Publications

First generation models assume that the level of reserves of a Central Bank in a fixed exchange rate regime is common knowledge among consumers, and...

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and con- sistent ranking...

We investigate whether a rare event (like the default of the annuity provider) can explain the annuity market participation puzzle. High risk aversion...

This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical...

We analyze the degree of contract completeness with respect to staging of venture capital investments using a hand-collected German data set of...

Not only in the classic Arrow-Debreu model, but also in many mainstream macro models, an implicit assumption is that all agents honour their...

There are long, (and often variable), lags between a change in interest rates and its effect on real output and inflation. Hence policy should be...

This essay describes the current debate on reforming Social Security in the US, along with a brief description of how the program works. Along the way...

This paper analyses takeovers of companies owned by atomistic shareholders and by one minority blockholder, all of whom can only decide to tender or...

This paper studies optimal intergenerational transfer policy under stochastic labor income and capital returns. It has implications for Social...

We consider borrowers with the opportunity to raise funds from a competitive banking sector that shares information, and from an alternative hidden...

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes...

We investigate the impact of owner-occupied housing on financial portfolio and mortgage choice under stochastic inflation and real interest rates. To...

This paper describes how structural bond pricing models can be estimated using a Simulated Maximum Likelihood procedure developed by Durbin and...

One possible explanation for the unsatisfactory implementation of IMF conditionality has been attributed to the lack of credibility of the IMF threat...

Theory suggests that reputations, developed in repeated face-to-face interactions, allow non- anonymous, floor-based trading venues to attenuate...