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The Collateral Risk of ETFs
Hurlin, Christophe; Iseli, Gregoire; Pérignon, Christophe - HAL - 2014
As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. To mitigate the funds' exposure, their counterparties must pledge collateral. In this paper, we present a framework to study collateral risk and...
Persistent link: https://www.econbiz.de/10010899467
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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - HAL - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of 'volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10010821166
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Energy Risk Management with Carbon Assets
Chevallier, Julien - HAL - 2009
This article proposes a mean-variance optimization and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylized exercise, we compute returns, standard deviations and correlations for various...
Persistent link: https://www.econbiz.de/10008793949
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On stabilization policy in sunspot-driven oligopolistic economies
Ferreira, Rodolphe Dos Santos; Dufourt, Frédéric - HAL - 2013
Economies with oligopolistic markets are prone to inefficient sunspot fluctuations triggered by autonomous changes in firms equilibrium conjectures. We show that a well designed taxation-subsidization scheme can eliminate these fluctuations by coordinating firms in each sector on a single...
Persistent link: https://www.econbiz.de/10010899325
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Local indeterminacy under dynamic efficiency in a two-sector overlapping generations economy
Nourry, Carine; Venditti, Alain - HAL - 2009
We consider a two-sector two-periods overlapping generations model with inelastic labor, consumption in both periods of life and homothetic CES preferences. Assuming gross substitutability and a capital intensive consumption good, we prove that when dynamic eciency holds, local indeterminacy and...
Persistent link: https://www.econbiz.de/10008793937
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Local indeterminacy under dynamic efficiency two-sector overlapping generations economy
Nourry, Carine; Venditti, Alain - HAL - 2009
We consider a two-sector two-periods overlapping generations model with inelastic labor, consumption in both periods of life and homothetic CES preferences. Assuming gross substitutability and a capital intensive consumption good, we prove that when dynamic efficiency holds, local indeterminacy...
Persistent link: https://www.econbiz.de/10008794812
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Marital fertility and wealth in transition era France, 1750-1850
Cummins, Neil - HAL - 2009
analysis links highly detailed individual level fertility life histories to wealth at death data for four rural villages in …
Persistent link: https://www.econbiz.de/10010738834
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Taxing more (large) family bequests: why, when, where?
Arrondel, Luc; Masson, André - HAL - 2013
There is a capital taxation puzzle in most developed countries. Since the 1960s, revenues from wealth transfer taxation … cases; by contrast, lifetime wealth or capital taxation generates much higher revenues and shows no decreasing trend. The … full tax puzzle is certainly not easy to explain. Many usual explanations of the aversion to wealth transfer taxation also …
Persistent link: https://www.econbiz.de/10010738837
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On the long-run evolution of inheritance: France 1820-2050
Piketty, Thomas - HAL - 2010
1950, and back up to about 15% by 2010. A simple theoretical model of wealth accumulation, growth and inheritance can fully … wealth accumulation well above 100%. Our findings illustrate the fact that when the growth rate g is small, and when the rate … of return to private wealth r is permanently and substantially larger than the growth rate (say, r=4%-5% vs. g=1 …
Persistent link: https://www.econbiz.de/10010738844
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Measuring savers' preferences how and why?
Arrondel, Luc; Masson, André - HAL - 2013
in explaining households' wealth behaviors, and to construct more accurate tests of the theories of savings and portfolio … composition of wealth are similar across surveys, in line with theoretical predictions, and more significant than those obtained …
Persistent link: https://www.econbiz.de/10010738899