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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113
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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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Does risk aversion drive financial crises? : Testing the predictive power of empirical indicators
Coudert, Virginie (contributor); Gex, Mathieu (contributor) - 2007
Persistent link: https://www.econbiz.de/10003407716
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The role of risk aversion and lay risk in the probabilistic externality assessment for oil tanker routes to Europe
Bigano, Andrea; Cassinelli, Mariaester; Markandya, Anil; … - 2006
Persistent link: https://www.econbiz.de/10003605601
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Cash-flow business taxation revisited : bankruptcy, risk aversion and asymmetric information
Boadway, Robin W.; Sato, Motohiro; Tremblay, Jean-François - 2015
Persistent link: https://www.econbiz.de/10011388005
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Uncertainty and risk-aversion in a dynamic oligopoly with sticky prices
Valentini, Edilio; Vitale, Paolo - 2019
In this paper we present a dynamic discrete-time model that allows to investigate the impact of risk-aversion in an …-time limit of our model with no uncertainty and no risk-aversion. Focusing on the continuous-time limit of the infinite horizon … inversely related to the degrees of uncertainty and risk-aversion. However, the effect of uncertainty and risk …
Persistent link: https://www.econbiz.de/10011980689
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Market allocations under ambiguity : a survey
Billot, Antoine; Mukerji, Sujoy; Tallon, Jean-Marc - 2019
We review some of the (theoretical) economic implications of David Schmeidler's models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang (1992), show how it does or...
Persistent link: https://www.econbiz.de/10012121980
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Market allocations under ambiguity : a survey
Billot, Antoine; Tallon, Jean-Marc; Mukerji, Sujoy - 2019
Persistent link: https://www.econbiz.de/10012233248
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Sharing model uncertainty
Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024
Persistent link: https://www.econbiz.de/10014537225
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Growth and risk : a view from international trade
Krishna, Pravin; Levchenko, Andrei A.; Ma, Lin; … - 2023
Persistent link: https://www.econbiz.de/10014320441