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Risk Aversion and Power-Law Distribution of Macroeconomic Disasters
Brzezinski, Michal - 2014
The coefficient of relative risk aversion (CRRA) is notoriously difficult to estimate. Recently, Barro and Jin (On the size distribution of macroeconomic disasters, Econometrica 2011; 79(3): 434–455) have come up with a new estimation approach that fits a power-law model to the tail of...
Persistent link: https://www.econbiz.de/10013060115
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Sharing of climate risks across world regions
Emmerling, Johannes - 2014
Uncertainty is prevalent in the context of climate change impacts. Moreover, the distribution across the globe is not uniform. We analyze how climate risks could be reduced via an insurance scheme at the global scale across regions and quantify the potential welfare gains from such a scheme....
Persistent link: https://www.econbiz.de/10010404114
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Climatic Roots of Loss Aversion
Galor, Oded - 2018
establishes that consistent with the predictions of the theory, individuals and ethnic groups that are originated in regions …
Persistent link: https://www.econbiz.de/10012910744
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International Evidence on the Equity Premium Puzzle and Time Discounting
Rieger, Marc Oliver - 2017
We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey...
Persistent link: https://www.econbiz.de/10012971592
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International Evidence on the Equity Premium Puzzle and Time Discounting
Rieger, Marc Oliver - 2017
We elicit time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premium across 27 countries. It implies that in countries where participants tend to be more short-term oriented, higher historical...
Persistent link: https://www.econbiz.de/10012975089
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Climatic Roots of Loss Aversion
Galor, Oded - 2018
of the theory, individuals and ethnic groups that are originated in regions in which climatic conditions tended to be …
Persistent link: https://www.econbiz.de/10012920767
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Prominent numbers, indices and ratios in exchange rate determination and financial crashes : in Economists' models, in the field and in the laboratory
Pope, Robin; Selten, Reinhard; Kube, Sebastian; Hagen, … - 2009
laboratory. Third, nominalist heuristics are incompatible with expected utility theory which excludes the evaluation stage, and … are also incompatible with prospect theory which assumes that, while the evaluation stage can involve systematic mistakes … model and identify what is a mistake, and b) decision makers can maximise. However, contrary to prospect theory, in the …
Persistent link: https://www.econbiz.de/10003867227
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Does the nominal exchange rate regime matter for investment?
Böhm, Hjalmar; Funke, Michael - 2001
This paper analyses the impact of exchange rate uncertainty upon the pattern of investment in different exchange rate regimes (very hard pegs, intermediate regimes, and floats) by means of a unified approach. The comparison of different exchange rate regimes indicates that currency volatility...
Persistent link: https://www.econbiz.de/10011400788
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Optimal carbon abatement in a stochastic equilibrium model with climate change
Hambel, Christoph; Kraft, Holger; Schwartz, Eduardo S. - 2015
This paper studies a dynamic stochastic general equilibrium model involving climate change. Our model allows for damages on economic growth resulting from global warming. In the calibration, we capture effects from climate change and feedback effects on the temperature dynamics. We solve for the...
Persistent link: https://www.econbiz.de/10010495010
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On Welfare Frameworks and Catastrophic Climate Risks
Millner, Antony - 2011
Recent theoretical work in the economics of climate change has suggested that climate policy is highly sensitive to 'fat-tailed' risks of catastrophic outcomes (Weitzman, 2009). Such risks are suggested to be an inevitable consequence of scientific uncertainty about the effects of increased...
Persistent link: https://www.econbiz.de/10013127841