Search results for "Econometric"

Several risk measures in portfolio selection: Is it worthwhile?

2010

Este articulo aborda el problema de seleccion de carteras empleando tres medidas de riesgo ampliamente utilizadas: varianza o desviacion tipica, Valor en Riesgo (VaR) y Valor en Riesgo Condicional (CVaR). Nuestro principal objetivo es evaluar la relevancia de incluir simultaneamente varias medidas del riesgo, dada la complejidad computacional que supone. La principal contribucion de este articulo es la propuesta de solucion de dos modelos que consideran simultaneamente dos medidas del riesgo muy utilizadas: el modelo de media-varianza-VaR y el modelo media-VaR-CVaR. La inclusion del VaR como uno de los objetivos a minimizar convierte el problema de optimizacion en no convexo, por lo que el …

Households' Balance Sheets and the Effect of Fiscal Policy

2022

Using households' balance-sheet composition in the Panel Survey of Income Dynamics, we identify six household types. Since 1999, there has been a decline in the share of patient households and an increase in the share of impatient households with negative wealth. Using a six-agent New Keynesian model with search and matching frictions, we explore how changes in households' shares affect the transmission of government spending shocks. We show that the relative share of households in the left tail of the wealth distribution plays a key role in the aggregate marginal propensity to consume, the magnitude of fiscal multipliers, and the distributional consequences of government spending shocks. W…

Selection by committee: Anonymity and gratitude

2018

Abstract What kind of candidate is selected into a job when the principal has to appoint a committee to measure the candidates’ ability and select a winner? We find that if the committee takes into account the candidate’s gratitude towards them, a candidate with less than first best ability will be selected. A relevant exception may occur if the first best is the overall best candidate. First best selection is always achieved if the committee is anonymous to the candidates. If the committee is not detached enough from the candidates then delegation fares even worse than random selection.

Pricing the Option to Surrender in Incomplete Markets

2010

New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black and Scholes paradigm are often used; however, the hypotheses underneath this model are rarely met. We propose a framework that encompasses the most known sources of incompleteness. We show that the surrender option, joined with a wide range of claims embedded in insurance contracts, can be priced through our tool, and deliver hedging portfolios to mitigate the risk arising from their positions. We provide extensive empirical analysis to highlight the effect of incompleteness on the fair value of the option.

Quality of higher education and earnings: evidence from Finland using field-of-study-level quality measures

2013

Using administrative data from Finland, this paper empirically examines the relationship between university graduates’ early career earnings and three measures of university quality: the number of teachers per student, the number of publications per researcher and the number of applicants per admitted student. A distinction to previous studies is made by paying special attention to field-of-study heterogeneity: the quality measures are allowed to vary by a student’s field, while the heterogeneity of earnings and individuals across fields is accounted for in the analysis. For the most part, the results indicate that the relationship between institution quality and earnings is rather weak; ho…

Health insurance: medical treatment vs. disability payment

2010

We present arguments for treating health insurance and disability insurance in an integrated manner in economic analysis, based on a model where each individual's utility depends on both consumption and health and her income depends on her earning ability. When purchasing insurance, she may choose a contract that offers less than full medical treatment. We find that high-ability individuals demand full recovery and equalize utility across states, while low-ability individuals demand partial treatment and cash compensation and suffer a loss in utility if ill. Our results carry over to the case where health states are not observable. NOTICE: this is the author’s version of a work that was acc…

Rolling over stock index futures contracts

2009

Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…

Peter Zweifel's Bonus Options in Health Insurance

1993

IFRS adoption and audit and non-audit fees: empirical evidence from Spanish listed companies

2015

We analyse trends in inflation-adjusted audit and non-audit fees from 2003 to 2009 with the aim of identifying the impact of International Financial Reporting Standards (IFRS) in Spain, where (a) the shift from national to international accounting standards represented major changes and (b) the implementation process was conducted in 2005 for group accounts of listed companies and 2008 for the individual accounts. To that end, we build a well-tested audit and non-audit fee model based on 2003 and compare the actual with the predicted values had the accounting reforms not taken place. We report unexpected higher audit fees for the group accounts model in the years 2004, 2005 and 2006. A plau…

The welfare cost of unpriced heterogeneity in insurance markets

2016

We consider the welfare loss of unpriced heterogeneity in insurance markets, which results when private information or regulatory constraints prevent insurance companies to set premiums reflecting expected costs. We propose a methodology which uses survey data to measure this welfare loss. After identifying some “types” which determine expected risk and insurance demand, we derive the key factors defining the demand and cost functions in each market induced by these unobservable types. These are used to quantify the efficiency costs of unpriced heterogeneity. We apply our methods to the US Long-Term Care and Medigap insurance markets, where we find that unpriced heterogeneity causes substan…