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Auctions under Payoff Uncertainty: The Case with Heterogeneous Bidder-Aversion to Downside Risk

Hu, Audrey; Zou, Liang - Tinbergen Institute - 2008

This paper characterizes the optimal first-price auction (FPA) and second-price auction (SPA) for selling rights …

Persistent link: https://www.econbiz.de/10005136943

Emotions and Economic Shocks in a First-Price Auction

Bosman, Ronald; Riedl, Arno - Tinbergen Institute - 2003

We investigate experimentally whether emotions affect bidding behavior in a first price auction. To induce emotions, we … confront subjects after a first auction series with a positive or negative random economic shock. We then explore the relation … between emotions and bidding behavior in a second auction series. Our main results are: (i) the economic shock has a …

Persistent link: https://www.econbiz.de/10005137109

Bidding to give in the Field: Door-to-Door Fundraisers had it right from the Start

Onderstal, Sander; Schram, Arthur J.C.; Soetevent, … - Tinbergen Institute - 2011

approached about 4500 households, each participating in either an all-pay auction, a lottery, a non-anonymous voluntary … contribution mechanism (VCM), or an anonymous VCM. In contrast to the VCMs, households competed for a prize in the all-pay auction … and the lottery. Although the all-pay auction is the superior fundraising mechanism both in theory and in the laboratory …

Persistent link: https://www.econbiz.de/10009003388

Inverse Adverse Selection: The Market for Gems

Dari-Mattiacci, Giuseppe; Onderstal, Sander; Parisi, … - Tinbergen Institute - 2011

This paper studies markets plagued with asymmetric information on the quality of traded goods. In Akerlof's setting, sellers are better informed than buyers. In contrast, we examine cases where buyers are better informed than sellers. This creates an inverse adverse selection problem: The market...

Persistent link: https://www.econbiz.de/10008838639

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Institute - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10005137081

Systemic Risk Diagnostics

Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - Tinbergen Institute - 2010

A macro-prudential policy maker can manage risks to financial stability only if current

Persistent link: https://www.econbiz.de/10008679878

A Pigovian Approach to Liquidity Regulation

Perotti, Enrico; Suarez, Javier - Tinbergen Institute - 2011

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic risk externalities. It focuses on the relative

Persistent link: https://www.econbiz.de/10008867501

Capital Regulation and Tail Risk

Perotti, Enrico; Ratnovski, Lev; Vlahu, Razvan - Tinbergen Institute - 2011

. A bank with higher capital has less …

Persistent link: https://www.econbiz.de/10008867505

Asset Market Linkages in Crisis Periods

Hartmann, P.; Straetmans, S.; Vries, C.G. de - Tinbergen Institute - 2001

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

Persistent link: https://www.econbiz.de/10005281787

Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

Geluk, J.L.; Vries, C.G. de - Tinbergen Institute - 2004

Suppose are independent subexponential random variables with partial sums. We show that if the pairwise sums of the ’s are subexponential, then is subexponential and . The result is applied to give conditions under which as , where are constants such that is a.s. convergent. Asymptotic tail...

Persistent link: https://www.econbiz.de/10005281962