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The Term Structure of Interest Rates in a Heterogeneous Monetary Union
Costain, James S.; Nuno, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://www.econbiz.de/10014080055
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Welfare Losses of Road Congestion
Russo, Antonio - 2019
We estimate the marginal external congestion cost of motor-vehicle travel for Rome, Italy, using a methodology that accounts for hypercongestion (a situation where congestion decreases a road’s throughput). We show that the external cost – even when roads are not hypercongested...
Persistent link: https://www.econbiz.de/10012867018
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Optimal Lockdown and Social Welfare
Pestieau, Pierre; Ponthiere, Gregory - 2021
This paper reexamines the design of the optimal lockdown strategy by paying attention to its robustness to the postulated social welfare criterion. We first characterize optimal lockdown under utilitarianism, and we show that this social criterion can, under some conditions, imply a COVID19...
Persistent link: https://www.econbiz.de/10013314954
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Nonparametric Welfare Analysis for Discrete Choice : Levels and Differences of Individual and Social Welfare
Capéau, Bart; Maes, Sebastiaan; Sadeleer, Liebrecht De; … - 2021
Empirical welfare analyses often impose stringent parametric assumptions on individuals’ preferences and neglect unobserved preference heterogeneity. In this paper, we develop a framework to conduct individual and social welfare analysis for discrete choice that does not suffer from these...
Persistent link: https://www.econbiz.de/10013228344
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Exchange Competition, Entry, and Welfare
Cespa, Giovanni - 2019
We integrate a market microstructure model with an exchange competition model with entry in which exchanges supply technological services that enhance market participation, and have market power. We find that technological services can be strategic substitutes or complements in platform...
Persistent link: https://www.econbiz.de/10012892152
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10012892294
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One Nation, One Language? Domestic Language Diversity, Trade and Welfare
Gurevich, Tamara; Herman, Peter; Toubal, Farid; Yotov, Yoto - 2021
Using new data on linguistic diversity across and within countries, we examine novel channels though which language affects trade patterns and economic welfare. We find that linguistic similarity within a country accounts for about 10 percent of estimated ‘home bias’, demonstrating the...
Persistent link: https://www.econbiz.de/10013249655
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The Term Structure of Interest Rates in a Heterogeneous Monetary Union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://www.econbiz.de/10013353456
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A Theory of Price Adjustment under Loss Aversion
Ahrens, Steffen; Pirschel, Inske; Snower, Dennis J. - 2014
We present a new partial equilibrium theory of price adjustment, based on consumer loss aversion. In line with prospect … theory, the consumers' perceived utility losses from price increases are weighted more heavily than the perceived utility … an otherwise standard dynamic neoclassical model of monopolistic competition. The resulting theory of price adjustment is …
Persistent link: https://www.econbiz.de/10010398564
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Nonlinear Business Cycle and Optimal Policy : A VSTAR Perspective
Polito, Vito - 2020
-equivalent nonlinear quadratic regulator (NLQR) problem is derived. Optimal rules are calculated by adapting from the engineering theory …
Persistent link: https://www.econbiz.de/10012842681