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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013094544
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Credit Derivates and the Default Risk of Large Complex Financial Institutions
Calice, Giovanni - 2013
significant detrimental volatility spillovers from the CDS market to the banks' equity prices, suggesting a credit shock …
Persistent link: https://www.econbiz.de/10013092380
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Carbon Leakage, the Green Paradox and Perfect Future Markets
Eichner, Thomas - 2014
Policies of lowering carbon demand may aggravate rather than alleviate climate change (green paradox). In a two-period three-country general equilibrium model with finite endowment of fossil fuel one country enforces an emissions cap in the first or second period. When that cap is tightened the...
Persistent link: https://www.econbiz.de/10012750992
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Production Technologies in Stochastic Continuous Time Models
Wälde, Klaus - 2009
Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a...
Persistent link: https://www.econbiz.de/10013155278
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Electoral Competition with Rationally Inattentive Voters
Matějka, Filip - 2016
How do voters allocate costly attention to alternative political issues? And how does selective ignorance of voters interact with policy design by politicians? We address these questions by developing a model of electoral competition with rationally inattentive voters. Rational inattention...
Persistent link: https://www.econbiz.de/10012993102
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Matching and Saving in Continuous Time : Proofs
Bayer, Christian - 2010
This paper provides the proofs to the analysis of a continuous time matching model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations
Persistent link: https://www.econbiz.de/10013144211
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Matching and Saving in Continuous Time : Theory
Bayer, Christian - 2010
We analyse optimal saving of risk-averse households when labour income stochastically jumps between two states. The generalized Keynes-Ramsey rule includes a precautionary savings term. A phase diagram analysis illustrates consumption and wealth dynamics within and between states. There is an...
Persistent link: https://www.econbiz.de/10013144214
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Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2021
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...
Persistent link: https://www.econbiz.de/10013317060
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'Ito's Lemma' and the Bellman Equation for Poisson Processes : An Applied View
Sennewald, Ken; Wälde, Klaus - 2021
Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the...
Persistent link: https://www.econbiz.de/10013317637
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Exports, Investment and Firm-Level Sales Volatility
Riano, Alejandro - 2011
increase the volatility of total sales for exporting firms …
Persistent link: https://www.econbiz.de/10013130747