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We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …
Persistent link: https://www.econbiz.de/10012833123
Time-inconsistency of no-bailout policies can create incentives for banks to take excessive risks and generate endogenous crises when the government cannot commit. However, at the outbreak of financial problems, usually the government is uncertain about their nature, and hence it may delay...
Persistent link: https://www.econbiz.de/10013087435
shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …
Persistent link: https://www.econbiz.de/10013150731
the present value of the flow of social benefits minus costs. But the real world is one of considerable uncertainty … discount rates that should be used to compute present values. The implications of uncertainty are complicated by the fact that … horizons. Correctly incorporating uncertainty in policy design is therefore one of the more interesting and important research …
Persistent link: https://www.econbiz.de/10012778137
risk sharing. Higher uncertainty increases stock prices, risk premiums, volatility, wealth inequality and the dispersion of …I characterize a dynamic economy under general distributions of households' risk tolerance, endowments, and beliefs … consumption-share increases; (b) the wealth-share of high risk-tolerant households increases; (c) richer households' wealth …
Persistent link: https://www.econbiz.de/10012894994
This paper introduces a formal definition and an experimental measurement of the concept of cognitive uncertainty …: people's subjective uncertainty about what the optimal action is. This concept allows us to bring together and partially … explain a set of behavioral anomalies identified across four distinct domains of decision-making: choice under risk, choice …
Persistent link: https://www.econbiz.de/10012858403
We develop an integrated theory of investment, seasoned equity offerings (SEOs), liquidation, and corporate savings … under uncertainty for a financially constrained firm, which features endogenous growth options, abandonment options, and …
Persistent link: https://www.econbiz.de/10013044990
role of secondary markets in providing opportunities for redistributing risk is made transparent and the modifications …
Persistent link: https://www.econbiz.de/10013308633
setting, an increase in uncertainty about future shocks causes significant contractions in the economy and may lead to non … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …
Persistent link: https://www.econbiz.de/10013002240
-contribution (DC) plans that typically contain a minimum benefit guarantee (DC-MB). Risk management techniques must be used to control … the Samp;P500. Calculations show that the true risk-adjusted value of unfunded guarantees in a realistic DC-MB plan equals … 'basis risk' if they chose a non-standard portfolio. However, for large conversions from DB to DC-MB plans, in which there is …
Persistent link: https://www.econbiz.de/10012787366