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A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets
Düring, Bertram; Jüngel, Ansgar - 2004
We consider a quasilinear parabolic equation with quadratic gradient terms. It arises in the modelling of an optimal portfolio which maximizes the expected utility from terminal wealth in incomplete markets consisting of risky assets and non-tradable state variables. The existence of solutions...
Persistent link: https://www.econbiz.de/10010263419
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility …
Persistent link: https://www.econbiz.de/10010285421
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Incomplete financial markets: Volatility and transaction costs
Markeprand, Tobias - 2009
Persistent link: https://www.econbiz.de/10012503129
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The Integration of Imperfect Financial Markets: Implications for Business Cycle Volatility
Buch, Claudia M.; Pierdzioch, Christian - 2003
frictions for business cycle volatility. In our empirical analysis, we demonstrate that stylised facts suggest that countries … with more developed financial systems have lower business cycle volatility. Financial openness has no strong impact on … business cycle volatility, in contrast. In our theoretical analysis, we use a dynamic general equilibrium model to study the …
Persistent link: https://www.econbiz.de/10010260621
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Modeling the Effects of Financial Constraints on Firm's Investment
Tomat, Gian Maria - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-9, pp. 1-26
The paper develops a model of firm´s investment under uncertainty with financial market imperfections and analyzes the effects of financial constraints on firm´s investment. Firm´s investment is an increasing function of the firm´s marginal q, however the investment function is characterized...
Persistent link: https://www.econbiz.de/10010295307
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Pareto improving social security reform when financial markets are incomplete!?
Krueger, Dirk; Kubler, Felix - 2005
This paper studies an overlapping generations model with stochastic production and incomplete markets to assess whether the introduction of an unfunded social security system leads to a Pareto improvement. When returns to capital and wages are imperfectly correlated a system that endows retired...
Persistent link: https://www.econbiz.de/10010298302
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Optimal monetary policy in a small open economy with financial frictions
Merola, Rossana - 2010
I analyze how the introduction of financial frictions can affect the trade-off between output stabilization and inflation stability and whether, in the presence of financial frictions, the optimal outcome can be realized or approached more closely if monetary policy is allowed to react to...
Persistent link: https://www.econbiz.de/10010299951
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Capital market imperfections, greater volatilities, and rising unemployment: does venture capital help?
Fehn, Rainer - 1998
Persistent link: https://www.econbiz.de/10010300303
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Institutions and structural unemployment: do capital-market imperfections matter?
Belke, Ansgar; Fehn, Rainer - 2000
This paper analyzes whether differences in institutional structures on capital markets contribute to explaining why some OECD-countries, in particular the Anglo-Saxon countries, have been much more successful over the last two decades in producing employment growth and in reducing unemployment...
Persistent link: https://www.econbiz.de/10010300320