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Kirchkamp, Oliver; Mill, Wladislaw - 2019

In this paper we use an experiment to compare a theory of risk aversion and a theory of spite as an explanation for … overbidding in auctions. As a workhorse we use the second-price all-pay and the first-price winner-pay auction. Both risk and … spite can be used to rationalize deviations from risk neutral equilibrium bids in auctions. We exploit that equilibrium …

Persistent link: https://www.econbiz.de/10012002983

Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, M. Hashem (contributor); … - 2004

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as average ̕models and its exact …

Persistent link: https://www.econbiz.de/10002523934

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

Measurement of economic welfare risk and resilience of the Philippine regions

Yonson, Rio; Noy, Ilan - 2018

Using an economic model to assess welfare risk and resilience to disasters, this paper systematically tackles the … losses at the microeconomic level. Apart from the prioritization of regions based on resilience and welfare risk, we identify … risk from riverine floods. While there are similarities in the ranking of policies among regions with comparable levels of …

Persistent link: https://www.econbiz.de/10011810138

Robust growth determinants

Doppelhofer, Gernot; Weeks, Melvyn - 2011

This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and parsimonious mixture modeling that allows for fat-tailed errors...

Persistent link: https://www.econbiz.de/10009010519

Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital

Malley, James R.; Woitek, Ulrich - 2011

Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...

Persistent link: https://www.econbiz.de/10009295333

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley, James R.; Woitek, Ulrich - 2009

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

Persistent link: https://www.econbiz.de/10003833344

Productivity shocks and aggregate cycles in an estimated endogenous growth model

Malley, James R.; Woitek, Ulrich - 2009

Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...

Persistent link: https://www.econbiz.de/10003850283

The econometrics of oil market VAR Models

Kilian, Lutz; Zhou, Xiaoqing - 2020

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

Persistent link: https://www.econbiz.de/10012174841

Sustainable banking and credit market segmentation

Kelly, David L.; Paik, Christopher - 2024

identify an asymmetric information problem: borrowers signal low financial risk to banks who are uncertain about borrower risk …

Persistent link: https://www.econbiz.de/10015144331