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Consumption volatility, production volatility, spot rate volatility and the returns on treasury bills and bonds
Lauterbach, Beni - 1989
Persistent link: https://www.econbiz.de/10000769051
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Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
Persistent link: https://www.econbiz.de/10012582703
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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
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Synthetic leverage and fund risk-taking
Fricke, Daniel - 2021
Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …
Persistent link: https://www.econbiz.de/10012489580
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Identification robust empirical evidence on the Euler equation in open economies
Haque, Qazi; Magnusson, Leandro M. - 2020
Persistent link: https://www.econbiz.de/10012208734
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Adaptation, Anticipation-bias and optimal income taxation
Aronsson, Thomas; Schöb, Ronnie - 2012
Adaptation is omnipresent but people systematically fail to correctly anticipate the degree to which they adapt. This leads individuals to make inefficient intertemporal decisions. This paper concerns optimal income taxation to correct for such anticipation-biases in a framework where consumers...
Persistent link: https://www.econbiz.de/10009559801
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Demand systems with unit values : a comparison of two specifications
Lahatte, Agénor; Miquel, Ruth; Laisney, François; … - 1997
The availability of quantity information along with expenditure information in some household surveys allows the estimation of price reactions on the basis of unit values. We compare two specifications that have been proposed in this context by Deaton (1990) and Crawford et al. (1997) in order...
Persistent link: https://www.econbiz.de/10011427724
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Labour supply when consumption takes time
Berten, Pascal - 1997
Persistent link: https://www.econbiz.de/10000971330
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Individual income, incomplete information, and aggregate consumption
Pischke, Jörn-Steffen - 1991
Persistent link: https://www.econbiz.de/10013427859
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Estimation of household demand systems using unit value data
Crawford, Ian - 1997
determination in a way which is consistent with demand theory, unlike methods hitherto prominent in the literature. The method is …
Persistent link: https://www.econbiz.de/10013428112