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Dicks, David L.; Fulghieri, Paolo - C.E.P.R. Discussion Papers - 2015

We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to uncertainty aversion, beliefs on future asset returns are endogenous, and bad news on one asset class induces investors to be more pessimistic about other asset classes as well. This...

Persistent link: https://www.econbiz.de/10011213303

Ambiguity, Disagreement, and Allocation of Control in Firms

Dicks, David L.; Fulghieri, Paolo - C.E.P.R. Discussion Papers - 2015

We present a novel source of disagreement grounded in decision theory: ambiguity aversion. We show that ambiguity aversion generates endogenous disagreement between a firm's insider and outside shareholders, creating a new rationale for corporate governance systems. In our paper, optimal...

Persistent link: https://www.econbiz.de/10011213312

Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?

Füss, Roland; Gehrig, Thomas; Rindler, Philipp B - C.E.P.R. Discussion Papers - 2011

The paper investigates whether the financial crisis did affect risk perceptions, and, hence, change structural parameters. By decomposing credit spreads of US corporate bonds into the contributions by credit, equity, and liquidity risk factors as well as structural change, the relative...

Persistent link: https://www.econbiz.de/10009399718

Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System

Cukierman, Alex; Izhakian, Yehuda - C.E.P.R. Discussion Papers - 2011

This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest...

Persistent link: https://www.econbiz.de/10009144737

Manipulating Reliance on Intuition Reduces Risk and Ambiguity Aversion.

Butler, Jeff; Guiso, Luigi; Jappelli, Tullio - C.E.P.R. Discussion Papers - 2013

Prior research suggests that those who rely on intuition rather than effortful reasoning when making decisions are less averse to risk and ambiguity. The evidence is largely correlational, however, leaving open the question of the direction of causality. In this paper, we present experimental...

Persistent link: https://www.econbiz.de/10011083555

Partial Insurance and Investments in Children

Carneiro, Pedro; Ginja, Rita - C.E.P.R. Discussion Papers - 2015

partial insurance of parental investments against permanent income shocks, but the magnitude of the estimated responses is … small. We cannot reject the hypothesis full insurance against temporary shocks. Another interpretation of our findings is … that there is very little insurance available, but the fact that skill is a non-separable function of parental investments …

Persistent link: https://www.econbiz.de/10011266538

A Structural Non-Stationary Model of Job Search: Stigmatization of the Unemployed by Job Offers or Wage Offers?

Lollivier, Stefan; Rioux, Laurence - C.E.P.R. Discussion Papers - 2005

We develop a structural non-stationary model of job search in the fashion of van den Berg (1990). Non-stationarity comes from the duration-dependence in benefits, in the arrival rate of job offers, and in wage offers. The model is then estimated using the French sample of the ECHP Survey...

Persistent link: https://www.econbiz.de/10005662101

Designing a Cheaper and More Effective Unemployment Benefit System

Coles, Melvyn G - C.E.P.R. Discussion Papers - 1996

unemployed is particularly costly, this policy provides insurance equivalent to that provided by the current system. By reducing …

Persistent link: https://www.econbiz.de/10005662357

Insurance and Information: Firms as a Commitment Device

Bovenberg, A Lans; Teulings, Coen N - C.E.P.R. Discussion Papers - 2002

explicit contracts to crowd out implicit insurance provided by the firm, even though the latter yields higher welfare. We …

Persistent link: https://www.econbiz.de/10005667043

Heterogeneity of Preferences, Limited Commitment and Coalitions: Empirical Evidence on the Limits to Risk Sharing in Rural Pakistan

Dubois, Pierre - C.E.P.R. Discussion Papers - 2006

In this paper, we study the determinants of the value of informal risk sharing groups. In particular, we look at the effects of heterogeneity of preferences and of limited commitment constraints that restrict feasible allocations differently if individuals can deviate form risk sharing...

Persistent link: https://www.econbiz.de/10005791230