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Incomplete Markets and Households' Exposure to Interest Rate and Inflation Risk : Implications for the Monetary Policy Maker

Pescatori, Andrea - 2007

The present paper studies optimal monetary policy when the representative agent assumption is abandoned and financial wealth heterogeneity across households is introduced. Incomplete markets make households incapable of perfectly insuring against interest rate and inflation risk, creating a...

Persistent link: https://www.econbiz.de/10012728849

Quanto Implied Correlation in a Multi-Lévy Framework

Ballotta, Laura - 2015

In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with...

Persistent link: https://www.econbiz.de/10013027591

Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models

Wong, T. C. - 2010

This paper studies the discriminatory power and calibration quality of the structural credit risk models under the 'exogenous default boundary' approach including those proposed by Longstaff and Schwartz (1995) and Collin-Dufresne and Goldstein (2001), and 'endogenous default boundary' approach...

Persistent link: https://www.econbiz.de/10013150869

Consumption choices and earnings expectations : empirical evidence and structural estimation

Stoltenberg, Christian; Uhlendorff, Arne - 2022

In this paper, we document that households’ consumption expenditures depend on their expected earnings - even after controlling for realized earnings and wealth. To explain this evidence, we develop and structurally estimate a standard-incomplete markets model in which rational households...

Persistent link: https://www.econbiz.de/10013329447

Consumption choices and earnings expectations : empirical evidence and structural estimation

Stoltenberg, Christian; Uhlendorff, Arne - 2022

In this paper, we document that households' consumption expenditures depend on their expected earnings - even after controlling for realized earnings and wealth. To explain this evidence, we develop and structurally estimate a standard-incomplete markets model in which rational households...

Persistent link: https://www.econbiz.de/10013332707

Consumption choices and earnings expectations : empirical evidence and structural estimation

Stoltenberg, Christian; Uhlendorff, Arne - 2023

In this paper, we document that households' consumption expenditures crucially depend on their expected earnings - even after controlling for realized earnings, wealth and time-invariant unobserved characteristics such as permanent income and over-confidence. To explain this evidence, we develop...

Persistent link: https://www.econbiz.de/10014249642

Advance information and consumption insurance : evidence from panel data

Pedroni, Marcelo; Singh, Swapnil; Stoltenberg, Christian - 2022 - Preliminary, April 15, 2022

We investigate whether US households possess advance information about their future income and what this means for consumption insurance. Based on insights from a theoretical model, we propose a new test to detect advance information, which requires only panel data on consumption and income....

Persistent link: https://www.econbiz.de/10013186823

Business Cycles in the Equilibrium Model of Labor Market Search and Self-Insurance

Nakajima, Makoto - 2010

The author introduces risk-averse preferences, labor-leisure choice, capital, individual productivity shocks, and market incompleteness to the standard Mortensen-Pissarides model of search and matching and explore the model's cyclical properties. There are four main findings. First and foremost,...

Persistent link: https://www.econbiz.de/10013139259

Business Cycles in the Equilibrium Model of Labor Market Search and Self-Insurance

Nakajima, Makoto - 2019

I introduce risk-averse preferences, labor-leisure choice, capital, individual productivity shocks, and market incompleteness to the standard Mortensen-Pissarides model of search and matching and explore the model's cyclical properties. There are four main findings. First and foremost, the...

Persistent link: https://www.econbiz.de/10012706178

Non-Parametric Analysis of Equity Arbitrage

Vortelinos, Dimitrios I. - 2015

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the … properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of … (log base) significantly quantifies arbitrage in the US equity markets. The properties of the log base arbitrage are …

Persistent link: https://www.econbiz.de/10013029266