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Asset Pricing with Uncertain Betas : A Long-Term Perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10013087728
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Debt Maturity without Commitment
Niepelt, Dirk - 2021
I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of …-term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped by … maturity structure with positive gross positions and a shortening of the maturity structure when debt issuance is high, output …
Persistent link: https://www.econbiz.de/10013316425
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International Credit Flows and Pecuniary Externalities
Brunnermeier, Markus K. - 2015
This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too...
Persistent link: https://www.econbiz.de/10013028913
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Optimal Debt Bias in Corporate Income Taxation
Simon, Jenny - 2015
I present a rationale for a government to discriminate between debt and equity financing when taxing corporate income. For risk-averse entrepreneurs, equity generates more surplus than debt, because it provides financing and insurance. A government seeking to extract surplus from entrepreneurs...
Persistent link: https://www.econbiz.de/10013011801
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Evaluating the Effects of ACE Systems on Multinational Debt Financing and Investment
Hebous, Shafik - 2015
Theory recommends aligning the tax treatment of debt and equity. A few countries, notably Belgium, have introduced an …
Persistent link: https://www.econbiz.de/10013021715
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Taxation and the Optimal Constraint on Corporate Debt Finance
Birch Sørensen, Peter - 2014
The tax bias in favour of debt finance under the corporate income tax means that corporate debt ratios exceed the socially optimal level. This creates a rationale for thin-capitalization rules limiting the amount of debt that qualifies for interest deductibility. This paper sets up a model of...
Persistent link: https://www.econbiz.de/10013039997
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Short and Long-Run Behaviour of Long-Term Sovereign Bond Yields
Afonso, António - 2010
This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...
Persistent link: https://www.econbiz.de/10013135912
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Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva - 2013
the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect …
Persistent link: https://www.econbiz.de/10013075134
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The Economic Consequences of Rising U.S. Government Debt : Privileges at Risk
Bohn, Henning - 2021
maturity of U.S. public debt – over $2.5 trillion maturing in 2010 – investor expectations are critical. Excessive debts …
Persistent link: https://www.econbiz.de/10013316205
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Top Incomes, Rising Inequality, and Welfare
Lansing, Kevin J. - 2012
This paper develops a general-equilibrium model of skill-biased technological change that approximates the observed shifts in the shares of wage and non-wage income going to the top decile of U.S. households since 1980. Under realistic assumptions, we find that all agents can benefit from the...
Persistent link: https://www.econbiz.de/10013098333