Narrow search
Showing 1 - 10 of 377
Cover Image
Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10003807893
Cover Image
A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
between asset price bubbles and financial crises. I evaluate the key studies with the respect to the following questions. To … what extent do the empirical relations in the existing literature help to identify asset price bubbles ex-ante or ex …
Persistent link: https://www.econbiz.de/10003936616
Cover Image
Market depth, leverage, and speculative bubbles
Enders, Zeno; Hakenes, Hendrik - 2017
We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …
Persistent link: https://www.econbiz.de/10011780495
Cover Image
Money is the root of asset bubbles
Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024
This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is …
Persistent link: https://www.econbiz.de/10014467370
Cover Image
Double-question survey measures for the analysis of financial bubbles and crashes
Pesaran, M. Hashem; Johnsson, Ida - 2016
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/10011586267
Cover Image
Redistribution of return inequality
Schulz, Karl - 2021
Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...
Persistent link: https://www.econbiz.de/10012499593
Cover Image
Country default risk : an empirical assessment
Stein, Jerome L.; Paladino, Giovanna - 2001
We provide benchmarks to evaluate what is an optimal foreign debt and a maximal foreign debt (debt-max), when risk is explicitly considered. When the actual debt exceeds debt-max, then the economy will default when a bad shock occurs. This paper is an application of the stochastic optimal...
Persistent link: https://www.econbiz.de/10011398652
Cover Image
Stochastic optimal control modeling of debt crises
Stein, Jerome L. - 2003
What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt. The deviation of the actual from the optimal will serve as a...
Persistent link: https://www.econbiz.de/10011509487
Cover Image
Stochastic optimal control, international finance and debt
Fleming, Wendell Helms; Stein, Jerome L. - 2002
We use stochastic optimal control-dynamic programming (DP) to derive the optimal foreign debt/net worth, consumption/net worth, current account/net worth, and endogenous growth rate in an open economy. Unlike the literature that uses an Intertemporal Budget Constraint (IBC) or the Maximum...
Persistent link: https://www.econbiz.de/10011410314
Cover Image
Bitcoin and web search query dynamics : is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...
Persistent link: https://www.econbiz.de/10012026340