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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10013094817
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From Local to Global : External Validity in a Fertility Natural Experiment
Dehejia, Rajeev H.; Pop-Eleches, Cristian; Samii, Cyrus - 2021
Experimental evidence on a range of interventions in developing countries is accumulating rapidly. Is it possible to extrapolate from an experimental evidence base to other locations of policy interest (from “reference” to “target” sites)? And which factors determine the accuracy of such...
Persistent link: https://www.econbiz.de/10013315534
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Maintaining One's Living Standard at Old Age : What Does that Mean? Evidence Using Panel Data from Germany
Dudel, Christian - 2013
How much retirement income is needed in order to maintain one's living standard at old age? As it is difficult to find a firm basis for an empirical treatment of this question, we employ a novel approach to assessing an adequate replacement rate vis-à-vis income in the pre-retirement period. We...
Persistent link: https://www.econbiz.de/10013082346
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Heterogeneity of the Carnegie Effect
Bo, Erlend E. - 2015
The Carnegie effect (Holtz-Eakin, Joualfaian and Rosen, 1993) refers to the idea that inherited wealth harms recipients' work efforts, and possesses a key role in the discussion of taxation of intergenerational transfers. However, Carnegie effect estimates are few, reflecting that such effects...
Persistent link: https://www.econbiz.de/10013022507
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Heterogeneity of the Carnegie Effect
Bø, Erlend Eide; Halvorsen, Elin; Thoresen, Thor Olav - CESifo - 2015
The Carnegie effect (Holtz-Eakin, Joualfaian and Rosen, 1993) refers to the idea that inherited wealth harms recipients’ work efforts, and possesses a key role in the discussion of taxation of intergenerational transfers. However, Carnegie effect estimates are few, reflecting that such effects...
Persistent link: https://www.econbiz.de/10011277183
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Maintaining One's Living Standard at Old Age: What Does that Mean? Evidence Using Panel Data from Germany
Dudel, Christian; Ott, Notburga; Werding, Martin - CESifo - 2013
How much retirement income is needed in order to maintain one’s living standard at old age? As it is difficult to find a firm basis for an empirical treatment of this question, we employ a novel approach to assessing an adequate replacement rate vis-à-vis income in the pre-retirement period....
Persistent link: https://www.econbiz.de/10010643338
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Formal and Informal Risk Sharing in LDCs: Theory and Empirical Evidence
Dubois, Pierre; Jullien, Bruno; Magnac, Thierry - CESifo - 2008
We develop and estimate a model of dynamic interactions in which commitment is limited and contracts are incomplete to explain the patterns of income and consumption growth in village economies of less developed countries. Households can insure each other through both formal contracts and...
Persistent link: https://www.econbiz.de/10005405774
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Scarring or Scaring? The Psychological Impact of Past Unemployment and Future Unemployment Risk
Knabe, Andreas - 2008
We reassess the quot;scarringquot; hypothesis by Clark et al. (2001), which states that unemployment experienced in the past reduces a person's current life satisfaction even after the person has become reemployed. Our results suggest that the scar from past unemployment operates via worsened...
Persistent link: https://www.econbiz.de/10012768534
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Is There a Debt-Threshold Effect on Output Growth?
Chudik, Alexander - 2015
This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and empirical. On the theoretical side, we develop tests for threshold effects in the...
Persistent link: https://www.econbiz.de/10013019040
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The Growth Effect of Democracy : Is It Heterogenous and How Can it Be Estimated?
Persson, Torsten; Tabellini, Guido - 2021
We estimate the effect of political regime transitions on growth with semi-parametric methods, combining difference in differences with matching, that have not been used in macroeconomic settings. Our semi-parametric estimates suggest that previous parametric estimates may have seriously...
Persistent link: https://www.econbiz.de/10013317020