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Options-Pricing Formula with Disaster Risk
Barro, Robert J. - 2016
risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula …
Persistent link: https://www.econbiz.de/10013001208
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Learning from Prices : Public Communication and Welfare
Amador, Manuel - 2008
We study the effect of releasing public information about productivity or monetary shocks when agents learn from nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the informational efficiency of the price system. We show that,...
Persistent link: https://www.econbiz.de/10012770589
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The Elasticity of Demand with Respect to Product Failures; or Why the Market for Quack Medicines Flourished for More than 150 Years
Troesken, Werner - 2010
Between 1810 and 1939, real per capita spending on patent medicines grew by a factor of 114; real per capita GDP by a factor of 5. The long-term growth and survival this industry is puzzling when juxtaposed with standard historical accounts, which typically portray patent medicines as quack...
Persistent link: https://www.econbiz.de/10013148381
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Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K. - 2011
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10013131235
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Fat Tails, Thin Tails, and Climate Change Policy
Pindyck, Robert S. - 2010
the distribution for outcomes is fat-tailed. Furthermore, depending on the bound on marginal utility, the index of risk …
Persistent link: https://www.econbiz.de/10013138396
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A Sharper Ratio : A General Measure for Correctly Ranking Non-Normal Investment Risks
Smetters, Kent A. - 2013
probability distributions. This paper also explores the theoretical foundations of risk ranking, including proving a key …
Persistent link: https://www.econbiz.de/10013074912
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The Analytics of Investment, Q, and Cash Flow
Abel, Andrew B. - 2015
In this paper I analyze the relationships among investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. After analyzing the impact of changes in the distribution of the marginal operating profit of capital, I extend the model to...
Persistent link: https://www.econbiz.de/10013015553
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Skewed Wealth Distributions : Theory and Empirics
Benhabib, Jess - 2016
Invariably across a cross-section of countries and time periods, wealth distributions are skewed to the right displaying thick upper tails, that is, large and slowly declining top wealth shares. In this survey we categorize the theoretical studies on the distribution of wealth in terms of the...
Persistent link: https://www.econbiz.de/10013000515
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Asset Pricing in the Frequency Domain : Theory and Empirics
Dew-Becker, Ian - 2013
, which captures the fluctuations induced in the priced variable at different frequencies. We show that the price of risk for … frequency then represents the frequency-specific price of risk, and is entirely determined by the preferences of investors. For … frequencies. We estimate the frequency-specific risk prices for the equity market, focusing on economically interesting …
Persistent link: https://www.econbiz.de/10013076563
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What is the Probability Your Vote Will Make a Difference?
Gelman, Andrew - 2010
One of the motivations for voting is that one vote can make a difference. In a presidential election, the probability that your vote is decisive is equal to the probability that your state is necessary for an electoral college win, times the probability the vote in your state is tied in that...
Persistent link: https://www.econbiz.de/10013151391