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Financial conditions and density forecasts for US output and inflation
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...
Persistent link: https://www.econbiz.de/10010339756
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on the state financial markets are in when they occur....
Persistent link: https://www.econbiz.de/10010472852
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Will macroprudential policy counteract monetary policy's effects on financial stability?
Agur, Itai; Demertzis, Maria - 2018
How does monetary policy impact upon macroprudential regulation? This paper models monetary policy's transmission to bank risk taking, and its interaction with a regulator's optimization problem. The regulator uses its macroprudential tool, a leverage ratio, to maintain financial stability,...
Persistent link: https://www.econbiz.de/10011797689
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Efficient bailouts?
Bianchi, Javier - 2016
Persistent link: https://www.econbiz.de/10011477274
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Termination fees and contract design in public-private partnerships
Buso, Marco; Dosi, Cesare; Moretto, Michele - 2018
We study the effects of granting an exit option that enables the private party to early terminate a PPP project if it turns out to be loss-making. In a continuous time setting with hidden information about stochastic operating profits, we show that a revenue-maximizing government can optimally...
Persistent link: https://www.econbiz.de/10011925624
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Do exit options increase the value-for-money of public-private partnership?
Buso, Marco; Dosi, Cesare; Moretto, Michele - 2020
We study the effects of granting an exit option that enables the private party to early terminate a PPP project if it turns out to be financially loss-making. In a continuous-time setting with hidden information about operating profits, we show that an exit option, acting as a risk-sharing...
Persistent link: https://www.econbiz.de/10012195007
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Flight to what? : dissecting liquidity shortages in the financial crisis
Dong, Feng; Wen, Yi - 2017 - This version: August, 2017
We endogenize the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous … "safety premium" (flight to quality) over the business cycle. When calibrated to match the U.S. aggregate output fluctuations … and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private assets …
Persistent link: https://www.econbiz.de/10011780935
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Monopolistic screening under learning by doing
Gärtner, Dennis - 2007
This paper investigates the design of incentives in a dynamic adverse selection framework when agents’ production technologies display learning effects and agents’ rate of learning is private knowledge. In a simple two-period model with full commitment available to the principal, we show...
Persistent link: https://www.econbiz.de/10003892452
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Competitive screening in insurance markets with endogenous wealth heterogeneity
Netzer, Nick; Scheuer, Florian - 2009 - Revised version
We examine equilibria in competitive insurance markets with adverse selection when wealth differences arise endogenously from unobservable savings or labor supply decisions. The endogeneity of wealth implies that high risk individuals may ceteris paribus exhibit the lower marginal willingness to...
Persistent link: https://www.econbiz.de/10003900923
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Endogenizing private information : incentive contracts under learning by doing
Gärtner, Dennis (contributor) - 2004 - [Elektronische Ressource]
This paper investigates the design of incentives in a dynamic adverse selection framework when agents’ production technologies display learning effects and agents’ rate of learning is private knowledge. In a simple two-period model with full commitment available to the principal, we show...
Persistent link: https://www.econbiz.de/10002521609