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Monetary policy, indeterminacy and learning

Evans, George W.; McGough, Bruce - Center for Financial Studies - 2003

interest rate rule, raising the possibility of inefficient fluctuations due to the dependence of expectations on extraneous … combine forward looking expectations and predetermined variables. We consider a variety of specifications that incorporate …

Persistent link: https://www.econbiz.de/10010986495

Household economic decisions under the shadow of terrorism

Christelis, Dimitris; Georgarakos, Dimitris - Center for Financial Studies - 2009

expectations about terrorism, and study the effects these last have on households' portfolio choices and spending patterns. We find …

Persistent link: https://www.econbiz.de/10010958603

Monetary Policy, Indeterminacy and Learning

Evans, George W.; McGough, Bruce - Center for Financial Studies - 2003

Persistent link: https://www.econbiz.de/10005120769

On the economics of crisis contracts

Aptus, Elias; Britz, Volker; Gersbach, Hans - Center for Financial Studies - 2014

We examine the impact of so-called Crisis Contracts on bank managers' risktaking incentives and on the probability of banking crises. Under a Crisis Contract, managers are required to contribute a pre-specified share of their past earnings to finance public rescue funds when a crisis occurs....

Persistent link: https://www.econbiz.de/10010958513

Retirement expectations, pension reforms, and their impact on private wealth accumulation

Bottazzi, Renata; Jappelli, Tullio; Padula, Mario - Center for Financial Studies - 2006

We estimate the effect of pension reforms on households expectations of retirement outcomes and private wealth … expectations of the age at which workers expect to retire and of the ratio of pension benefits to pre-retirement income between … 1989 and 2002. We find that workers have revised expectations in the direction suggested by the reform and that there is …

Persistent link: https://www.econbiz.de/10010986388

Retirement Expectations, Pension Reforms, and Their Impact on Private Wealth Accumulation

Bottazzi, Renata; Jappelli, Tullio; Padula, Mario - Center for Financial Studies - 2006

We estimate the effect of pension reforms on households’ expectations of retirement outcomes and private wealth … expectations of the age at which workers expect to retire and of the ratio of pension benefits to pre-retirement income between … 1989 and 2002. We find that workers have revised expectations in the direction suggested by the reform and that there is …

Persistent link: https://www.econbiz.de/10005138842

Risk aversion under preference uncertainty

Kräussl, Roman; Lucas, André; Siegmann, Arjen - Center for Financial Studies - 2010

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

Persistent link: https://www.econbiz.de/10010986389

Escapist policy rules

Bullard, James; Cho, In-Koo - Center for Financial Studies - 2003

We study a simple, microfounded macroeconomic system in which the monetary authority employs a Taylor-type policy rule. We analyze situations in which the self-confirming equilibrium is unique and learnable according to Bullard and Mitra (2002). We explore the prospects for the use of large...

Persistent link: https://www.econbiz.de/10010986393

Learning and Equilibrium Selection in a Monetary Overlapping Generations Model with Sticky Prices

Adam, Klaus - Center for Financial Studies - 2003

by avoiding simultaneity between prices and price expectations. Adaptive learning then robustly selects the determinate …

Persistent link: https://www.econbiz.de/10010958494

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2014

Futures markets are a potentially valuable source of information about market expectations. Exploiting this information … are as many measures of market expectations as there are estimates of the risk premium. We propose a general solution to … of the price of crude oil. We provide a new measure of oil price expectations that is considerably more accurate than the …

Persistent link: https://www.econbiz.de/10010958503