Browsing LIF-SAFE Working Papers by Title
Now showing items 188-207 of 334
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Obfuscation and Rational Inattention in Digitalized Markets
(2021-02-05)This paper studies the behavior of competing firms in a duopoly with rational inattentive consumers. Firms play a sequential game in which they decide to obfuscate their individual prices before competing on price. ... -
Older People’s Willingness to Delay Social Security Claiming
(2016-09-01)We designed and fielded an experimental module in the 2014 HRS which seeks to measure older persons’ willingness to voluntarily defer claiming of Social Security benefits. In addition we evaluate the stated willingness of ... -
On Deficits and Symmetries in a Fiscal Capacity
(2015-07-01)"There is a growing debate about complementing the European Monetary Union by a more comprehensive fiscal union. Against this background, this paper emphasizes that there is a trade-off in designing a system of fiscal ... -
On the (ir)relevance of monetary incentives in risk preference elicitation experiments
(2020-08-31)Incentivized experiments in which individuals receive monetary rewards according to the outcomes of their decisions are regarded as the gold standard for preference elicitation in experimental economics. These task-related ... -
On the Applicability of Maximum Likelihood Methods: From Experimental to Financial Data
(2013-12-24)This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research question, ... -
On the Distributive Effects of Inflation
(2015-06-01)This paper undertakes a quantitative investigation of the effects of anticipated inflation on the distribution of household wealth and welfare. Consumer Finance Data on household financial wealth suggests that about a third ... -
On the Impact of Leveraged Buyouts on Bank Systemic Risk
(2015-04-01)Although banks are at the center of systemic risk, there are other institutions that contribute to it. With the publication of the leveraged lending guideline in March 2013, the U.S. regulators show that they are especially ... -
On the Optimal Provision of Social Insurance
(2015-08-29)In this paper we compute the optimal tax and education policy transition in an economy where progressive taxes provide social insurance against idiosyncratic wage risk, but distort the education decision of households. ... -
Only Time will Tell: A Theory of Deferred Compensation
(2018-08-09)This paper provides a complete characterization of optimal contracts in principal-agent settings where the agent's action has persistent effects. We model general information environments via the stochastic process of the ... -
Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation
(2014-12-01)I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment ... -
Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change
(2018-09-24)This paper studies a dynamic stochastic general equilibrium model involving climate change. Our framework allows for feedback effects on the temperature dynamics. We are able to match estimates of future temperature ... -
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ... -
Optimal Consumption and Portfolio Choice with Loss Aversion
(2016-05-16)This paper analyses the consumption-investment problem of a loss averse investor equipped with s-shaped utility over consumption relative to a time-varying reference level. Optimal consumption exceeds the reference level ... -
Optimal Policy and Taylor Rule Cross-Checking Under Parameter Uncertainty
(2013-09-26)We examine whether the robustifying nature of Taylor rule cross-checking under model uncertainty carries over to the case of parameter uncertainty. Adjusting monetary policy based on this kind of cross-checking can improve ... -
Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence
(2017-01-31)People who delay claiming Social Security receive higher lifelong benefits upon retirement. We survey individuals on their willingness to delay claiming later, if they could receive a lump sum in lieu of a higher annuity ... -
Optimal Taxes on Capital in the OLG Model with Uninsurable Idiosyncratic Income Risk
(2018-02-09)We characterize the optimal linear tax on capital in an Overlapping Generations model with two period lived households facing uninsurable idiosyncratic labor income risk. The Ramsey government internalizes the general ... -
Optimists and Pessimists in (In)Complete Markets
(2019-06-06)We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ... -
Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ... -
OTC Discount
(2020-12-08)We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ... -
OTC Discount
(2021-10-08)We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ...