Refine
Year of publication
- 2007 (62) (remove)
Document Type
- Working Paper (62) (remove)
Language
- English (62) (remove)
Has Fulltext
- yes (62)
Is part of the Bibliography
- no (62)
Keywords
- Geldpolitik (5)
- Haushalt (4)
- insurance (4)
- Deutschland (3)
- European Central Bank (3)
- Europäische Zentralbank (3)
- Sparen (3)
- Sticky Prices (3)
- monetary policy (3)
- portfolio choice (3)
We compute the optimal dynamic asset allocation policy for a retiree with Epstein-Zin utility. The retiree can decide how much he consumes and how much he invests in stocks, bonds, and annuities. Pricing the annuities we account for asymmetric mortality beliefs and administration expenses. We show that the retiree does not purchase annuities only once but rather several times during retirement (gradual annuitization). We analyze the case in which the retiree is restricted to buy annuities only once and has to perform a (complete or partial) switching strategy. This restriction reduces both the utility and the demand for annuities.
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (“coexceedances”) as a function of variables measuring common shocks and coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the first difference in the daily distance to default of the bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the specification.