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Stark, Oded; Byra, Lukasz - 2012

In this paper we study the impact of the international migration of unskilled workers on skill formation and the average skill level in the home country. We analyze what appears to be the least threatening scenario from the point of view of its effect on the supply of skills at home: namely,...

Persistent link: https://www.econbiz.de/10010308475

Default risk in an interconnected banking system with endogeneous asset markets

Bluhm, Marcel; Krahnen, Jan Pieter - 2011

This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price...

Persistent link: https://www.econbiz.de/10010308549

Is BEST really better? Internalization of orders in an open limit order book

Grammig, Joachim G.; Theissen, Erik - 2011

This paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG). The internalization sys-tem (Xetra BEST) guarantees a price improvement over the inside spread in the Xetra order book. We...

Persistent link: https://www.econbiz.de/10010308563

The unintended consequences of the debt: Will increased government expenditure hurt the economy?

Werner, Richard A. - 2011

In 2008, governments in many countries embarked on large fiscal expenditure programmes, with the intention to support the economy and prevent a more serious recession. In this study, the overall impact of a substantial increase in fiscal expenditure is considered by providing a novel analysis of...

Persistent link: https://www.econbiz.de/10010308564

Theoretical foundations of buffer stock saving

Carroll, Christopher D. - 2011

Buffer-stock models of saving are now standard in the consumption literature. This paper builds theoretical foundations for rigorous understanding of the main features of such models, including the existence of a target wealth ratio and the proposition that aggregate consumption growth equals...

Persistent link: https://www.econbiz.de/10010308572

Insuring non-verifiable losses

Doherty, Neil A.; Laux, Christian; Muermann, Alexander - 2011

Insurance contracts are often complex and difficult to verify outside the insurance relation. We show that standard one-period insurance policies with an upper limit and a deductible are the optimal incentive-compatible contracts in a competitive market with repeated interaction. Optimal group...

Persistent link: https://www.econbiz.de/10010308573

The merit of high-frequency data in portfolio allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...

Persistent link: https://www.econbiz.de/10010308574

Lifecycle impacts of the financial and economic crisis on household optimal consumption, portfolio choice, and labor supply

Chai, Jingjing; Maurer, Raimond H.; Mitchell, Olivia S.; … - 2011

The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many … economic shocks, and it also explores how people may react by changing their consumption, saving and investment, work and …-varying investment opportunities and countercyclical risky labor income dynamics. We show that households near retirement will reduce …

Persistent link: https://www.econbiz.de/10010308576

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Persistent link: https://www.econbiz.de/10010308578

Saving rates and portfolio choice with subsistence consumption

Achury, Carolina; Hubar, Sylwia; Koulovatianos, Christos - 2011

We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively and quantitatively explaining: (i) the higher saving rates of the rich, (ii) the...

Persistent link: https://www.econbiz.de/10010308579