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The rate of return on everything, 1870-2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018

This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...

Persistent link: https://www.econbiz.de/10011794864

Term structure and cyclicity of value-at-risk : consequences for the solvency capital requirement

Bec, Frédérique; Gollier, Christian - 2009

the European rules regarding the solvency capital requirements for insurance companies should adapt to the state of the …

Persistent link: https://www.econbiz.de/10003824669

Inside the mind of a stock market crash

Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - 2020 - First draft: April 4th 2020, this draft: May 21, 2020

We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at...

Persistent link: https://www.econbiz.de/10012224226

Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle

Chatterjee, Pratiti; Milani, Fabio - 2020

What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...

Persistent link: https://www.econbiz.de/10012294890

Learning capitalism the hard way : evidence from German reunification

Triebs, Thomas P.; Tumlinson, Justin - 2016

We develop a model of firm learning in volatile markets with noisy signals and test its predictions using historical German data. Firms' forecasts improve with age. We exploit German Reunification as a natural experiment where firms in the East are treated with ignorance about the distribution...

Persistent link: https://www.econbiz.de/10011580632

Assessing the efficiency of an insurance provider : a measurement error approach

Jametti, Mario; Ungern-Sternberg, Thomas von - 2003

The purpose of this paper is to compare the cost efficiency of private and public property insurance providers in … measurement errors and apply the model to a data set on 19 firms in housing insurance markets in Switzerland. We show that the … public insurance providers are about 20 per cent more cost efficient than their private counterparts. …

Persistent link: https://www.econbiz.de/10011507834

The unfortunate regressivity of public natural hazard insurance : a quantitative analysis of a New Zealand case

Owen, Sally; Noy, Ilan - 2017

Natural hazard insurance is almost always provided through public-private partnerships. Given the dominant role of the … insurance. We provide a detailed quantification of the degree of regressivity of the New Zealand earthquake insurance program … million insurance claims that resulted from the Canterbury earthquakes of 2011. As in other cases, this can be remedied with …

Persistent link: https://www.econbiz.de/10011669409

What do we know about recent exchange rate models? : in-sample fit and out-of-sample performance evaluated

Cheung, Yin-Wong; Chinn, Menzie David; Pascual, Antonio … - 2003

Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970 s vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have been...

Persistent link: https://www.econbiz.de/10011507659

Will stability last?

Martin, Will (contributor); Rowthorn, Bob (contributor) - 2004

the last decade. Using stylised models of the economies of the US, Euro area, UK and Japan, we argue that economic …

Persistent link: https://www.econbiz.de/10002521030

The New Keynesian Phillips Curve and the role of expectations : evidence from the Ifo world economic survey

Henzel, Steffen (contributor); … - 2006

We provide evidence on the fit of the hybrid New Keynesian Phillips curve for selected euro zone countries, the US and the UK. Instead of imposing rational expectations and estimating the Phillips curve by the Generalized Method of Moments, we follow Roberts (1997) and Adam and Padula (2003) and...

Persistent link: https://www.econbiz.de/10003301367

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