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Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ...
Does Austerity Pay Off?
We ask whether cuts of government consumption lower or raise the sovereign default premium. To address this question, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series ...
The Effects of Contingent Convertible (CoCo) Bonds on Insurers’ Capital Requirements under Solvency II
The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they ...
Measuring Sovereign Contagion in Europe
This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ...