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Human capital and international portfolio choice

Julliard, Christian - London School of Economics (LSE) - 2004

This paper shows that in a non-representative agent model in which households face short selling constraints and labor income risk, in the form of both uninsurable shocks and a common aggregate component, small differences in the correlation between aggregate labor income shocks and domestic and...

Persistent link: https://www.econbiz.de/10010928808

Currency Portfolios and Nominal Exchange Rates in a Dual Currency Search Economy.

Craig, B.; Waller, C.J. - London School of Economics (LSE) - 1999

We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...

Persistent link: https://www.econbiz.de/10005776281

Are there any Animal Spirits behind the Scenes of the Euro area Sovereign Debt Crisis?

Mamatzakis, Emmanuel - London School of Economics (LSE) - 2013

This paper reveals the underlying market’s preferences over the on going Euro area sovereign debt crisis. It builds on a loss function with reference to the ‘basis’, the difference between the spread over swap and Credit Default Swap (CDS) for sovereign bonds. This loss function is general...

Persistent link: https://www.econbiz.de/10010686658

An evaluation of decadal probability forecasts from state-of-the-art climate models

Suckling, Emma B.; Smith, Leonard A. - London School of Economics (LSE) - 2013

-Based Predictions of Climate Changes and Their Impacts (ENSEMBLES) project is contrasted with several empirical models. Both the … ENSEMBLES models and a "dynamic climatology" empirical model show probabilistic skill above that of a static climatology for … global-mean temperature. The dynamic climatology model, however, often outperforms the ENSEMBLES models. The fact that …

Persistent link: https://www.econbiz.de/10011126730

Environmental prices, uncertainty and learning

Dietz, Simon; Fankhauser, Samuel - London School of Economics (LSE) - 2009

There is an increasing demand for putting a shadow price on the environment to guide public policy and incentivise private behaviour. In practice, setting that price can be extremely difficult as uncertainties abound. There is often uncertainty not just about individual parameters but about the...

Persistent link: https://www.econbiz.de/10010884522

Economic policy when models disagree

Barrieu, Pauline; Desgagne, Bernard Sinclair - London School of Economics (LSE) - 2009

This paper proposes a general way to conceive public policy when there is no consensual account of the situation of interest. The approach builds on an extension and dual formulation of the traditional theory of economic policy. It does not need a representative policymaker’s utility function...

Persistent link: https://www.econbiz.de/10010745638

Ex post versus ex ante measures of the user cost of capital

Oulton, Nicholas - London School of Economics (LSE) - 2005

When doing growth accounting, should we use ex post or ex ante measures of user costs to calculate the contribution of capital? The answer, based on a simple model of temporary equilibrium, is that ex post is better in theory. In practice researchers usually calculate ex post user costs by...

Persistent link: https://www.econbiz.de/10010745052

Qualified majority voting explained

Felsenthal, Dan S.; Machover, Moshé - London School of Economics (LSE) - 2004

We explain the issue of the decision rule of the EU's Council of Ministers. We outline, in as non-technical fashion as we can, the mathematical theory (due to L S Penrose) that addresses this sort of issue. We assess the decision rule prescribed in the Nice Treaty as well as that included in the...

Persistent link: https://www.econbiz.de/10010746113

Aggregation of simple linear dynamics: exact asymptotic results

Lippi, Marco; Zaffaroni, Paolo - London School of Economics (LSE) - 1998

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite first moment, of the aggregate variance and spectral density, as the number of...

Persistent link: https://www.econbiz.de/10010746139

Contemporaneous aggregation of GARCH processes

Zaffaroni, Paolo - London School of Economics (LSE) - 2000

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on the cross-sectional dependence properties of the...

Persistent link: https://www.econbiz.de/10010746556