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Risk Premia in General Equilibrium
Posch, Olaf - CESifo - 2010
asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy … functions affects the risk premium through controlling the individual’s effective risk aversion. …
Persistent link: https://www.econbiz.de/10008511599
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World Equity Premium Based Risk Aversion Estimates
Pozzi, Lorenzo C. G.; Vries, Casper De; Zenhorst, Jorn - CESifo - 2010
The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based … gauge the uncertainty pertaining to the country risk aversion estimates by means of jackknife resampling and pooling. The … confidence band for the world risk aversion estimate from the pooled country data is much tighter and the pooled point estimate …
Persistent link: https://www.econbiz.de/10008511610
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Consumption, Wealth and Business Cycles in Germany
Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - CESifo - 2005
Germany than in the Anglo-Saxon economies and the share of publicly traded equity in household wealth is much smaller in …
Persistent link: https://www.econbiz.de/10005765943
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The Tragedy of Annuitization
Heijdra, Ben J.; Mierau, Jochen O.; Reijnders, Laurie S. M. - CESifo - 2010
redistribution of accidental bequests and private annuities in general equilibrium. Individuals face longevity risk as there is a …
Persistent link: https://www.econbiz.de/10008511614
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Optimal Taxation and Constrained Inefficiency in an Infinite-Horizon Economy with Incomplete Markets
Gottardi, Piero; Kajii, Atsushi; Nakajima, Tomoyuki - CESifo - 2011
We study the dynamic Ramsey problem of finding optimal public debt and linear taxes on capital and labor income within a tractable infinite horizon model with incomplete markets. With zero public expenditure and debt, it is optimal to tax the risky labor income and subsidize capital, while a...
Persistent link: https://www.econbiz.de/10009293486
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The Lindahl Equilibrium in Schumpeterian Growth Models: Knowledge Diffusion, Social Value of Innovations and Optimal R&D Incentives
Gray, Elie; Grimaud, André - CESifo - 2014
What is the social value of innovations in Schumpeterian growth models? This issue is tackled by introducing the concept of Lindahl equilibrium in a standard endogenous growth model with vertical innovations which is extended by explicitly considering knowledge diffusion on a Salop (1979)...
Persistent link: https://www.econbiz.de/10010748305
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A Market for Connections
Miettinen, Topi; Poutvaara, Panu - CESifo - 2012
Government or company decisions on whom to hire are mostly delegated to politicians, public sector officials or human resources and procurement managers. Due to anti-corruption laws, agents cannot sell contracts or positions that they are delegated to decide upon. Even if bribing is ruled out,...
Persistent link: https://www.econbiz.de/10010548151
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Annuity Market Imperfection, Retirement and Economic Growth
Heijdra, Ben J.; Mierau, Jochen O. - CESifo - 2009
We study the effects of an annuity market imperfection on individual agents’ labour supply and retirement decisions and on the macroeconomic growth rate in an overlapping generations model with endogenous growth. We model imperfect annuities by introducing a load factor on the interest rate...
Persistent link: https://www.econbiz.de/10005013054
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Economic Growth and Longevity Risk with Adverse Selection
Heijdra, Ben J.; Reijnders, Laurie S. M. - CESifo - 2009
longevity risk, agents want to annuitize their wealth conform the classic result by Yaari (1965). In the first-best case with …
Persistent link: https://www.econbiz.de/10008583659
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Should Pensions be Progressive? Yes, at least in Germany!
Fehr, Hans; Kallweit, Manuel; Kindermann, Fabian - CESifo - 2011
idiosyncratic income, disability and longevity risk as well as endogenous labor supply at the intensive and extensive margin … classes with skill-dependent risk profiles. Starting from a baseline path that reflects a purely earnings related pension …
Persistent link: https://www.econbiz.de/10009364734