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Does the US Government Hedge against Fiscal Risk?

Berndt, Antje; Lustig, Hanno; Yeltekin, Sevin - 2009

We develop a method for measuring the amount of insurance the portfolio of government liabilities provides against scal shocks, and apply it to postwar US data. We dene scal shocks as surprises in defense spending. Our results indicate that the US federal government is partially hedged against...

Persistent link: https://www.econbiz.de/10009441130

Banking Firm and Two-Moment Decision Making

Broll, Udo; Wong, Wing-Keung; Wu, Mojia - Volkswirtschaftliche Fakultät, … - 2013

on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available …

Persistent link: https://www.econbiz.de/10011112037

Why Do Firms Use Insurance to Fund Worker Health Benefits? The Role of Corporate Finance

Dalton, Christina Marsh; Holland, Sara B. - Volkswirtschaftliche Fakultät, … - 2015

decisions of publicly-traded firms, we find that smaller firms, firms with more investment opportunities, and firms that face a … investment-cash flow sensitivities. …

Persistent link: https://www.econbiz.de/10011167237

Asset Price Bubbles; A Selective Survey

Scherbina, Anna - International Monetary Fund (IMF) - 2013

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard rational models, the new literature is able to model...

Persistent link: https://www.econbiz.de/10011242201

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis; Causes, Impacts, and Challenges

Papaioannou, Michael G; Park, Joonkyu; Pihlman, Jukka; … - International Monetary Fund (IMF) - 2013

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the … implications of procyclical behavior; and (iv) proposes a framework for sound investment practices for long-term investors. Such … procyclical investment behavior is understandable and may be considered rational from an individual institution’s perspective …

Persistent link: https://www.econbiz.de/10011242388

Banking and Trading

Boot, Arnoud W.A.; Ratnovski, Lev - International Monetary Fund (IMF) - 2012

We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, shortterm, capital constrained, and with...

Persistent link: https://www.econbiz.de/10011142044

Economic Hedging Portfolios

Werker, Bas J.M.; van den Goorbergh, R.W.J.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2003

-weighted approximate replication of the economic risk variables using the investment opportunity set, as opposed to the unweighted hedging …

Persistent link: https://www.econbiz.de/10011091561

Social Security and Institutions for Intergenerational, Intragenerational and International Risk Sharing

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1998

Social security system old age insurance systems are devices for the sharing of income risks of elderly people with others. Risks can be shared intergenerationally (with the young of the same country), intragenerationally (with other elderly of the same country) or internationally (with...

Persistent link: https://www.econbiz.de/10004990813