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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736

Behavioral economics and macroeconomic models

Driscoll, John C.; Holden, Steinar - 2014 - This version: 7 April 2014

Over the past 20 years, macroeconomists have incorporated more and more results from behavioral economics into their models. We argue that doing so has helped fixed deficiencies with standard approaches to modeling the economy-for example, the counterfactual absence of inertia in the standard...

Persistent link: https://www.econbiz.de/10010350486

The effect of better information on income inequality

Eckwert, Bernhard; Zilcha, Itzhak - 2003

which is used for updating beliefs. Thus, a better information system affects the distribution of human capital in each …) If the relative measure of risk aversion is less (more) than 1 then more information raises (reduces) income inequality …. (b) When a risk sharing market is available better information results in higher inequality regardsless of the measure …

Persistent link: https://www.econbiz.de/10011507996

Legal uncertainty as a welfare enhancing screen

Lang, Matthias - 2016

Consider legal uncertainty as uncertainty about the legality of a specific action. In particular, suppose that the threshold of legality is uncertain. I show that this legal uncertainty raises welfare. Legal uncertainty changes deterrence in opposite directions. The probability of conviction...

Persistent link: https://www.econbiz.de/10011557794

Monetary policy with diverse private expectations

Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - 2015 - This version, January 26, 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/10010496147

Endogenous growth, the distribution of wealth, and optimal policy under incomplete markets and idiosyncratic risk

Clemens, Christiane; Heinemann, Maik - 2012

This paper combines the standard incomplete markets model of uninsurable idiosyncratic risks and borrowing constraints with the Arrow/Romer approach to endogenous growth to analyze the interaction of risk, growth, and inequality, the latter also endogenously determined in equilibrium. We derive...

Persistent link: https://www.econbiz.de/10009540768

Guaranteed renewable life insurance under demand uncertainty

Hoy, Michael; Mirza, Afrasiab; Sadanand, Asha B. - 2018

Guaranteed renewability is a prominent feature in many health and life insurance markets. It is well established in the literature that, when there is (only) risk type uncertainty, the optimal GR contract with renewal price set at the actuarially fair price for low risk types provides full...

Persistent link: https://www.econbiz.de/10011864322

Unpacking economic uncertainty : measuring the firm, sector and aggregate components

Mohades, Siavash; Piccillo, Giulia; Treibich, Tania - 2024

We introduce a novel method for measuring economic uncertainty at the firm, sector, and aggregate levels using sales volatility and validate it by comparison with existing macroeconomic uncertainty measures. We use Compustat firms data in the period 2000-2022 to construct our uncertainty...

Persistent link: https://www.econbiz.de/10014486791

Risk and heterogeneity in benefits from vocational versus general secondary-education : estimates for early and mature career stages in Portugal

Hartog, Joop; Raposo, Pedro; Reis, Hugo - 2023

We estimate a dynamic model of individual labour market careers (turnover and search, wage development) on Portuguese panel data of graduates from vocational and general secondary education. We find that vocational graduates benefit more from the internal labour market than from the external...

Persistent link: https://www.econbiz.de/10014309585

Business decision-making under uncertainty : evidence from employment and number of businesses

Ghosal, Vivek; Ye, Yang - 2013

Using the framework provided by the asymmetric-information and real-options theories, we examine the impact of …

Persistent link: https://www.econbiz.de/10009764986

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