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Robust Monetary Policy in the New-Keynesian Framework

Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2004

We study the effects of model uncertainty in a simple New-Keynesian model using robust control techniques. Due to the simple model structure, we are able to find closed-form solutions for the robust control problem, analysing both instrument rules and targeting rules under different timing...

Persistent link: https://www.econbiz.de/10005498037

Robust Monetary Policy in a Small Open Economy

Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005

This paper studies how a central bank’s preference for robustness against model misspecification affects the design of monetary policy in a New-Keynesian model of a small open economy. Due to the simple model structure, we are able to solve analytically for the optimal robust policy rule, and...

Persistent link: https://www.econbiz.de/10005791942

Other-Regarding Preferences in General Equilibrium

Dufwenberg, Martin; Heidhues, Paul; Kirchsteiger, Georg; … - C.E.P.R. Discussion Papers - 2008

We study competitive market outcomes in economies where agents have other-regarding preferences. We identify a separability condition on monotone preferences that is necessary and sufficient for one's own demand to be independent of the allocations and characteristics of other agents in the...

Persistent link: https://www.econbiz.de/10005114265

Measuring Risk Attitudes in a Natural Experiment: Data from the Television Game Show LINGO

Beetsma, Roel; Schotman, Peter C - C.E.P.R. Discussion Papers - 1998

(CRRA) and Constant Absolute Risk Aversion (CARA) utility specifications perform approximately equally well, with CARA … experiment to measure risk attitudes. We find robust evidence of substantial risk aversion. As an extension, we esimate the … various models using transformations of the ‘true’ probabilities to decision weights. The estimated degree of risk aversion …

Persistent link: https://www.econbiz.de/10005661826

The Origin of Utility

De Fraja, Gianni - C.E.P.R. Discussion Papers - 2006

. It then goes on to show that the standard economics problem of utility maximisation is formally equivalent to the …

Persistent link: https://www.econbiz.de/10005123507

The Euro and International Capital Markets

Detken, Carsten; Hartmann, Philipp - C.E.P.R. Discussion Papers - 2000

international portfolio investments, such as relative market liquidity and relative risk characteristics of assets, are also …

Persistent link: https://www.econbiz.de/10005123910

Which Investors Fear Expropriation? Evidence from Investors' Stock Picking

Giannetti, Mariassunta; Simonov, Andrei - C.E.P.R. Discussion Papers - 2003

Using a data-set that provides unprecedented details on individual investors’ stockholdings, we analyse whether investors take into account corporate governance when they select stocks. After controlling for the supply effect via free float and other firm characteristics, we find that all...

Persistent link: https://www.econbiz.de/10005114455

Risk Taking and Optimal Contracts for Money Managers

Palomino, Frédéric; Prat, Andrea - C.E.P.R. Discussion Papers - 1999

Recent empirical work suggests a strong connection between the incentives money managers are offered and their risk … riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is … not only effort exertion but also risk taking behavior. The moral hazard problem with risk taking involves an incentive …

Persistent link: https://www.econbiz.de/10005504241

Specific Knowledge and Performance Measurement

Raith, Michael - C.E.P.R. Discussion Papers - 2004

choice of performance measures and incentives depends on the agent’s knowledge, environmental risk, technological uncertainty …, and job complexity. The theory leads to several novel predictions, as well as new explanations for existing empirical …

Persistent link: https://www.econbiz.de/10005504471

Courts of Law and Unforeseen Contingencies

Anderlini, Luca; Felli, Leonardo; Postlewaite, Andrew - C.E.P.R. Discussion Papers - 2001

We study a contracting model with unforeseen contingencies in which the court is an active player. Ex-ante, the contracting parties cannot include the risky unforeseen contingencies in the contract they draw up. Ex-post the court observes whether an unforeseen contingency occurred, and decides...

Persistent link: https://www.econbiz.de/10005504519