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Consumer default with complete markets : default-based pricing and finite punishment

Mateos-Planas, Xavier; Seccia, Giulio - 2013

extended model with an infinite horizon, idiosyncratic risk and more realistic assumptions is used to demonstrate the general …

Persistent link: https://www.econbiz.de/10010210815

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

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

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

Risk aversion heterogeneity, risky jobs and wealth inequality

Cozzi, Marco - 2011

in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion … heterogeneity to quantify their effects on wealth inequality. The results show that with the available estimates of the risk …, the share of wealth held by the top 1% is still substantially underestimated. It is also shown that models without risk …

Persistent link: https://www.econbiz.de/10009683671

Estimating labor-supply elasticities with joint borrowing constraints of couples

Bredemeier, Christian; Gravert, Jan; Jüßen, Falko - 2016

Estimates of Frisch labor-supply elasticities are biased in the presence of borrowing constraints. We show that this estimation bias is less pronounced for secondary than for primary earners. The reason is that, in households with two earners and joint borrowing constraints, wage-rate...

Persistent link: https://www.econbiz.de/10011543948

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

Persistent link: https://www.econbiz.de/10010359861

Risky arbitrage and collateral policies

Zhang, Ally Quan - 2017 - Last Update: October 6, 2017

We construct a dynamic model economy in which investors from segmented markets have varying financial asset demands. Intermediaries make arbitrage profits by exploiting the price spreads across markets. Meanwhile, they are required to separately post collateral to support arbitrage trades. We...

Persistent link: https://www.econbiz.de/10011874838

Buffer-stock saving and households' response to income shocks

Fella, Giulio; Frache, Serafin; Koeniger, Winfried - 2016

We use the Italian Survey of Household Income and Wealth, a rather unique dataset with a long time dimension of panel … contained in the joint dynamics of income, consumption and wealth to quantify the degree of insurance against income risk. The …

Persistent link: https://www.econbiz.de/10011551036

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