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Constrained efficiency in the neoclassical growth model with uninsurable idiosyncratic shocks
Davila, Julio; Hong, Jay H.; Krusell, Per; Rull, … - HAL - 2005
We investigate the welfare properties of the one-sctor neoclassic growth model with uninsurable idiosyncratic shocks. We focus on the constrained efficiency notion of the general equiibrium literature, and we demonstrate constrained inefficiency for our model. We provide a characterization of...
Persistent link: https://www.econbiz.de/10010750687
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Hedging tranches index products : illustration of model dependency
Guegan, Dominique; Houdain, Julien - HAL - 2006
In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk …
Persistent link: https://www.econbiz.de/10010750784
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Reichlin, Lucrezia - HAL - 2011
This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...
Persistent link: https://www.econbiz.de/10010898831
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine; Reichlin, Lucrezia - HAL - 2011
This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...
Persistent link: https://www.econbiz.de/10010820665
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Influence de la politique monétaire sur le prix des actifs financiers : les enseignements d'un modèle MIU appliqué à la Fed
Aubin, Christian; Diouf, Ibrahima; Pépin, Dominique - HAL - 2013
consumption-based and money-based asset pricing model is built to relate in closed form the risk premium, the risk free rate and …
Persistent link: https://www.econbiz.de/10010899535
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Which dimensions of social responsibility concern financial investors?
Girerd-Potin, I.; Jimenez-Garcès, Sonia; Louvet, P. - HAL - 2012
additional risk premium when they decide to hold non SR stocks. The cost of equity is thus lower for socially responsible firms … only since the end of 2008. Environment and community involvement have only recently become a more important risk factor in … investors' minds. About the former risk premia ("direct non-financial stakeholders" and "financial stakeholders"), investors …
Persistent link: https://www.econbiz.de/10011025576
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Leverage Bubbles
Triki, Fares - HAL - 2009
This paper investigates the relation between liquidity and asset prices. It shows that, when banks balance sheets are marked to market and banks are targeting a financial leverage level - a situation similar to current environment - formation of Leverage Bubble phenomenon and suggests a new...
Persistent link: https://www.econbiz.de/10010738549
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A dynamic equilibrium model of imperfectly integrated financial markets
Coeurdacier, Nicolas; Guibaud, Stéphane - HAL - 2005
We build a continous-time general equilibrium model of a two-country, pure-exchange economy featuring taxes on the repatriation of dividends. We find approximate closed-form expressions for asset prices, returns joint dynamics and equity portfolios, thus giving a full description of equilibrium...
Persistent link: https://www.econbiz.de/10010739061
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Price Dynamics in Market with Heterogeneous Investment Horizons and Boundedly Rational Traders
Chauveau, Thierry; Subbotin, Alexander - HAL - 2010
This paper studies the effects of multiple investment horizons and investors' bounded rationality on the price dynamics. We consider a pure exchange economy with one risky asset, populated with agents maximizing CRRA-type expected utility of wealth over discrete investment periods. An investor's...
Persistent link: https://www.econbiz.de/10010603631
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Heterogeneous Beliefs and Asset Pricing in Discrete Time
Napp, Clotilde; Jouini, Elyès - HAL - 2006
consumer to investigate the impact of beliefs heterogeneity on the CCAPM and on the expression of the risk free rate. We focus … price of risk, risk free rate). We finally analyze how pessimism and doubt at the aggregate level result from pessimism and …
Persistent link: https://www.econbiz.de/10008788886