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Asset Allocation and Monetary Policy: Evidence from the Eurozone
Hau, Harald; Lai, Sandy - CESifo - 2014
The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...
Persistent link: https://www.econbiz.de/10010948820
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Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?
Babalos, Vassilis; Caporale, Guglielmo Maria; … - CESifo - 2013
This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in...
Persistent link: https://www.econbiz.de/10010667412
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Pension Benefit Insurance and Pension Plan Portfolio Choice
Crossley, Thomas; Jametti, Mario - CESifo - 2008
. Economic theory suggests that such schemes will face moral hazard and adverse selection problems. In this note we test a …
Persistent link: https://www.econbiz.de/10005094172
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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 bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10008534053
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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
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The Existence of Informationally Efficient Markets When Individuals Are Rational
Muendler, Marc-Andreas - CESifo - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing … average portfolio demand information in equilibrium if they can adjust portfolio size. More information diminishes the … endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria …
Persistent link: https://www.econbiz.de/10005406399
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Creative Destruction and Productive Preemption
Norbäck, Pehr-Johan; Persson, Lars; Svensson, Roger - CESifo - 2013
We develop a theory of innovation for entry and sale into oligopoly, and show that inventions of higher quality are … find evidence that high-quality inventions are sold under preemptive bidding competition. Asymmetric information problems …
Persistent link: https://www.econbiz.de/10010877893
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Pooling, Tranching and Credit Expansion
Bougheas, Spiros - CESifo - 2012
Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well documented that, at least before the 2008 crisis, many banks were keeping a high proportion of the securities that they created on their own balance-sheets. Those securities retained...
Persistent link: https://www.econbiz.de/10010555214
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Bank Capital Regulation with an Opportunistic Rating Agency
Efing, Matthias - CESifo - 2013
This paper models the strategic interaction between a rating agency, a bank and a bank regulator who lacks information …
Persistent link: https://www.econbiz.de/10010667420
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Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
Zikovic, Sasa; Filer, Randall - CESifo - 2012
An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...
Persistent link: https://www.econbiz.de/10010586077