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Does Home Owning Smooth the Variability of Future Housing Consumption?
Sinai, Todd; Paciorek, Andrew - National Bureau of Economic Research (NBER) - 2010
We show that the hedging benefit of owning a home reduces the variability of housing consumption after a move. When a current home owner's house price covaries positively with housing costs in a future city, changes in the future cost of housing are offset by commensurate changes in wealth...
Persistent link: https://www.econbiz.de/10008727860
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Do Lottery Payments Induce Savings Behavior: Evidence from the Lab
Guryan, Jonathan; Filiz-Ozbay, Emel; Hyndman, Kyle; … - National Bureau of Economic Research (NBER) - 2013
This paper presents the results of a laboratory experiment designed to investigate whether the option of a Prize Linked Savings (PLS) product alters the likelihood that subjects choose to delay payment. By comparing PLS and standard savings products in a controlled way, we find strong evidence...
Persistent link: https://www.econbiz.de/10010796709
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Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence
Mitchell, Olivia; Dimmock, Stephen G.; Kouwenberg, Roy; … - National Bureau of Economic Research (NBER) - 2013
allocations to equity, home-bias, own-company stock ownership, and portfolio under- diversification. In a representative U ….S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts … aversion is related to portfolio under-diversification, and during the financial crisis, ambiguity-averse respondents were more …
Persistent link: https://www.econbiz.de/10010821732
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How general are risk preferences? Choices under uncertainty in different domains.
Einav, Liran; Finkelstein, Amy; Pascu, Iuliana; Cullen, … - National Bureau of Economic Research (NBER) - 2010
We examine the extent to which an individual's actual insurance and investment choices display a stable ranking in willingness to bear risk, relative to his peers, across different contexts. We do so by examining the same individuals' decisions regarding their 401(k) asset allocations and their...
Persistent link: https://www.econbiz.de/10008610988
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Heterogeneity and Risk Sharing in Village Economies
Townsend, Robert M.; Chiappori, Pierre-André; … - National Bureau of Economic Research (NBER) - 2011
We measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model and complement the results with a measure based on optimal portfolio choice. Among households with relatives living in the same village, full insurance cannot be rejected, suggesting that...
Persistent link: https://www.econbiz.de/10008788772
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Risk and Ambiguity in Models of Business Cycles
Backus, David; Zin, Stanley E.; Ferriere, Axelle - National Bureau of Economic Research (NBER) - 2014
We inject aggregate uncertainty - risk and ambiguity - into an otherwise standard business cycle model and describe its consequences. We find that increases in uncertainty generally reduce consumption, but they do not account, in this model, for either the magnitude or the persistence of the...
Persistent link: https://www.econbiz.de/10011265740
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Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
Vayanos, Dimitri; Guibaud, Stéphane; Nosbusch, Yves - National Bureau of Economic Research (NBER) - 2013
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and...
Persistent link: https://www.econbiz.de/10010969262
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Foreign Ownership of U.S. Safe Assets: Good or Bad?
Ludvigson, Sydney C.; Van Nieuwerburgh, Stijn; … - National Bureau of Economic Research (NBER) - 2014
The last 20 years have been marked by a sharp rise in international demand for U.S. reserve assets, or safe stores-of-value. What are the welfare consequences to U.S. households of these trends, or of a reversal? In a lifecycle model with aggregate and idiosyncratic risks, the young and oldest...
Persistent link: https://www.econbiz.de/10010969327
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Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
Panageas, Stavros; Gârleanu, Nicolae; Yu, Jianfeng - National Bureau of Economic Research (NBER) - 2013
We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Despite the ex-ante symmetry of investors, their strategies...
Persistent link: https://www.econbiz.de/10010969417
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - National Bureau of Economic Research (NBER) - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10010969442