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Bäurle, Gregor; Burren, Daniel - 2007

Chari, Kehoe, and McGrattan (2007) (CKM) show that a large class of dynamic stochastic general equilibrium (DSGE) models with various frictions and shocks is observationally equivalent to a benchmark real business cycle (RBC) model with correlated 'wedges' in the RBC model's first-order...

Persistent link: https://www.econbiz.de/10010316077

Priors from DSGE models for dynamic factor analysis

Bäurle, Gregor - 2008

We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...

Persistent link: https://www.econbiz.de/10010316078

The firm as a pool of factor complementarities

Lindbeck, Assar; Snower, Dennis J. - 2003

This paper presents a new approach to the theory of the firm by identifying factor complementarities as central to the …

Persistent link: https://www.econbiz.de/10010316079

The positive economics of labor market rigidities and investor protection

Fehn, Rainer; Meier, Carsten-Patrick - 2001

This paper presents a positive model which shows that institutional setups on capital and labor markets might be intertwined by politicoeconomic forces. Some countries especially in continental Europe exhibit a corporatist politicoeconomic equilibrium with a sustantial protection of insiders on...

Persistent link: https://www.econbiz.de/10010316080

The division of labor and the market for organizations

Lindbeck, Assar; Snower, Dennis J. - 2000

The paper examines of the division of labor within firms. It provides an explanation of the pervasive observed changes in work organisation away from the traditional functional departments and towards multi-tasking and job rotation. Whereas the exsisting literature on the division of labour...

Persistent link: https://www.econbiz.de/10010316081

Tractable Hedging: An Implementation of Robust Hedging Strategies

Branger, Nicole; Mahayni, Antje - 2004

This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of...

Persistent link: https://www.econbiz.de/10010316082

Is Jump Risk Priced? What We Can (and Cannot) Learn From Option Hedging Errors

Branger, Nicole; Schlag, Christian - 2004

When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and … their risk premia. We analyze tests for the existence and the sign of the market prices of jump risk that are based on … jump model under continuous trading and correct model specification. Jump risk is structurally different from, e …

Persistent link: https://www.econbiz.de/10010316083

Multiple but Asymmetric Bank Financing: The Case of Relationship Lending

Elsas, Ralf; Heinemann, Frank; Tyrell, Marcel - 2004

. However, theory does not tell us a lot about the economic rationale for relationship lending in the context of multiple bank … financing. The optimal debt structure balances the risk of lender coordination failure from multiple lending and the bargaining …

Persistent link: https://www.econbiz.de/10010316084

The ignored performance measure

Laux, Volker - 2003

This paper studies a setting in which a risk averse agent must be motivated to work on two tasks: he (1) evaluates a … typically valuable because it can be used to improve the risk sharing of the contract, this is not necessarily the case in this … task is worthless for contracting despite the agent being risk averse. This shows that information content is a necessary …

Persistent link: https://www.econbiz.de/10010316230

The long term impact of microfinance on income, wages and the sectoral distribution of economic activity

Tschach, Ingo E. - 2003

This paper analyses the long-term effects of improved small-scale lending, often provided by microfinance institutions set up with the support of development aid. The analysis shows that some common assumptions about microfinance are not true at all: First, it shows that the impact on income...

Persistent link: https://www.econbiz.de/10010316233