Showing 61 - 70 of 540
How malleable are preferences? This paper provides experimental evidence on the extent to which insurance sellers can influence buyers and whether mandatory information disclosure offsets these effects. The experiment involves 214 subjects seeking or recently obtaining unsecured loans and 25...
Persistent link: https://www.econbiz.de/10009439930
The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is...
Persistent link: https://www.econbiz.de/10009439932
The paper considers alternative exchange rate regimes for the East European accession candidates, both prior to EU accession and following EU accession but prior to EMU membership. We conclude that, from an economic point of view, EMU membership should be as early as possible. There is, however,...
Persistent link: https://www.econbiz.de/10009439933
This paper draws on a natural experiment to examine the effects of policy arrangements on international trade. We study data on trade and currency bloc formation in Europe after the Great Depression. Far removed from being customs or currency unions, these blocs could not create much trade and...
Persistent link: https://www.econbiz.de/10009439941
Corporate finance theories suggest that problems of asymmetric information and moral hazard in credit markets can be addressed by choosing short-term maturities. Theories of debt renegotiation suggest that the credibility of the implicit commitment to not make concessions to insolvent borrowers,...
Persistent link: https://www.econbiz.de/10009439944
A prevalent feature in rating markets is the possibility for the client to hide the outcome of the rating process, after learning that outcome. This paper identifies the optimal contracting arrangement and the circumstances under which simple ownership contracts over ratings implement this...
Persistent link: https://www.econbiz.de/10009439945
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for...
Persistent link: https://www.econbiz.de/10009439948
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...
Persistent link: https://www.econbiz.de/10009439949
This paper proposes an approach to estimating the relation between risk (conditional variance) and expected returns in the aggregate stock market that allows us to escape some of the limitations of existing empirical analyses. First, we focus on a nonparametric volatility measure that is void of...
Persistent link: https://www.econbiz.de/10009439950
The estimation of the profit and loss distribution of a loan portfolio requires the modelling of the portfolio’s multivariate distribution. This describes the joint likelihood of changes in the credit-risk quality of the loans that make up the portfolio. A significant problem for portfolio...
Persistent link: https://www.econbiz.de/10009439952