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A flexible predictive density combination for large financial data sets in regular and crisis periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022

A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...

Persistent link: https://www.econbiz.de/10013332662

Till debt do us part : strategic divorces and a test of moral hazard

Kim, Yeorim; Mastrogiacomo, Mauro; Hochgürtel, Stefan; … - 2022

We test whether households that face prospective home equity losses during a house price downturn use divorce to shed debt. We study the Dutch context, where qualifying homeowners can buy into a mortgage guarantee scheme that insures the lender against borrower default and transfers the risk to...

Persistent link: https://www.econbiz.de/10013332708

Property transfer taxes, residential mobility, and welfare

Schmidt, Daniel Jonas - 2022

In this paper, I develop an overlapping generations model to analyze the effects of property transfer taxes on homeownership, residential mobility, and welfare in the Netherlands. A revenue-neutral abolition of the 2% transfer tax increases the likelihood that homeowners sell their old house and...

Persistent link: https://www.econbiz.de/10013332732

Optimal commodity taxation when households earn multiple incomes

Spiritus, Kevin - 2022

I characterize the optimal linear commodity taxes when households differ in multiple characteristics and earn multiple incomes, in presence of an optimal non-linear tax schedule on the households' labour incomes. The government should tax a commodity more heavily if, conditional on labour...

Persistent link: https://www.econbiz.de/10013429198

Observation-driven filters for timeseries with stochastic trends and mixed causal non-causal dynamics

Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele - 2023

This paper proposes a novel time-series model with a non-stationary stochastic trend, locally explosive mixed causal non-causal dynamics and fat-tailed innovations. The model allows for a description of financial time-series that is consistent with financial theory, for a decomposition of the...

Persistent link: https://www.econbiz.de/10014380706

Why do oaths work? : image concerns and credibility in promise keeping

Kingsuwankul, Sorravich; Tergiman, Chloe; Villeval, … - 2023

credibility. Using a game with asymmetric information in a financial market setting that captures some important features of …

Persistent link: https://www.econbiz.de/10014380769

Pricing in the stochastic bottleneck model with price-sensitive demand

Liu, Qiumin; Berg, Vincent A. C. van den; Verhoef, Erik T. - 2024

We analyse time-varying tolling in the stochastic bottleneck model with price-sensitive demand and uncertain capacity. We find that price sensitivity and its interplay with uncertainty have important implications for the effects of tolling on travel costs, welfare and consumers. We evaluate...

Persistent link: https://www.econbiz.de/10014472536

Exclusive portfolio dealing and market inefficiency

Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024

We rationalize exclusive portfolio dealing in a novel three-period partial equilibrium framework populated by a representative, risk-neutral seller and a small number of ex ante identical broker-dealers. Endowed with independent, uncertain demand for a representative asset, the broker-dealers...

Persistent link: https://www.econbiz.de/10014496480

On weighted-egalitarian values for cooperative games

Zou, Zhengxing; Brink, René van den; Funaki, Yukihiko - 2024

We propose and characterize weighted-egalitarian values for cooperative transferable utility games. Each weighted-egalitarian value divides the worth of the grand coalition into two parts and allocates them through equality and proportionality based on exogenous player weights. We characterize...

Persistent link: https://www.econbiz.de/10014505372

Seeking or ignoring ethical certifications in consumer choice

Amasino, Dianna R.; Oosterwijk, Suzanne; Sullivan, … - 2024

Consumers often encounter, and claim to care about, ethical information concerning the products they purchase. Across … three studies, we investigate how the accessibility of this information impacts choice. When consumers must seek out product … attribute information, the impact of ethical certifications (Fairtrade and Organic) is diminished relative to other attributes …

Persistent link: https://www.econbiz.de/10014529385