This paper explores the interaction between retirement flexibility and portfolio choice in an overlapping-generations model of a closed economy. Retirement flexibility is often seen as a hedge against capital market risks which justifies more risky asset portfolios. We show, however, that this...

This discussion paper resulted in a publication in the <A href="http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0351.2011.00425.x/abstract;jsessionid=F64011DF99B22B6E2BF33FDA1C47DE9C.f04t03">'Economics of Transition'</A>, 2011, 19(4), 639-666.<P> Whether fiscal policy is sustainable depends on a government's future revenue and expenditure streams, both of which are highly uncertain. In commodity-rich countries, this problem is...</p></a>

This discussion paper led to a publication in the <A HREF="http://www.sciencedirect.com/science/article/pii/S0167268109000109">'Journal of Economic Behavior & Organization'</A>, 2009, 70(1-2), 374-388.<P> In this paper we analyze a large sample of individual responses to six lottery questions. Wederive a simultaneous estimate of risk aversion γ and the time preference discount...</p></a>

This paper assesses the transmission of fiscal policy shocks in a New Keynesian framework where government expenditures contribute to aggregate production. It is shown that even if the impact of government expenditures on production is small, this assumption helps to reconcile the models'...

Micro data are used for the US over the period 1968 - 1992 to estimate time-varying specifications for the conditional variance of earnings of individual households. Specifications estimated are standard and quadratic ARCH and GARCH processes. The cross-sectional mean of the estimated...

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...

Since the beginnings of the eighties house prices in the Netherlands have increased steadily and considerably. In this paper we study the effect of this development on the demand for second mortgages and on the savings of Dutch households. We use the data of the Dutch socio-economic panel for...

This paper examines the sources of stickiness in aggregate consumption growth. We first derive a dynamic consumption equation which encompasses many recent developments in consumption theory: habit formation, intertemporal substitution effects, consumption based on current income, and...

The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We gauge the uncertainty pertaining to the country risk...

The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...