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Jewitt, Ian; Mukerji, Sujoy - Department of Economics, Oxford University - 2011

We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...

Persistent link: https://www.econbiz.de/10009143652

Discounting, Patience, and Dynamic Decision Making

Quah, John; Strulovici, Bruno - Department of Economics, Oxford University - 2011

Whether they are financial, economic, or psychological, discount rates affect most economic decisions: investment and savings, hirings and firings, defaults and refinancing, financial and economic reforms, learning and experimentation, and any other decision with long-term consequences, such as...

Persistent link: https://www.econbiz.de/10009144004

Towards a Measure of Financial Fragility

Tsomocos, Dimitrios P - Department of Economics, Oxford University - 2006

This paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We...

Persistent link: https://www.econbiz.de/10010661361

A Time Series Analysis of Financial Fragility in the UK Banking System

Tsomocos, Dimitrios P - Department of Economics, Oxford University - 2004

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a,b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...

Persistent link: https://www.econbiz.de/10010661459

Amplification and Asymmetry in Crashes and Frenzies

Ozsoylev, Han N. - Department of Economics, Oxford University - 2005

reactions to news and liquidity shocks as well as an asymmetry biased towards crashes. Risk aversion of traders is shown to be …

Persistent link: https://www.econbiz.de/10010820287

A Risk Assessment Model for Banks

Tsomocos, Dimitrios P; Goodhart, Charles A.E. - Department of Economics, Oxford University - 2004

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

Persistent link: https://www.econbiz.de/10010820299

Additional Notes on the Comparative Statics of Constrained Optimization Problems

Quah, John - Department of Economics, Oxford University - 2006

These are additional notes relating to the paper `The Comparative Statics of Constrained Optimization Problems`, which is appearing in Econometrica. It gathers together material present in various earlier versions of the paper, as well as some new material, which are not found in the published...

Persistent link: https://www.econbiz.de/10010820326

Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic

Bilbie, Florin O. - Department of Economics, Oxford University - 2005

This paper incorporates limited asset markets participation in dynamic general equilibrium and develops a simple analytical framework for monetary policy analysis. Aggregate dynamics and stability properties of an otherwise standard business cycle model depend nonlinearly on the degree of asset...

Persistent link: https://www.econbiz.de/10010820337

Hype and Dump Manipulation

Eren, Nevzat; Ozsoylev, Han N. - Department of Economics, Oxford University - 2008

This paper introduces signaling in a standard market microstructure model so as to explore the economic circumstances under which hype and dump manipulation can be an equilibrium outcome. We consider a discrete time, multi-period model with stages of signaling and asset trading. A single...

Persistent link: https://www.econbiz.de/10011004164

Comparative Statics, Informativeness, and the Interval Dominance Order

Quah, John; Strulovici, Bruno - Department of Economics, Oxford University - 2007

We identify a natural way of ordering functions, which we call the interval dominance order and develop a theory of monotone comparative statistics based on this order. This way of ordering functions is weaker than the standard one based on the single crossing property (Milgrom and Shannon,...

Persistent link: https://www.econbiz.de/10011004221