-
作者：Ehling, Paul; Graniero, Alessandro; Heyerdahl-Larsen, Christian
作者单位：BI Norwegian Business School; University of London; London Business School
摘要：We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who b...
-
作者：Benigno, Gianluca; Fornaro, Luca
-
作者：Abraham, Arpad; Laczo, Sarolta
作者单位：European University Institute; University of London; Queen Mary University London
摘要：We extend the model of risk sharing with limited commitment by introducing both a public and a private (unobservable and/or non-contractible) storage technology. Positive public storage relaxes future participation constraints, hence it can improve risk sharing, contrary to the case where hidden income or effort is the deep friction. The characteristics of constrained-efficient allocations crucially depend on the storage technology's return. At the steady state, if the return on storage is (i)...
-
作者：Crouzet, Nicolas
作者单位：Northwestern University
摘要：This article studies the transmission of financial shocks in a model where corporate credit is intermediated via both banks and bond markets. In choosing between bank and bond financing, firms trade-off the greater flexibility of banks in case of financial distress against the lower marginal costs of large bond issuances. I find that, in response to a contraction in bank credit supply, aggregate bond issuance in the corporate sector increases, but not enough to avoid a decline in aggregate bor...
-
作者：Farhi, Emmanuel; Tirole, Jean
作者单位：Harvard University; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：The recent unravelling of the Eurozone's financial integration raised concerns about feedback loops between sovereign and banking insolvency. This article provides a theory of the feedback loop that allows for both domestic bailouts of the banking system and sovereign debt forgiveness by international creditors or solidarity by other countries. Our theory has important implications for the re-nationalization of sovereign debt, macroprudential regulation, and the rationale for banking unions.
-
作者：Freyberger, Joachim
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：This article studies non-parametric panel data models with multidimensional, unobserved individual effects when the number of time periods is fixed. I focus on models where the unobservables have a factor structure and enter an unknown structural function non-additively. The setup allows the individual effects to impact outcomes differently in different time periods and it allows for heterogeneous marginal effects. I provide sufficient conditions for point identification of all parameters of t...
