We observe many episodes in which a large number of people attempt to withdraw their deposits from a bank, forcing it to suspend withdrawals or even to fail. In contrast with the view that those episodes are driven by consumers panic or sunspots, we propose to explain them as a consequence of...

We simulate the performances of a standard derivatives portfolio to evaluate the relevance of benchmarking in terms of downside risk reduction. The simulation shows that benchmarking always leads to significantly more severe losses in average than those generated by letting the portfolio reach...

The aim of this paper is to study the oil price adjustment dynamics and to implicitly test the efficiency hypothesis for the oil market. Thus, we propose to study the oil price evolution in a nonlinear framework while testing the interdependence hypothesis between oil and stock markets. Four...

Abstract We argue that reluctance to invest in drug treatments to fight the AIDS epidemics in developing countries is largely motivated by severe losses occurring from the future albeit uncertain appearance of a curative vaccine. We design a set of securities generating full insurance coverage...

We argue that an increase in investments in R&D for innovative treatments to eradicate neglected diseases in developing countries leads to a rational decrease in investments in available treatment technologies. In a formal model where the government of a developing country seeks to optimally...

We analyze how a benevolent, privately informed government agency would optimally release information about the economy's growth rate when the agents hold heterogeneous beliefs. We model two types of agent: "conforming" and "dissenting." The former has a prior that is identical to that of the...