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Canner, Niko - 1994

This paper examines popular advice on portfolio allocation among cash, bonds, and stocks. It documents that this advice is inconsistent with the mutual-fund separation theorem, which states that all investors should hold the same composition of risky assets. In contrast to the theorem, popular...

Persistent link: https://www.econbiz.de/10012474054

Intergenerational Risk Sharing in the Spirit of Arrow, Debreu, and Rawls, with Applications to Social Security Design

Ball, Laurence - 2001

This paper examines the optimal allocation of risk in an overlapping-generations economy. It compares the allocation of … risk the economy reaches naturally to the allocation that would be reached if generations behind a Rawlsian 'veil of … ignorance' could share risk with one another through complete Arrow-Debreu contingent-claims markets. The paper then examines …

Persistent link: https://www.econbiz.de/10012470454

Contracts and Money

Jovanovic, Boyan - 1996

We analyze the contractual relation between workers and their employers when there is nominal risk. The key feature of … eliminate all nominal risk for the parties (by fully indexing the terms of the contracts to the price level) but they would be …

Persistent link: https://www.econbiz.de/10012473208

Dynamic Incentive Contracts Under Parameter Uncertainty

Prat, Julien - 2010

Commitment is therefore more valuable when quality is known more precisely. Incentives then are easier to provide because the agent has less room to manipulate the beliefs of the principal. Moreover, in contrast to results under one-period commitment, wage volatility declines as experience...

Persistent link: https://www.econbiz.de/10012462007

The Equity Premium and the Concentration of Aggregate Shocks

Mankiw, N. Gregory - 1986

depends on the concentration of these aggregate shocks; it follows that one cannot estimate the degree of risk aversion from …

Persistent link: https://www.econbiz.de/10012477289

Risk and Return : Consumption versus Market Beta

Mankiw, N. Gregory - 1984

appropriate measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on … the other hand, implies that a better measure of risk is the covariance with aggregate consumption growth. We examine a …

Persistent link: https://www.econbiz.de/10012477690

Uncertainty and Growth Disasters

Jovanovic, Boyan - 2020

This paper documents several facts on the real effects of economic uncertainty. First, higher uncertainty is associated with a more dispersed distribution of output growth. Second, the relation is highly asymmetric: A rise in uncertainty is associated with a sharp decline in the lower tail of...

Persistent link: https://www.econbiz.de/10012482243

Trading on Sunspots

Jovanovic, Boyan - 2014

In a model with multiple Pareto-ranked equilibria we add trade in assets that pay based on the realization of a sunspot. Asset trading restricts the equilibrium set in a way that raises welfare by eliminating equilibria with a high likelihood of disasters. When the probability of a disaster is...

Persistent link: https://www.econbiz.de/10012457853

The Savers-Spenders Theory of Fiscal Policy

Mankiw, N. Gregory - 2000

The macroeconomic analysis of fiscal policy is usually based on one of two canonical models--the Barro-Ramsey model of infinitely-lived families or the Diamond-Samuelson model of overlapping generations. This paper argues that neither model is satisfactory and suggests an alternative. In the...

Persistent link: https://www.econbiz.de/10012471204

Permanent and Transitory Components in Macroeconomic Fluctuations

Campbell, John Y. - 1987

Fluctuations in real GNP have traditionally been viewed as transitory deviations from a deterministic time trend. The purpose of this paper is to review some of the recent developments that have led to a new view of output fluctuations and then to provide some additional evidence. Using post-war...

Persistent link: https://www.econbiz.de/10012476900