Browsing Sonderforschungsbereich 649: Ökonomisches Risiko by Title
Now showing items 110-129 of 832
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2016-12-07DiskussionspapierCentral Bank Reputation, Cheap Talk and Transparency as Substitutes for Commitment We implement a repeated version of the Barro-Gordon monetary policy game in the laboratory and ask whether reputation serves as a substitute for commitment, enabling the central bank to achieve the efficient Ramsey equilibrium ...
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2010-10-27DiskussionspapierCentral limit theorems for law-invariant coherent risk measures In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under ...
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2014-09-03DiskussionspapierCertification and MarketTransparency We provide elementary insights into the effectiveness of certification to increase market transparency. In a market with opaque product quality, sellers use certification as a signaling device, while buyers use it as an ...
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2015-05-27DiskussionspapierChange point and trend analysesof annual expectile curvesof tropical storms Abstract: Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology ...
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2011-11-03DiskussionspapierChanges in Occupational Demand Structure and their Impact on Individual Wages This paper estimates wage losses arising due to changes in the structure of demand for occupations. The data on occupational changes made for the sake of adjustment to the changes in the demand structure come from the ...
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2010-01-21DiskussionspapierCharacterising Equilibrium Selection in Global Games with Strategic Complementarities Global games are widely used for equilibrium selection to predict behaviour in complete information games with strategic complementarities. We establish two results on the global game selection. First, we show that it is ...
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2015-04-14DiskussionspapierCharacterizing the Financial Cycle A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This ...
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2006-03-03DiskussionspapierCheap Talk in the Classroom In this paper, I offer a theoretical explanation of the robust gender differences in educational achievement distributions of school children. I consider a one shot cheap talk game with two different types of senders (biased ...
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2016-10-04DiskussionspapierCognitive Ability and Games of School Choice We take school admission mechanisms to the lab to test whether the widely-used manipulable Boston-mechanism disadvantages students of lower cognitive ability and whether this leads to ability segregation across schools. ...
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2015-02-05DiskussionspapierCognitive Bubbles Smith et al. (1988) reported large bubbles and crashes in experimental asset markets, a result that has been replicated by a large literature. Here we test whether the occurrence of bubbles depends on the experimental ...
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2016-03-03DiskussionspapierCognitive Load IncreasesRisk Aversion We investigate how stable individuals’ risk attitudes are with respect to changes in cognitive load. In a laboratory experiment using pairwise lottery choice and a within-subject design, we showthat putting subjects under ...
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2016-01-19DiskussionspapierCollege Admissionswith Entrance Exams We study a college admissions problem in which colleges accept students by ranking students’ efforts in entrance exams. Students’ ability levels affect the cost of their efforts. We solve and compare the equilibria of ...
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2006-10-06DiskussionspapierColor Harmonization in Car Manufacturing Process One of the major cost factors in car manufacturing is the painting of bodyand other parts such as wing or bonnet. Surprisingly, the painting may beeven more expensive than the body itself. From this point of view it is ...
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2009-01-28DiskussionspapierCombination of multivariate volatility forecasts This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with ...
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2006-09-11DiskussionspapierCommon and Uncommon Sources of Growth in Asia Pacific This paper embarks to analyse the role of exports and investment supposed to be major sources of economic growth in Asia Pacific. Therefore at first, the cointegration properties of exports, capital formation and GDP are ...
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2012-10-25DiskussionspapierCommon factors in credit defaults swaps markets We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default ...
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2005-03-24DiskussionspapierCommon Functional Component Modelling Functional data analysis (FDA) has become a popular technique in applied statistics. In particular, this methodology has received considerable attention in recent studies in empirical finance. In this talk we discuss ...
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2005-03-01DiskussionspapierCommon Functional Implied Volatility Analysis Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the ...
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2006-01-30DiskussionspapierCommon Functional Principal Components Functional principal component analysis (FPCA) based on the Karhunen-Loève decomposition has been successfully applied in many applications, mainly for one sample problems. In this paper we consider common functional ...
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2008-12-29DiskussionspapierCommon Influences, Spillover and Integration in Chinese Stock Markets The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information ...
