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Bayesian Networks and Boundedly Rational Expectations

Spiegler, Ran - C.E.P.R. Discussion Papers - 2014

I present a framework for analyzing decision makers with an imperfect understanding of their environment's correlation structure. The decision maker faces an objective multivariate probability distribution (his own action is one of the random variables). He is characterized by a directed acyclic...

Persistent link: https://www.econbiz.de/10011083219

The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios

Acharya, Viral V; Hasan, Iftekhar; Saunders, Anthony - C.E.P.R. Discussion Papers - 2002

) focus and diversification using a unique data set that is able to identify individual bank loan exposures to different … deterioration in bank monitoring quality at high levels of risk and a deterioration in bank monitoring quality upon lending … expansion into newer or competitive industries. We find that industrial loan diversification reduces bank return while …

Persistent link: https://www.econbiz.de/10005136462

Does Interbank Borrowing Reduce Bank Risk?

Dinger, Valeriya; von Hagen, Jürgen - C.E.P.R. Discussion Papers - 2008

In this paper we investigate whether banks that borrow from other banks have lower risk levels. We concentrate on a large sample of Central and Eastern European banks which allows us to explore the impact of interbank lending when exposures are long-term and interbank borrowers are small banks....

Persistent link: https://www.econbiz.de/10005504249

Incentive Pay and Bank Risk-Taking:Evidence from Austrian, German, and Swiss Banks

Efing, Matthias; Hau, Harald; Kampkötter, Patrick; … - C.E.P.R. Discussion Papers - 2014

We use payroll data on 1.2 million bank employee years in the Austrian, German, and Swiss banking sector to identify … document an economically significant correlation of incentive pay with both the level and volatility of bank trading income … bonus share in the capital markets divisions with the strength of incentive pay in unrelated bank divisions like retail …

Persistent link: https://www.econbiz.de/10011083493

Inference for VARs Identified with Sign Restrictions

Granziera, Eleonora; Lee, Mihye; Moon, Hyungsik Roger; … - C.E.P.R. Discussion Papers - 2011

There is a fast growing literature that partially identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). To date, the methods that have been used are...

Persistent link: https://www.econbiz.de/10009148879

A DSGE Model of China

Dai, Li; Minford, Patrick; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping's reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested...

Persistent link: https://www.econbiz.de/10011083573

A DSGE Model of China

Dai, Li; Minford, Patrick; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

Persistent link: https://www.econbiz.de/10011084701

Evaluating An Estimated New Keynesian Small Open Economy Model

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - C.E.P.R. Discussion Papers - 2007

an inflation targeting regime in 1993 we allow for a discrete break in the central bank's instrument rule. A key equation …

Persistent link: https://www.econbiz.de/10005661438

The Integration of Financial Services and Economic Welfare after `1992'

Ryan, Cillian - C.E.P.R. Discussion Papers - 1992

This paper uses a computable general-equilibrium model of intertemporal demand to investigate the impact of market integration after 1992 on financial services and economic welfare in the European Community (EC). In contrast to previous work, it assesses the impact of `1992' on the demand for...

Persistent link: https://www.econbiz.de/10005136549

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

Private pension provision faces the challenging task of providing stable income streams during retirement. The challenge has increased markedly in the last decades due to volatile financial markets, falling interest rates and the withdrawal of employers and external insurers as risk bearers of...

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