Chapter 1 is joint work with Günter Franke, University of Konstanz, and Markus Herrmann, HSBC London, and addresses the question how collateralized debt obligation (CDO-) transactions are designed. An important issue is the information asymmetry about the quality of securitized debt between...

This paper investigates the strategic behavior between countries that have purchasing power on the world market for a certain good. Tariffs and quotas are not equivalent protection instruments in this oligopsonistic market. Policy active importers would be better off by colluding and setting...

This dissertation consists of two essays in international macroeconomics. Thefirst essay shows that optimal fiscal and monetary policy is time consistent in astandard small open economy. Further, there exist many maturity structuresof public debt capable of rendering the optimal policy time...

Longer horizon returns are modeled by two approaches, which have different impact on skewness and excess kurtosis. The Levy approach, which considers the random variable at longer horizon as the cumulants of i.i.d random variables from shorter horizons, tends to decrease skewness and excess...

We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents...

In this paper we give an alternative characterization for time-consistent sets of measures in a discrete setting. For each measure \mathbb{P} in a time-consistent set \mathcal{P} we get a distinct set of predictable processes which in return decribe the \mathbb{P} uniquely. This implies we get a...

Economics

Este documento analiza la información contenida en medidas alternativas de expectativas de inflación —incluidas las obtenidas a partir de consumidores, empresas, expertos y mercados financieros—, en el contexto de curvas de Phillips de economía abierta. Adoptando una aproximación...