SAFE working paper
https://safe-frankfurt.de/de/publikationen/working-papers.html
Refine
Year of publication
- 2014 (44) (remove)
Document Type
- Working Paper (44)
Language
- English (44)
Has Fulltext
- yes (44)
Is part of the Bibliography
- no (44)
Keywords
- Labor income risk (3)
- Portfolio choice (3)
- Asset Pricing (2)
- Business Cycle (2)
- Compensation Structure (2)
- Credit Spread (2)
- General Equilibrium (2)
- Health shocks (2)
- Household Finance (2)
- Inside Debt (2)
- Recursive Preferences (2)
- Risk-Taking (2)
- Stochastic mortality risk (2)
- Systemic risk (2)
- austerity (2)
- confidence (2)
- credit supply (2)
- financial crisis (2)
- financial literacy (2)
- incomplete markets (2)
- investment (2)
- Austerity Measures (1)
- Bank Capital (1)
- Banking Stability (1)
- Basel regulation (1)
- CDS (1)
- Choquet expected utility (1)
- Contagion (1)
- Corporate Governance (1)
- Corporate Groups (1)
- Creditor Protection (1)
- Cultural Influences on Economic Behavior (1)
- Cumulative prospect theory (1)
- Delaunay Interpolation (1)
- Dynamic Models (1)
- Dynamic Networks (1)
- Dynamic inconsistency (1)
- E.U. Corporate Law (1)
- Efficiency Wages (1)
- Endogenous Growth (1)
- Endogenous gridpoints Method (1)
- Equity options (1)
- European Banking Authority (1)
- European Banking Union (1)
- European Systemic Risk Board (1)
- European debt crisis (1)
- FBSDE (1)
- Feedback (1)
- Financial Distress (1)
- Fiscal Policy (1)
- GFSY (1)
- German reunification (1)
- Group Interesterest (1)
- Hawkes processes (1)
- Health expenses (1)
- Health jumps (1)
- Household Portfolios (1)
- Household Wealth (1)
- Implied volatility (1)
- Impulse-response (1)
- Insurance (1)
- Interbank Markets (1)
- Interest Rate Guarantees (1)
- Jumps (1)
- Life Insurers (1)
- Life-cycle hypothesis (1)
- Liquidity Coinsurance (1)
- Long-run Risk (1)
- Minority Shareholder Protection (1)
- Moral Hazar (1)
- Mortality risk (1)
- Multitasking (1)
- Mutually Exciting Processes (1)
- Mutually exciting processes (1)
- Numerical Solution (1)
- On-the-Job Search (1)
- R&D (1)
- Related Party Transactions (1)
- Repeated Principal-Agent Model (1)
- Risk Assessment (1)
- Rubin Causal Model (1)
- Saving puzzles (1)
- Self-Control (1)
- Shareholder Rights Directive (1)
- Short-run Risk (1)
- Single Supervisory Mechanism (1)
- Solvency II (1)
- Sovereign risk (1)
- Tail Risk (1)
- Term life insurance (1)
- Tunneling (1)
- Value-at-risk (1)
- aggregate risk (1)
- allocation bias (1)
- ambiguity (1)
- asset markets (1)
- asset pricing (1)
- average treatment effect (1)
- bank runs (1)
- banking (1)
- booms (1)
- bounded rationality (1)
- capacity utilization (1)
- capital regulation (1)
- competition (1)
- consumer credit (1)
- consumer education (1)
- consumption expenditure (1)
- consumption hump (1)
- consumption smoothing (1)
- consumption-portfolio choice (1)
- coordination (1)
- counterfactual analysis (1)
- credit rationing (1)
- crowding out (1)
- debt consolidation (1)
- default (1)
- deleveraging (1)
- education (1)
- exit strategies (1)
- experimental economics (1)
- familiarity (1)
- financial regulation (1)
- fiscal adjustment (1)
- fiscal austerity (1)
- fiscal decentralization (1)
- fiscal multipliers (1)
- fiscal policy (1)
- fiscal stress (1)
- fixed point approach (1)
- growth (1)
- heterogeneous agents (1)
- household debt (1)
- household finance (1)
- households (1)
- identification (1)
- idiosyncratic risk (1)
- incentives (1)
- incomplete information (1)
- insurance (1)
- internal ratings (1)
- inverse probability weighting (1)
- laboratory experiments (1)
- leisure (1)
- liquid assets (1)
- liquidity premium (1)
- loan officer (1)
- loan origination (1)
- local projection (1)
- local projections (1)
- macroprudential supervision (1)
- matching (1)
- microprudential supervision (1)
- monetary policy (1)
- money (1)
- monitoring (1)
- output fluctuations (1)
- panel VAR (1)
- panel data (1)
- peer effects (1)
- pooling equilibrium (1)
- portfolio choice (1)
- pricing (1)
- propensity score (1)
- prudential supervision (1)
- public debt (1)
- regression adjustment (1)
- regulation (1)
- regulatory arbitrage (1)
- screening (1)
- separating equilibrium (1)
- shadow banking (1)
- slumps (1)
- social interactions (1)
- social security (1)
- sovereign risk (1)
- stochastic differential utility (1)
- stockholding (1)
- systemic risk (1)
- tax competition (1)
- transactions (1)
- valuation discount (1)
- vertical fiscal imbalances (1)
- wage hump (1)
- welfare (1)
- yield spreads (1)
- fiscal multipliers (1)
- fiscal policy (1)
Institute
40
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy term life insurance with realistic features. In particular, the available contracts are long term so that decisions are sticky and can only be revised at significant costs. Furthermore, a revision is only possible as long as the insured person is healthy. A second important and realistic feature of our model is that the labor income of
the wage earner is unspanned. We document that the combination of unspanned labor income and the stickiness of insurance decisions reduces the insurance demand significantly. This is because an income shock induces the need to reduce the insurance coverage, since premia become less affordable. Since such a reduction is costly and families anticipate these potential costs, they buy less protection at all ages. In particular, young families stay away from life insurance markets altogether.
39
Banks' financial distress, lending supply and consumption expenditure : [version december 2013]
(2014)
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures. Specifically, we show that households whose banks were more exposed to funding shocks report significantly lower levels of non-mortgage liabilities compared to a matched sample of households. The reduced access to credit, however, does not result in lower levels of consumption. Instead, we show that households compensate by drawing down liquid assets. Only households without the ability to draw on liquid assets reduce consumption. The results are consistent with consumption smoothing in the face of a temporary adverse lending supply shock. The results contrast with recent evidence on the real effects of finance on firms' investment, where even temporary adverse credit supply shocks are associated with significant real effects.
25
In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company VaRs and the option-implied VaR of an US financial index. First, we study the spillover effect of increasing company risks on the financial sector. Second, we analyze which companies are most affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as size, leverage, balance sheet composition, market-to-book ratio and earnings have a significant influence on the systemic risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR) estimator allows for a causal interpretation of the results.
11 [neue Version]
There has been a considerable debate about whether disaster models can rationalize the equity premium puzzle. This is because empirically disasters are not single extreme events, but long-lasting periods in which moderate negative consumption growth realizations cluster. Our paper proposes a novel way to explain this stylized fact. By allowing for consumption drops that can spark an economic crisis, we introduce a new economic channel that combines long-run and short-run risk. First, we document that our model can match consumption data of several countries. Second, it generates a large equity risk premium even if consumption drops are of moderate size.