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Implied Equity Duration : A Measure of Pandemic Shutdown Risk

Dechow, Patricia; Erhard, Ryan; Sloan, Richard G.; … - 2021

Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short‐term...

Persistent link: https://www.econbiz.de/10013234191

Implied Equity Duration : A Measure of Pandemic Shutdown Risk

Dechow, Patricia - 2020

Persistent link: https://www.econbiz.de/10012831673

Epidemic Financing Facilities : Pandemic Bonds and Endemic Swaps

Huang, Shimeng; Ken Seng Tan; Zhang, Jinggong; Zhu, Wenjun - 2021

sufferings, it has also heightened the need for more effective solutions for managing epidemic-related risks. In this paper, we … pro- pose two capital market-based epidemic financing facilities to address two extremes of epidemic risks. The proposed … endemic. Using coronavirus as an example of a pandemic and dengue fever as an example of an endemic, we discuss the modeling …

Persistent link: https://www.econbiz.de/10013222889

The COVID-19 Impact on Corporate Leverage and Financial Fragility

Haque, Sharjil Muktafi; Varghese, Richard - 2021

We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...

Persistent link: https://www.econbiz.de/10013222440

The COVID-19 Impact on Corporate Leverage and Financial Fragility

Haque, Sharjil Muktafi; Varghese, Richard - 2022

Persistent link: https://www.econbiz.de/10013299034

Optimal unemployment benefits in the pandemic

Mitman, Kurt; Rabinovich, Stanislav - 2020

How should unemployment benefits vary in response to the economic crisis induced by the COVID-19 pandemic? We answer this question by computing the optimal unemployment insurance response to the COVID-induced recession.We compare the optimal policy to the provisions under the CARES Act-which...

Persistent link: https://www.econbiz.de/10012239488

Optimally controlling an epidemic

Gonzalez-Eiras, Martín; Niepelt, Dirk - 2020

We propose a flexible model of infectious dynamics with a single endogenous state variable and economic choices. We characterize equilibrium, optimal outcomes, static and dynamic externalities, and prove the following: (i) A lockdown generically is followed by policies to stimulate activity....

Persistent link: https://www.econbiz.de/10012388160

On the optimal "lockdown" during an epidemic

Gonzalez-Eiras, Martín; Niepelt, Dirk - 2020

We embed a lockdown choice in a simplified epidemiological model and derive formulas for the optimal lockdown intensity and duration. The optimal policy reflects the rate of time preference, epidemiological factors, the hazard rate of vaccine discovery, learning effects in the health care...

Persistent link: https://www.econbiz.de/10012206448

The social cost of contacts : theory and evidence for the COVID-19

Quaas, Martin F.; Meya, Jasper; Schenk, Hanna; Bos, Björn - 2020

contacts drastically in the beginning, to almost eradicate the epidemic, and keeps them at around a third of pre … epidemic in the laissez faire, though at a prevalence of infections much higher than optimal. Impure altruistic behaviour …

Persistent link: https://www.econbiz.de/10012226761

Interaction in Prevention : A General Theory and an Application to COVID-19 Pandemic

Battiston, Pietro; Menegatti, Mario - 2022

Prevention efforts often involve spillovers, positive or negative, on other individuals, but this is neglected by standard models of risk prevention.We analyze strategic interaction between decision makers whose effort affects each other's risk.We characterize response functions and Nash...

Persistent link: https://www.econbiz.de/10014083105