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The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk
Svensson, Lars E.O. - 1990
The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived … devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from … real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are …
Persistent link: https://www.econbiz.de/10012475561
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Bayesian and Adaptive Optimal Policy under Model Uncertainty
Svensson, Lars E.O. - 2007
We study the problem of a policymaker who seeks to set policy optimally in an economy where the true economic structure is unobserved, and he optimally learns from observations of the economy. This is a classic problem of learning and control, variants of which have been studied in the past, but...
Persistent link: https://www.econbiz.de/10012465237
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Exchange Rate Variability And Asset Trade
Persson, Torsten - 1989
exchange rates -- determine the risk characteristics of nominal assets, and how these risk characteristics determine …
Persistent link: https://www.econbiz.de/10012476246
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Portfolio Choice and Asset Pricing With Nontraded Assets
Svensson, Lars E.O. - 1988
This paper examines portfolio choice and asset pricing when some assets are nontraded, for instance when a country cannot trade claims to its output on world capital markets, when a government cannot trade claims to future tax revenues, or when an individual cannot trade claims to his future...
Persistent link: https://www.econbiz.de/10012476286
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Optimal Monetary Policy under Uncertainty in DSGE Models : A Markov Jump-Linear-Quadratic Approach
Svensson, Lars E.O. - 2008
We study the design of optimal monetary policy under uncertainty in a dynamic stochastic general equilibrium models. We use a Markov jump-linear-quadratic (MJLQ) approach to study policy design, approximating the uncertainty by different discrete modes in a Markov chain, and by taking...
Persistent link: https://www.econbiz.de/10012464755
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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
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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
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Trade in Risky Assets
Svensson, Lars E.O. - 1987
This paper develops a theory of the international trade pattern in risky assets by applying the law of comparative … autarky prices. The autarky price of an asset is high if the autarky real interest rate is low, or if the asset's autarky risk … measure (the product of the risk premium and the asset price) is low. It is examined how autarky interest rates and risk …
Persistent link: https://www.econbiz.de/10012476665
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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
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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