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Interest on cash, fundamental value process and bubble formation on experimental asset markets
Giusti, Giovanni; Jiang, Janet Hua; Xu, Yiping - 2014
We study the formation of price bubbles on experimental asset markets where cash earns interest. There are two main … conclusions. The first is that paying positive interest on cash is ineffective in diminishing bubbles through the reducing …-active-participation channel. The second is that the fundamental value generating process plays a critical role in the formation of asset bubbles …
Persistent link: https://www.econbiz.de/10010350019
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Fooled by search : housing prices, turnover and bubbles
Peterson, Brian M. - 2012
This paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing...
Persistent link: https://www.econbiz.de/10009487808
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Booms and busts in house prices explained by constraints in housing supply
Bulusu, Narayan; Duarte, Jefferson; Vergara-Alert, Carles - 2013
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States. Comparing the equilibrium house price generated with and without supply constraints in a representative-agent model under irreversibility of housing...
Persistent link: https://www.econbiz.de/10009751696
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Should monetary policy lean against housing market booms?
Alpanda, Sami; Ueberfeldt, Alexander - 2016
Should monetary policy lean against housing market booms? We approach this question using a small-scale, regime-switching New Keynesian model, where housing market crashes arrive with a logit probability that depends on the level of household debt. This crisis regime is characterized by an...
Persistent link: https://www.econbiz.de/10011454083
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Risk sharing in the presence of a public good
Schroth, Josef - 2015
This paper studies an economy where agents can spend resources on consuming a private good and on funding a public good. There is asymmetric information regarding agents' relative preference for private versus public good consumption. I show how private good consumption should be coordinated...
Persistent link: https://www.econbiz.de/10011302006
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Privacy as a public good : a case for electronic cash
Garratt, Rod; Oordt, Maarten R. C. van - 2019
Privacy is a feature inherent to the use of cash for payments. With steadily increasing market shares of commercial digital payments platforms, privacy in payments may no longer be attainable in the future. In this paper, we explore the potential welfare impact of reductions in privacy in...
Persistent link: https://www.econbiz.de/10012033853
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Immigration and provision of public goods : evidence at the local level in the U.S.
Mayda, Anna Maria; Senses, Mine Zeynep; Steingress, Walter - 2023 - Last updated: December 19, 2023
Using U.S. county-level data from 1990 to 2010, we study the causal impact of immigration on the provision of local public goods. We uncover substantial heterogeneity across immigrants with different skills, mainly due to the asymmetric impact immigrants have on the per capita tax base and local...
Persistent link: https://www.econbiz.de/10014456722
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Default dependence : the equity default relationship
Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...
Persistent link: https://www.econbiz.de/10003641322
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Macroeconomic determinants of the term structure of corporate spreads
Yang, Jun (contributor) - 2008
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...
Persistent link: https://www.econbiz.de/10003772980
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Non-linearities, model uncertainty, and macro stress testing
Misina, Miroslav (contributor); Tessier, David (contributor) - 2008
A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on rare but plausibleʺ events that have either resulted in vulnerabilities in the past or could do so in the...
Persistent link: https://www.econbiz.de/10003772984