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FTPL and the Maturity Structure of Government Debt in the New Keynesian Model
Liemen, Max Ole; Posch, Olaf - 2022
In this paper, we revisit the fiscal theory of the price level (FTPL) within the New Keynesian (NK) model. We show in … which cases the average maturity of government debt matters for the transmission of policy shocks. The central task of this … paper is to shed light on the theoretical predictions of the maturity structure on macro dynamics with an emphasis on model …
Persistent link: https://www.econbiz.de/10014080233
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Advantageous Selection Without Moral Hazard (with an Application to Life Care Annuities)
De Donder, Philippe; Leroux, M.‐L; Salanié, François - 2022
Advantageous (or propitious) selection occurs when an increase in the premium of an insurance contract induces high-cost agents to quit, thereby reducing the average cost among remaining buyers. Hemenway (1990) and many subsequent contributions motivate its advent by differences in risk-aversion...
Persistent link: https://www.econbiz.de/10014083046
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Uncertain bequest needs and long-term Insurance contracts
Fei, Wenan; Fluet, Claude; Schlesinger, Harris - 2008
We examine how long-term life insurance contracts can be designed to incorporate uncertain future bequest needs. An individual who buys a life insurance contract early in life is often uncertain about the future financial needs of his or her family, in the event of an untimely death. Ideally,...
Persistent link: https://www.econbiz.de/10010264521
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Demography and Provisions for Retirement - The Pension Composition, a Behavioral Approach
van Praag, B.M.S. - 2020
Pensions may be provided for in a modern society by a mix of several methods, namely by voluntary individual savings, mandatory fully-funded occupational pension systems, mandatory social security financed by pay-as-you-go, and old-fashioned hoarding in cash. Here, we call the specific mixture...
Persistent link: https://www.econbiz.de/10012842673
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Does Mandatory Saving Crowd Out Voluntary Saving? Evidence from a Pension Reform
Hougaard Jensen, Svend E.; Olafsson, Sigurdur P.; … - 2022
Recently, mandatory pension contributions in the private sector in Iceland were increased substantially while remaining unchanged in the public sector. This constituted a large natural experiment. We study the effects of this experiment on households’ voluntary saving using administrative...
Persistent link: https://www.econbiz.de/10014242150
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Optimal Retirement with Disability Pensions
Fehr, Hans; Fröhlich, Adrian - 2023
This paper develops a general equilibrium life-cycle model with endogenous retirement and disability risk, in order to quantify the impact of recent pension reforms in Germany. At certain ages households may either apply for disability pensions (DP) or old-age pensions (OAP), de-pending on...
Persistent link: https://www.econbiz.de/10014264162
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Tax incentives, bequest motives, and the demand for life insurance: Evidence from two natural experiments in Germany
Sauter, Nicolas; Walliser, Jan; Winter, Joachim - 2010
Whole life insurance plays an important role in household saving. However, empirical evidence on its determinants is scarce. This paper studies two natural experiments to identify the effects of tax incentives and bequest motives on life-insurance demand. An unanticipated tax reform in 2000...
Persistent link: https://www.econbiz.de/10010270489
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10010277059
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Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods
Caporale, Guglielmo Maria - 2019
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model forecasts, and forecasts combining those two using a...
Persistent link: https://www.econbiz.de/10012871648
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US Policy Responses to the COVID-19 Pandemic and Sectoral Stock Indices : A Fractional Integration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Aikins … - 2021
This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...
Persistent link: https://www.econbiz.de/10013322776