and Optimal Policy under Incomplete Markets and Idiosyncratic Risk

Clemens, Christiane; Heinemann, Maik - CESifo - 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/10010551014

Equilibrium Search and the Impact of Equal Opportunities for Women

Coles, Melvyn G.; Francesconi, Marco - CESifo - 2013

This paper develops a new equilibrium model of two-sided search where agents have multiple attributes and general payoff functions. The model can be applied to several substantive issues. Here we use it to provide a novel understanding of the separate effects of equal opportunities for women in...

Persistent link: https://www.econbiz.de/10010732343

The Warsaw Stock Exchange Index WIG: Modelling and Forecasting

Wdowinski, Piotr; Zglinska-Pietrzak, Aneta - CESifo - 2005

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...

Persistent link: https://www.econbiz.de/10005406048

How Robust are Journal Rankings Based on the Impact Factor? Evidence from the Economic Sciences

Seiler, Christian; Wohlrabe, Klaus - CESifo - 2014

It is well-known that the distribution of citations to articles in a journal is skewed. We ask whether journal rankings based on the impact factor are robust with respect to this fact. We exclude the most cited paper, the top 5 and 10 cited papers for 100 economics journals and recalculate the...

Persistent link: https://www.econbiz.de/10010948832

A Ranking Method Based on Handicaps

Demange, Gabrielle - CESifo - 2014

Ranking methods are fundamental tools in many areas. Popular methods aggregate the statements of ‘experts’ in different … ways. As such, there are various reasonable ranking methods, each one of them more or less adapted to the environment under … applications. The method is illustrated for ranking economic journals. …

Persistent link: https://www.econbiz.de/10010741315

Ranking of VaR and ES Models: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2012

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that … ranking and comparing the performance of VaR and ES models based on a nonparametric ANOVA test. The relative performance of …

Persistent link: https://www.econbiz.de/10010586077

Asset Pricing with Uncertain Betas: A Long-Term Perspective

Gollier, Christian - CESifo - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010877682

Risk-Taking-Neutral Background Risk

Franke, Guenter; Schlesinger, Harris; Stapleton, Richard C. - CESifo - 2013

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a decision made with and without some exogenous background...

Persistent link: https://www.econbiz.de/10010877707

Adults' Financial Literacy and Households' Financial Assets: The Role of Banks Information Policies

Fort, Margherita; Manaresi, Francesco; Trucchi, Serena - CESifo - 2014

We investigate the role of banks information policies in fostering the accumulation of financial knowledge. In Italy, banks belonging to the PattiChiari Consortium implement policies aimed at increasing transparency and procedural simplification, without offering services at lower cost with...

Persistent link: https://www.econbiz.de/10010948806

Asset Allocation and Monetary Policy: Evidence from the Eurozone

Hau, Harald; Lai, Sandy - CESifo - 2014

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...

Persistent link: https://www.econbiz.de/10010948820