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Optimal Taxation and Social Insurance with Endogenous Private Insurance

Chetty, Raj - 2013

This paper characterizes the welfare gains from redistributive taxation and social insurance in an environment where the private sector provides partial insurance. We analyze stylized models in which adverse selection, pre-existing information, or imperfect optimization in private insurance...

Persistent link: https://www.econbiz.de/10012753423

Health and Mortality Delta : Assessing the Welfare Cost of Household Insurance Choice

Koijen, Ralph S. J. - 2011

We develop a pair of risk measures, health and mortality delta, for the universe of life and health insurance products. A life-cycle model of insurance choice simplifies to replicating the optimal health and mortality delta through a portfolio of insurance products. We estimate the model to...

Persistent link: https://www.econbiz.de/10013121063

Advances in Consumption-Based Asset Pricing : Empirical Tests

Ludvigson, Sydney C. - 2011

The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...

Persistent link: https://www.econbiz.de/10013129191

Transition to FDI Openness : Reconciling Theory and Evidence

McGrattan, Ellen R. - 2011

conclusive evidence that they are positive, as theory predicts. This paper shows that the lack of empirical evidence is … consistent with theory if countries are in transition to FDI openness. Anticipated welfare gains lead to temporary declines in … reconciliation of theory and evidence is accomplished with a multicountry dynamic general equilibrium model parameterized with data …

Persistent link: https://www.econbiz.de/10013130264

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

Burnside, A. Craig - 2010

When excess returns are used to estimate linear stochastic discount factor (SDF) models, researchers often adopt a normalization of the SDF that sets its mean to 1, or one that sets its intercept to 1. These normalizations are often treated as equivalent, but they are subtly different both in...

Persistent link: https://www.econbiz.de/10013134862

Betting Against Beta

Frazzini, Andrea - 2010

We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....

Persistent link: https://www.econbiz.de/10013135232

The Inefficiency of Refinancing : Why Prepayment Penalties are Good for Risky Borrowers

Mayer, Christopher J. - 2010

This paper explores the practice of mortgage refinancing in a dynamic competitive lending model with risky borrowers and costly default. We show that prepayment penalties improve welfare by ensuring longer-term lending contracts, which prevents the mortgage pools from becoming disproportionately...

Persistent link: https://www.econbiz.de/10013135393

Valuing Identity

Fryer, Roland G. - 2010

Affirmative action policies are practiced around the world. This paper explores the welfare economics of such policies. A model is proposed where heterogeneous agents, distinguished by skill level and social identity, compete for positions in a hierarchy. The problem of designing an efficient...

Persistent link: https://www.econbiz.de/10013135413

Transparency and Credibility : Monetary Policy with Unobservable Goals

Faust, Jon - 2010

We define and study transparency, credibility, and reputation in a model where the central bank's characteristics are unobservable to the private sector and are inferred from the policy outcome. A low-credibility bank optimally conducts a more inflationary policy than a high-credibility bank, in...

Persistent link: https://www.econbiz.de/10013137302

The Time Variation of Risk and Return in Foreign Exchange Markets : A General Equilibrium Perspective

Bekaert, Geert - 2010

This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates...

Persistent link: https://www.econbiz.de/10013138143

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