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Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk
Harenberg, Daniel - 2018
This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in … idiosyncratic risk increases the equity premium by 70 percent, which means that the mechanism described in Constantinides, Donaldson … the zero-borrowing constraint is a lot weaker. More surprisingly, when I introduce idiosyncratic labor income risk in an …
Persistent link: https://www.econbiz.de/10011900994
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Optimal VIX-linked structure for the target benefit pension plan
Lv, Chen; Li, Danping; Wang, Yumin; Zhu, Xiaobai - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10014485596
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The Impact of Uncertainty Shocks on the Cross-Section of Returns
Koh, Woo Hwa - 2017
hedge against uncertainty risk and earn lower risk premiums than value stocks. An investment-based asset pricing model …
Persistent link: https://www.econbiz.de/10012965668
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Structural Uncertainty, Learning, and Asset Pricing
Gvozdeva, Evgenia - 2010
a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty … on consumption growth induces a "flight to safety" that results in lower risk-free rates, higher equity premium, and …
Persistent link: https://www.econbiz.de/10013150931
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Cyclical consumption
Berger, Tino; Pozzi, Lorenzo - 2023
Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...
Persistent link: https://www.econbiz.de/10014380708
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Model Uncertainty and Monetary Policy
Dennis, Richard - 2008
Model uncertainty has the potential to change importantly how monetary policy should be conducted, making it an issue that central banks cannot ignore. In this paper, I use a standard new Keynesian business cycle model to analyze the behavior of a central bank that conducts policy with...
Persistent link: https://www.econbiz.de/10012726361
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Social security and redistribution within generations in an overlapping generations model
Lorz, Jens Oliver - 1999
An overlapping generations model is set up in this paper to analyze social security policy in a representative democracy with asymmetric information. The model considers not only redistribution between generations but also redistribution within generations according to individual labor incomes....
Persistent link: https://www.econbiz.de/10010275705
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How small shocks and heterogeneous expectations can create swings in the exchange rate
Sløk, Torsten; Sørensen, Jens Peter - 1997
Persistent link: https://www.econbiz.de/10000956407
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Price volatility and investor behavior in an overlapping generations model with information asymmetry
Watanabe, Masahiro - In: The journal of finance : the journal of the American … 63 (2008) 1, pp. 229-272
Persistent link: https://www.econbiz.de/10003821591
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Intergenerational complementarities in education and the relationship between growth and volatility
Palybos, Theodōros (contributor);  … - 2009
We construct an overlapping generations model in which parents vote on the tax rate that determines publicly provided education and offspring choose their effort in learning activities. The technology governing the accumulation of human capital allows these decisions to be strategic complements....
Persistent link: https://www.econbiz.de/10003885849