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Application of Stochastic Optimal Control to Financial Market Debt Crises

Stein, Jerome L. - CESifo - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10005094473

A Critique of the Literature on the US Financial Debt Crisis

Stein, Jerome L. - CESifo - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price … stochastic optimal control (SOC)/dynamic risk management is a much more effective approach to determine the optimal degree of … leverage, the optimum and excessive risk and the probability of a debt crisis. The theoretically founded early warning signals …

Persistent link: https://www.econbiz.de/10008534053

Tax Incentives, Bequest Motives, and the Demand for Life Insurance: Evidence from two Natural Experiments in Germany

Sauter, Nicolas; Walliser, Jan; Winter, Joachim - CESifo - 2010

Whole life insurance plays an important role in household saving. However, empirical evidence on its determinants is scarce. This paper studies two natural experiments to identify the effects of tax incentives and bequest motives on life-insurance demand. An unanticipated tax reform in 2000...

Persistent link: https://www.econbiz.de/10008534059

Discounting in an Uncertain World - Disentangling the Debate on the Weitzman-Gollier Puzzle

Buchholz, Wolfgang - CESifo - 2014

Under conditions of risk it makes a difference whether the discount rate is determined as an expected present or as an …

Persistent link: https://www.econbiz.de/10010948878

Dissipative Advertising Signals Quality even without Repeat Purchases

Linnemer, Laurent - CESifo - 2008

Economists have emphasized the role of dissipative advertising and price as signals of quality. Most works, however, limit the number of types to two options: high and low quality. Yet, production costs and quality both result from R&D efforts and therefore are both uncertain. I characterize the...

Persistent link: https://www.econbiz.de/10005094288

Persuading Consumers with Social Attitudes

Buehler, Stefan; Halbheer, Daniel - CESifo - 2011

This paper analyzes persuasive advertising and pricing in oligopoly if firms sell differentiated products and consumers have heterogeneous social attitudes towards the consumption by others. Deriving product demand from primitives, we show that the demand-enhancing effect of persuasive...

Persistent link: https://www.econbiz.de/10009024838

Men Vote in Mars, Women Vote in Venus: A Survey Experiment in the Field

Galasso, Vincenzo; Nannicini, Tommaso - CESifo - 2013

This paper investigates the differential response of male and female voters to competitive persuasion in political campaigns. During the 2011 municipal elections in Milan, a sample of eligible voters was randomly divided into three groups. Two were exposed to the same incumbent’s campaign but...

Persistent link: https://www.econbiz.de/10010679376

Limited Consumer Attention in International Trade

Egger, Hartmut; Falkinger, Josef - CESifo - 2013

This paper introduces a model of limited consumer attention into an otherwise standard new trade theory model with love …

Persistent link: https://www.econbiz.de/10010631774

Formal and Informal Risk Sharing in LDCs: Theory and Empirical Evidence

Dubois, Pierre; Jullien, Bruno; Magnac, Thierry - CESifo - 2008

We develop and estimate a model of dynamic interactions in which commitment is limited and contracts are incomplete to explain the patterns of income and consumption growth in village economies of less developed countries. Households can insure each other through both formal contracts and...

Persistent link: https://www.econbiz.de/10005405774

Uncertain Bequest Needs and Long-Term Insurance Contracts

Fei, Wenan; Fluet, Claude; Schlesinger, Harris - CESifo - 2008

family, in the event of an untimely death. Ideally, the individual would like to insure the risk of having high future …

Persistent link: https://www.econbiz.de/10005405924