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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2017
This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...
Persistent link: https://www.econbiz.de/10012963776
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Optimal Taxation and Constrained Inefficiency in an Infinite-Horizon Economy with Incomplete Markets
Gottardi, Piero; Kajii, Atsushi; Nakajima, Tomoyuki - 2021
We study the dynamic Ramsey problem of finding optimal public debt and linear taxes on capital and labor income within a tractable infinite horizon model with incomplete markets. With zero public expenditure and debt, it is optimal to tax the risky labor income and subsidize capital, while a...
Persistent link: https://www.econbiz.de/10013315974
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Illiquidity and Under-Valuation of Firms
Gale, Douglas M. - 2012
We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...
Persistent link: https://www.econbiz.de/10013116475
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The 2008 Financial Crisis and Taxation Policy
Hemmelgarn, Thomas - 2013
a housing bubble in a context of rapid credit expansion, high risk-taking and exacerbated financial leverage, leading to …
Persistent link: https://www.econbiz.de/10013095147
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Monetary Policy with Diverse Private Expectations
Kurz, Mordecai - 2015
We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...
Persistent link: https://www.econbiz.de/10013024741
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Why Does Idiosyncratic Risk Increase with Market Risk
Bartram, Söhnke M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation …
Persistent link: https://www.econbiz.de/10012950299
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Investment Shocks, Tax Evasion and the Consumption Puzzle : A DSGE Analysis with Financial Frictions
Chiarini, Bruno - 2016
This paper contributes to the GDP-consumption co-movement puzzle literature investigating the role of tax evasion in explaining the consumption path after a Marginal Efficiency of Investment shock. We use an otherwise standard medium-scale New Keynesian DSGE model combining tax evasion with...
Persistent link: https://www.econbiz.de/10012984510
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The 2008 Financial Crisis and Taxation Policy
Hemmelgarn, Thomas; Nicodème, Gaëtan J.A. - CESifo - 2010
a housing bubble in a context of rapid credit expansion, high risk-taking and exacerbated financial leverage, leading to …
Persistent link: https://www.econbiz.de/10008534034
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Rumors and Runs in Opaque Markets : Evidence from Panic of 1907
Fohlin, Caroline - 2016
impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial … and, using a spread decomposition, we identify information risk as the largest component of illiquidity. Information costs … following the peak of the panic. Notably, market illiquidity risk is priced in the cross section of stock returns. Thus, our …
Persistent link: https://www.econbiz.de/10012981593
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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André K. - 2015
The ‘saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10013022495