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Tipping Points and Ambiguity in the Economics of Climate Change
Lemoine, Derek M.; Traeger, Christian P. - National Bureau of Economic Research (NBER) - 2012
. Aversion to ambiguity in the threshold's distribution can amplify or dampen the effect of tipping points on optimal policy, but … in our numerical model, ambiguity aversion increases the optimal carbon tax. …
Persistent link: https://www.econbiz.de/10010969374
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Continuous-Time Methods for Integrated Assessment Models
Judd, Kenneth L.; Lontzek, Thomas S.; Cai, Yongyang - National Bureau of Economic Research (NBER) - 2012
Continuous time is a superior representation of both the economic and climate systems that Integrated Assessment Models (IAM) aim to study. Moreover, continuous-time representations are simple to express. Continuous-time models are usually solved by discretizing time, but the quality of a...
Persistent link: https://www.econbiz.de/10010950988
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Robust Optimal Policy in a Forward-Looking Model with Parameter and Shock Uncertainty
Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006
This paper characterizes a robust optimal policy rule in a simple forward-looking model, when the policymaker faces uncertainty about model parameters and shock processes. We show that the robust optimal policy rule is likely to involve a stronger response of the interest rate to fluctuations in...
Persistent link: https://www.econbiz.de/10005084782
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Thinking Ahead: The Decision Problem
Bolton, Patrick; Faure-Grimaud, Antoine - National Bureau of Economic Research (NBER) - 2005
We propose a model of bounded rationality based on time-costs of deliberating current and future decisions. We model an individual decision maker%u2019s thinking process as a thought-experiment that takes time and let the decision maker %u201Cthink ahead%u201D about future decision problems in...
Persistent link: https://www.econbiz.de/10005718599
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Satisficing Contracts
Bolton, Patrick; Faure-Grimaud, Antoine - National Bureau of Economic Research (NBER) - 2009
We propose a model of equilibrium contracting between two agents who are "boundedly rational" in the sense that they face time-costs of deliberating current and future transactions. We show that equilibrium contracts may be incomplete and assign control rights: they may leave some enforceable...
Persistent link: https://www.econbiz.de/10005830681
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Solving Dynamic Programming Problems on a Computational Grid
Judd, Kenneth L.; Cai, Yongyang; Thain, Greg; Wright, … - National Bureau of Economic Research (NBER) - 2013
We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is...
Persistent link: https://www.econbiz.de/10011272300
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Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
Judd, Kenneth L.; Cai, Yongyang; Xu, Rong - National Bureau of Economic Research (NBER) - 2013
We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems with one safe asset plus two to six risky stocks, and seven to 360 trading periods in a finite horizon problem. These examples show that it...
Persistent link: https://www.econbiz.de/10010603699
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Does Home Owning Smooth the Variability of Future Housing Consumption?
Sinai, Todd; Paciorek, Andrew - National Bureau of Economic Research (NBER) - 2010
We show that the hedging benefit of owning a home reduces the variability of housing consumption after a move. When a current home owner's house price covaries positively with housing costs in a future city, changes in the future cost of housing are offset by commensurate changes in wealth...
Persistent link: https://www.econbiz.de/10008727860
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Do Lottery Payments Induce Savings Behavior: Evidence from the Lab
Guryan, Jonathan; Filiz-Ozbay, Emel; Hyndman, Kyle; … - National Bureau of Economic Research (NBER) - 2013
This paper presents the results of a laboratory experiment designed to investigate whether the option of a Prize Linked Savings (PLS) product alters the likelihood that subjects choose to delay payment. By comparing PLS and standard savings products in a controlled way, we find strong evidence...
Persistent link: https://www.econbiz.de/10010796709
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Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence
Mitchell, Olivia; Dimmock, Stephen G.; Kouwenberg, Roy; … - National Bureau of Economic Research (NBER) - 2013
We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low ….S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …, ambiguity aversion is negatively associated with stock market participation, the fraction of financial assets in stocks, and …
Persistent link: https://www.econbiz.de/10010821732