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Multiplicative Risk Prudence
Wong, George; Chang, Xin - 2005
We examine the optimal saving decision of individuals who face a multiplicative risk. An individual is defined to be multiplicative risk prudent if multiplying a pure risk to her future wealth raises her optimal savings. We show that an individual is multiplicative risk prudent if and only if...
Persistent link: https://www.econbiz.de/10014062260
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Bank credit risk management and rating migration analysis on the business cycle
Gavalas, Dimitris; Syriopoulos, Theodore - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 122-143
Credit risk measurement remains a critical field of top priority in banking finance, directly implicated in the recent global financial crisis. This paper examines the dynamic linkages between credit risk migration due to rating shifts and prevailing macroeconomic conditions, reflected in...
Persistent link: https://www.econbiz.de/10010373357
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Heterogeneity and risk sharing in village economies
Chiappori, Pierre-André; Krislert Samphantharak; … - In: Quantitative economics : QE ; journal of the … 5 (2014) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10010359461
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Heterogeneity and risk sharing in village economies
Chiappori, Pierre-André; Krislert Samphantharak; … - In: Quantitative economics : QE ; journal of the … 5 (2014) 1, pp. 1-27
, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we … then test allowing for this heterogeneity. There is substantial, statistically significant heterogeneity in estimated risk … preferences are unrelated to wealth or other characteristics. The heterogeneity matters for policy: Although the average household …
Persistent link: https://www.econbiz.de/10011757115
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How does the sensitivity of consumption to income vary over time? : international evidence
Islamaj, Ergys; Kose, M. Ayhan - 2016
This paper studies how the sensitivity of consumption to income has changed over time as the degree of financial integration has risen. In standard theory, greater financial integration facilitates international borrowing and lending, helping to reduce the sensitivity of consumption growth to...
Persistent link: https://www.econbiz.de/10011457468
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Trust in risk sharing : a double-edged sword
Cole, Harold L.; Krueger, Dirk; Mailath, George J.; … - 2022
We analyze efficient risk-sharing arrangements when the value from deviating is determined endogenously by another risk sharing arrangement. Coalitions form to insure against idiosyncratic income risk. Self-enforcing contracts for both the original coalition and any coalition formed (joined)...
Persistent link: https://www.econbiz.de/10013555532
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On positive value of information in risk sharing
Denderski, Piotr; Stoltenberg, Christian - 2015 - This Version: May 2015
We develop a novel argument why better public information can help countries to insure against idiosyncratic risk. Representative agents of developing and industrial countries receive public and private signals on their future income realization and engage in risk-sharing contracts with limited...
Persistent link: https://www.econbiz.de/10011279741
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The store-of-value-function of money as a component of household risk management
Größl, Ingrid; Fritsche, Ulrich - 2006
We analyse how money as a store of value affects the decisions of a representative household under diversifiable and non-diversifiable risks. given that the central bank successfully stabilizes the rate of inflation at a low level. Assuming exponential utility allows us to derive an explicit...
Persistent link: https://www.econbiz.de/10010426370
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Political risk on the financial market : the problem of adequate scientific assessment of business operations ; the naivety of economics
Dziawgo, Leszek - In: E-Finanse : finansowy kwartalnik internetowy 9 (2013) 4, pp. 39-47
One of the significant problems of a modern economy and economics is political risk. A destructive influence of politics on the financial market cannot be ignored. It is necessary to indicate some selected specific problems of the financial market connected with politics in the area of: public...
Persistent link: https://www.econbiz.de/10010390524
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Competitive risk sharing contracts with one-sided commitment
Uhlig, Harald (contributor); Krueger, Dirk (contributor) - 2005
This paper analyzes dynamic equilibrium risk sharing contracts between profit-maximizing intermediaries and a large pool of ex-ante identical agents that face idiosyncratic income uncertainty that makes them heterogeneous ex-post. In any given period, after having observed her income, the agent...
Persistent link: https://www.econbiz.de/10003035794