This paper analyzes the effects of output volatility shocks and of risk appetite shocks on the dynamics of consumption, trade flows and the real exchange rate, in a two-country world with recursive preferences and complete financial markets. When the risk aversion coefficient exceeds the inverse...

There is a substantial body of theoretical and empirical research on asset price comovement and determinants. The empirical analysis in this paper differs in that it incorporates a channel for cross-country comovement in asset prices as well in a set of proposed asset price determinants, across...

A significant part of the development in pension provision in many countries is the emergence of ‘Target Date Funds' or TDFs. In this paper we examine the proposition of de-risking through life and the guidance offered by TDFs in the decumulation phase following retirement. We investigate the...

Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions but cannot be measured bias-free. We link the time-series of government-controlled tobacco prices to debit/credit card transaction histories to identify smoking as a proxy for...

Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions which has hardly been measurable in empirical research. We use cigarette addiction identified from checking account transactions to proxy for low self-control and compare over...

Using German and US brokerage data we find that investors are more likely to sell speculative stocks trading at a gain. Investors' gain realizations are monotonically increasing in a stock's speculativeness. This translates into a high disposition effect for speculative and a much lower...

Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample...

Using a unique data set on provincial net factor income flows disaggregated across the three asset classes of debt, equity and FDI reinvested earnings in Korea, we investigated how these asset channels impacted consumption risk sharing during the Global Financial Crisis and the European...

In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of...

This study assesses the global economic consequences of climate-related risk in three broad areas: (1) the macroeconomic impacts of physical climate risk due to chronic climate change associated with global temperature increases and climate-related extreme shocks; (2) the macroeconomic effects...