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Sousa, José de; Disdier, Anne-Célia; Gaigné, Carl - 2016

regularities by developing a new firmbased trade model wherein managers are risk averse. Higher volatility induces the reallocation …

Persistent link: https://www.econbiz.de/10011547934

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

Persistent link: https://www.econbiz.de/10011507677

Optimal investment strategies under demand and tax policy uncertainty

Boehm, Hjalmar; Funke, Michael - 2000

In this paper we offer an analysis of the effects of uncertainty about future tax policy on irreversible investment. The main message of the paper is that investment is not much affected by the degreee of tax policy uncertainty. This is true regardless of whether random tax changes are...

Persistent link: https://www.econbiz.de/10009781588

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2019

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

Persistent link: https://www.econbiz.de/10012129784

Estimating macroeconomic uncertainty and discord using info-metrics

Lahiri, Kajal; Wang, Wuwei - 2019

We apply generalized beta and triangular distributions to histograms from the Survey of Professional Forecasters (SPF) to estimate forecast uncertainty, shocks and discord using information framework, and compare these with moment-based estimates. We find these two approaches to produce...

Persistent link: https://www.econbiz.de/10012024647

Domestic and global uncertainty : a survey and some new results

Castelnuovo, Efrem - 2019

This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty...

Persistent link: https://www.econbiz.de/10012119543

Investment responses to tax policy under uncertainty

Guceri, Irem; Albinowski, Maciej - 2019

How does economic uncertainty affect the impact of tax policy? We exploit a natural experiment in which two very similar investment subsidies were implemented in the same country, two years apart: once during a period of economic stability, and once during a period of very high uncertainty....

Persistent link: https://www.econbiz.de/10012120240

Closed-form integrated assessment and uncertainty

Traeger, Christian - 2015

-form expressions of welfare loss from shocks and epistemological uncertainty identify the interaction of (intertemporal) risk attitude …

Persistent link: https://www.econbiz.de/10011305430

Guaranteed renewable life insurance under demand uncertainty

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

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 insurance against reclassification risk. We develop a model that includes … unpredictable (and unobservable) fluctuations in demand for life insurance as well as changes in risk type (observable) over …

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

Policy coordination under model disagreement and uncertainty

Hefeker, Carsten; Neugart, Michael - 2019

What are the incentives for governments to coordinate their policies internationally when there is model disagreement and uncertainty? We build a model where countries disagree on policy targets and how policies affect the economies, and show that uncertainty not only determines the type of...

Persistent link: https://www.econbiz.de/10011966668

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