Creator: Boyd, John H. and Graham, Stanley L. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 398 Abstract:
This study estimates the effects of allowing bank holding companies (BHCs) to enter several lines of financial business not now permitted. A simulation technique is used to estimate the risk and return of hypothetical financial corporations after merger between a BHC and a large firm in each of these industries: securities, real estate, life insurance, property and casualty insurance, and insurance agencies. The study concludes that a merger between a BHC and a life insurance company may decrease the probability of bankruptcy for the merged firm relative to the BHC alone. This result does not hold true, however, for BHC mergers with firms in the other industries. In particular, BHC mergers with securities or real estate firms are found to increase the probability of bankruptcy.
关键词: Bank holding company, Securities, Insurance, Risk, Merger, Bank holding companies, Bankruptcy, and Real estate 学科: G28 - Financial institutions and services - Government policy and regulation, G21 - Financial institutions and services - Banks ; Other depository institutions ; Micro finance institutions ; Mortgages, and G32 - Corporate finance and governance - Financing policy ; Financial risk and risk management ; Capital and ownership structure
Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 177 描述:
"Nominal labor contracts replicate net of tax real contracts contingent on aggregate risk in the model presented. Perhaps this is a model of money." (title page note)
关键词: Labor economics, Inflation tax, Income tax, and Wages 学科: C68 - Mathematical methods and programming - Computable general equilibrium models and J41 - Particular labor markets - Labor contracts
Creator: Schulhofer-Wohl, Sam Series: Staff Reports (Federal Reserve Bank of Minneapolis) Number: 462 Abstract:
This appendix contains seven sections. Section A reports results from running regressions of labor earnings on GDP using data from the PSID, for comparison with the results using HRS data in the body of the paper. Section B examines the relationship between family income, aggregate shocks, and risk preferences in the PSID. Section C gives technical details on the Markov Chain Monte Carlo estimation employed in table 1 of the paper and reports the complete parameter estimates for the regressions summarized in that table. Section D reports results when the relationship between earnings and aggregate shocks is estimated with individual-specific coecients rather than common coecients for each risk-tolerance group. Section E reports results comparable to table 1 of the paper and table D.1 of this appendix using only Social Security covered earnings instead of the combination of Social Security and W-2 earnings. Section F reports robustness checks for tables 2 and 3 of the paper under alternative definitions of the household and the consumption and income variables. Section G reports robustness checks for tables 2 and 3 under an alternative definition of the leisure variable.
关键词: Risk preferences, Heterogeneity, Imperfect insurance, and Risk sharing 学科: E21 - Macroeconomics : Consumption, saving, production, employment, and investment - Consumption ; Saving ; Wealth and E24 - Macroeconomics : Consumption, saving, production, employment, and investment - Employment ; Unemployment ; Wages ; Intergenerational income distribution ; Aggregate human capital
Creator: Alvarez, Fernando, 1964- and Jermann, Urban J. Series: Endogenous incompleteness Abstract:
We study the asset pricing implications of a multi-agent endowment economy where agents can default on debt. We build on the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993). We present an equilibrium concept for an economy with complete markets and with endogenous solvency constraints. These solvency constraints prevent default, but at the cost of reduced risk sharing. We show that versions of the classical welfare theorems hold for this equilibrium definition. We characterize the pricing kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia depend on the covariance of the idiosyncratic and aggregate shocks.
关键词: Equilibrium, Default, Solvency constraints, Risk, Shocks, and Assets 学科: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates and D50 - General equilibrium and disequilibrium - General
Creator: Persson, Torsten. and Tabellini, Guido Enrico, 1956- Series: Conference on economics and politics Abstract:
Inspired by the current European developments, we study equilibrium fiscal policy under alternative constitutional arrangements in a "federation" of countries. There are two levels of government: local and federal. Local policy redistributes across individuals and affects the probability of aggregate shocks, while federal policy shares international risk. Policies are chosen under majority rule. There is a moral hazard problem: federal risk-sharing can induce the local governments to enact policies that increase local risk. We investigate this incentive problem under alternative fiscal constitutions. In particular, we contrast a vertically ordered system like the EC with a horizontally ordered federal system like the US. These alternative arrangements are not neutral, in the sense that they create different incentives for policymakers and voters, and give rise to different political equilibria. A general conclusion is that, centralization of functions and power can be welfare improving under appropriate institutions. However, this conclusion only applies to the moral hazard problem and a federation where the countries are not too dissimilar.
关键词: Fiscal federalism, Politics, Risk sharing, and Principal—agent models 学科: D70 - Analysis of Collective Decision-Making: General, E60 - Macroeconomic policy, macroeconomic aspects of public finance, and general outlook - General, and H10 - Structure and Scope of Government: General
Creator: Atkeson, Andrew. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 381 Abstract:
This paper examines the optimal debt contract between lenders and a sovereign borrower when the borrower is free to repudiate the debt and when his decision to invest or consume borrowed funds is unobservable. We show that recurrent debt crises are a necessary part of the incentive structure which supports the optimal pattern of lending.
关键词: Credit market, Foreign lending, International capital, International debt, International loans, Risk, Optimal debt contract, Debt crisis, and Moral hazard 学科: F34 - International finance - International lending and debt problems
Creator: Backus, David., Gregory, Alan., and Zin, Stanley E. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 429 Abstract:
We compare the statistical properties of prices of U.S. treasury bills to those generated by a theoretical dynamic exchange economy with complete markets. We show that the model can account for neither the sign nor the magnitude of average risk premiums in forward prices and holding-period returns. The economy is also incapable of generating enough variation in risk premiums to account for rejections of the expectations hypothesis with treasury bill data. These conclusions add to the growing list of empirical deficiencies of the representative agent model of asset pricing.
关键词: Forward prices, Expectations hypothesis, Autoregressive heteroskedasticity, and Holding-period returns 学科: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates