Browsing Sonderforschungsbereich 649: Ökonomisches Risiko by Title
Now showing items 70-89 of 832
-
2005-08-01DiskussionspapierBank finance versus bond finance We present a dynamic general equilibrium model with agency costs, where heterogeneous firms choose among two alternative instruments of external finance - corporate bonds and bank loans. We characterize the financing choice ...
-
2013-05-21DiskussionspapierBank Lending Relationships and the Use of Performance-Sensitive Debt We show that performance-sensitive debt (PSD) is used to reduce hold-up problems in repeated lending relationships. Using a large sample of bank loans, we find a more frequent use of PSD if hold-up is more likely, e.g. if ...
-
2011-07-28DiskussionspapierBargaining and Collusion in a Regulatory Model Within a standard three-tier regulatory model, a benevolent prin- cipal delegates to a regulatory agency two tasks: the supervision of the …rm’s (two-type) costs and the arrangement of a pricing mecha- nism. The agency may ...
-
2011-10-19DiskussionspapierBargaining, Openness, and the Labor Share This paper investigates determinants of changes of the labor share in developed countries with a focus on Western Europe. Using a country-industry panel that covers the private sector, the paper focuses on long and short-run ...
-
2006-03-30DiskussionspapierBarrier Option Hedging under Constraints We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed ...
-
2008-07-31DiskussionspapierBayesian Demographic Modeling and Forecasting We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates ...
-
2010-01-20DiskussionspapierBayesian Estimation and Model Selection in theGeneralised Stochastic Unit Root Model We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, ...
-
2010-01-13DiskussionspapierBayesian Inference in a Stochastic Volatility Nelson-Siegel Model In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for ...
-
2011-07-25DiskussionspapierBayesian Networks and Sex-related Homicides We present a statistical investigation on the domain of sex-related homicides. As general sociological and psychological theory on this specific type of crime is incomplete or even lacking, a data-driven approach is ...
-
2016-11-23DiskussionspapierBeta-boosted ensemble for big credit scoring data In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that ...
-
2014-09-03DiskussionspapierBeyond dimension two In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce ...
-
2008-04-18DiskussionspapierBeyond the business cycle This article provides a comprehensive econometric analysis of factors driving aggregate mortality rates over time. It differs from previous studies in this field by simultaneously considering an extensive set of macroeconomic, ...
-
2006-12-21DiskussionspapierBiases in Estimates of the Smoking Wage Penalty Empirical studies on the earnings effects of tobacco use have found significant wage penalties attached to smoking. We produce evidence that suggests that these estimates are significantly upward biased. The bias arises ...
-
2016-09-14DiskussionspapierBlooming Landscapes in the West? - German reunification and the price of land. German reunification was a positive market access shock for both East and West Germany. Regions that for 45 years had experienced a decline in population due to their loss in market access following the division of Germany ...
-
2014-10-12DiskussionspapierBoiling the frog optimally When should a necessary inconvenience be introduced gradually, and when should it be imposed all at once? The question is crucial to web content providers, who in order to generate revenue must sooner or later introduce ...
-
2014-11-17DiskussionspapierBootstrap confidence setsunder modelmisspecification A multiplier bootstrap procedure for construction of likelihood-based congidence sets is considered for ginite samples and a possible model misspecification. Theoretical results justify the bootstrap consistency for a small ...
-
2006-02-10DiskussionspapierBootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen and Lütkepohl (2000b), and Saikkonen, Lütkepohl and Trenkler (2006). The ...
-
2012-10-22DiskussionspapierBrand equity To explore how occurring critical incidents affect customer-brand relations, this study measures the impact on the basis of an online experiment. For this purpose, 1,122 usable responses are gathered considering the ...
-
2006-01-18DiskussionspapierBritish Interest Rate Convergence between the US and Europe This paper addresses the question of the British state of convergence towards the Euro area, compared to the USA. Economically, the analysis is based on dependences in the money and capital markets, namely the uncovered ...
-
2016-02-22DiskussionspapierBudget-neutral fiscal rulestargetinginflation differentials In light of persistent in ation dispersion and rising debt levels in the EMU, this paper investigates the welfare implications of budget-neutral fiscal policies that counteract in ation differentials. In a two-country DSGE ...
