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Are Fund Managers Rewarded for Taking Cyclical Risks?
Ryan, Ellen - 2022
, which may keep managers from fully internalising the effects of adverse outcomes on their portfolios. The fact that market … discipline may not be sufficient to ensure prudential behaviour among managers, combined with the externalities of this risk …
Persistent link: https://www.econbiz.de/10013298369
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Ranking, Risk-Taking and Effort : An Analysis of the ECB's Foreign Reserves Management
Scalia, Antonio; Sahel, Benjamin - 2021
The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the …. Employing a new data set on individual portfolio variables during 2002-2009, we study this peculiar tournament and show the … existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative …
Persistent link: https://www.econbiz.de/10013315986
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Market-Based Compensation, Price Informativeness and Short-Term Trading
Calcagno, Riccardo - 2007
This paper shows that there is a natural trade-off when designing market-based executive compensation. The benefit of market-based pay is that the stock price aggregates speculators' dispersed information and therefore takes a picture of managerial performance before the long-term value of a...
Persistent link: https://www.econbiz.de/10012777574
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Limited Liability, Strategic Default and Bargaining Power
Balatti, Mirco; López-Quiles, Carolina - 2021
In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on default rates, renegotiation, or loan rates individually, we study them together as equilibrium outcomes of the strategic interaction between lenders and borrowers. We present a...
Persistent link: https://www.econbiz.de/10013243789
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On Policy Interactions among Nations : When Do Cooperation and Commitment Matter?
Kempf, Hubert - 2014
This paper offers a framework to study commitment and cooperation issues in games with multiple policymakers. To reconcile some puzzles in the recent literature on the nature of policy interactions among nations, we prove that games characterized by different commitment and cooperation schemes...
Persistent link: https://www.econbiz.de/10012751598
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Monetary Policy Committees : Meetings and Outcomes
Berk, Jan Marc; Bierut, Beata K. - 2021
Monetary Policy Committees differ in the way the interest rate proposal is prepared and presented in the policy meeting. In this paper we show analytically how different arrangements could affect the voting behaviour of individual MPC members and therefore policy outcomes. We then apply our...
Persistent link: https://www.econbiz.de/10013316353
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DSGE Nash : Solving Nash Games in Macro Models
Minesso, Massimo Ferrari; Pagliari, Maria Sole - 2022
This paper presents DSGE Nash, a toolkit to solve for pure strategy Nash equilibria of global games in macro models. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad range of options including solutions up to the third order, multiple...
Persistent link: https://www.econbiz.de/10014080812
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Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management
Scalia, Antonio; Sahel, Benjamin - 2011
The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the …. Employing a new data set on individual portfolio variables during 2002-2009, we study this peculiar tournament and show the … existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative …
Persistent link: https://www.econbiz.de/10011605423
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On policy interactions among nations: when do cooperation and commitment matter?
Kempf, Hubert; von Thadden, Leopold - 2008
This paper offers a framework to study commitment and cooperation issues in games with multiple policymakers. To reconcile some puzzles in the recent literature on the nature of policy interactions among nations, we prove that games characterized by different commitment and cooperation schemes...
Persistent link: https://www.econbiz.de/10011604926
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Repo markets, counterparty risk, and the 2007/2008 liquidity crisis
Ewerhart, Christian; Tapking, Jens - 2008
A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral, the feasibility of secured lending, and welfare implications of the central bank's collateral framework. As an innovation, we allow for two-sided counterparty risk. In line...
Persistent link: https://www.econbiz.de/10003962085