Swiss Finance Institute Research Paper Series最新文献_第10页

The Impact of Merger Legislation on Bank Mergers 并购立法对银行并购的影响

Swiss Finance Institute Research Paper Series Pub Date : 2016-05-18 DOI: 10.2139/ssrn.2782040

E. Carletti, S. Ongena, Jan-Peter Siedlarek, G. Spagnolo

引用次数: 2

New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration' “为续约建立声誉:对绩效动态和合同期限的影响”的最新和修订结果

Swiss Finance Institute Research Paper Series Pub Date : 2016-05-10 DOI: 10.2139/ssrn.2779631

Vanessa Kummer, M. Meusel, Philipp Renner, K. Schmedders

{"title":"New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'","authors":"Vanessa Kummer, M. Meusel, Philipp Renner, K. Schmedders","doi":"10.2139/ssrn.2779631","DOIUrl":"https://doi.org/10.2139/ssrn.2779631","url":null,"abstract":"In this paper we present some new results for the dynamic agent model by Iossa and Rey (2014, \"Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration,'' Journal of the European Economic Association, 12, 549−574) while also correcting some errors in that article. Iossa and Rey study the performance of an agent who repeatedly receives multi-period contracts and determine the optimal duration of such contracts in the context of an infinitely repeated multi-period agent model. We amend the characterization of the unique Markov perfect equilibrium for this model. In addition, we review the original welfare analysis of the model and either provide corrected proofs when possible or provide counterexamples. Our counterexamples overturn the main comparative statics results of the original analysis. We demonstrate that both the agent's optimal investment decision and the optimal contract duration depend non-monotonically on the information persistence and the agent's discount factor. In the final part of the analysis, we establish new results on the agent's optimal investment decision.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134462035","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

High Frequency House Price Indexes with Scarce Data 数据稀缺的高频房价指数

Swiss Finance Institute Research Paper Series Pub Date : 2016-03-07 DOI: 10.2139/ssrn.2789585

Steven C. Bourassa, Martin Hoesli

引用次数: 7

Employment Protection and Investment Opportunities 就业保障和投资机会

Swiss Finance Institute Research Paper Series Pub Date : 2016-02-02 DOI: 10.2139/ssrn.2726588

Claudio Loderer, Urs Waelchli, Jonas Zeller

引用次数: 2

Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles 用渗流理论研究一类理性预期泡沫中碰撞危险率的有限时间奇异行为

Swiss Finance Institute Research Paper Series Pub Date : 2016-01-23 DOI: 10.2139/ssrn.2722383

Maximilian Seyrich, D. Sornette

{"title":"Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles","authors":"Maximilian Seyrich, D. Sornette","doi":"10.2139/ssrn.2722383","DOIUrl":"https://doi.org/10.2139/ssrn.2722383","url":null,"abstract":"We present a plausible micro-founded model for the previously postulated power law finite time singular form of the crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation picture of the network of traders and the concept that clusters of connected traders share the same opinion. The key ingredient is the notion that a shift of position from buyer to seller of a sufficiently large group of traders can trigger a crash. This provides a formula to estimate the crash hazard rate by summation over percolation clusters above a minimum size of a power $s^a$ (with $a>1$) of the cluster sizes $s$, similarly to a generalized percolation susceptibility. The power $s^a$ of cluster sizes emerges from the super-linear dependence of group activity as a function of group size, previously documented in the literature. The crash hazard rate exhibits explosive finite-time singular behaviors when the control parameter (fraction of occupied sites, or density of traders in the network) approaches the percolation threshold $p_c$. Realistic dynamics are generated by modelling the density of traders on the percolation network by an Ornstein-Uhlenbeck process, whose memory controls the spontaneous excursion of the control parameter close to the critical region of bubble formation. Our numerical simulations recover the main stylized properties of the JLS model with intermittent explosive super-exponential bubbles interrupted by crashes.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125139545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

Real Options and Contingent Convertibles with Regime Switching 具有制度交换的实物期权和或有可转换证券

Swiss Finance Institute Research Paper Series Pub Date : 2016-01-23 DOI: 10.2139/ssrn.2721188

Pengfei Luo, Zhaojun Yang

引用次数: 16

Hawkes Graphs 霍克斯图

Swiss Finance Institute Research Paper Series Pub Date : 2016-01-08 DOI: 10.2139/ssrn.3099022

P. Embrechts, Matthias Kirchner

{"title":"Hawkes Graphs","authors":"P. Embrechts, Matthias Kirchner","doi":"10.2139/ssrn.3099022","DOIUrl":"https://doi.org/10.2139/ssrn.3099022","url":null,"abstract":"This paper introduces the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multivariate Hawkes point process in a compact, yet meaningful way. We demonstrate how graph-theoretic vocabulary ('ancestor sets', 'parent sets', 'connectivity', 'walks', 'walk weights', ... ) is very convenient for the discussion of multivariate Hawkes processes. For example, we reformulate the classic eigenvalue-based subcriticality criterion of multitype branching processes in graph terms. Next to these more terminological contributions, we show how the graph view may be used for the specification and estimation of Hawkes models from large, multitype event streams. Based on earlier work, we give a nonparametric statistical procedure to estimate the Hawkes skeleton and the Hawkes graph from data. We show how the graph estimation may then be used for specifying and fitting parametric Hawkes models. Our estimation method avoids the a priori assumptions on the model from a straightforward MLE-approach and is numerically more flexible than the latter. Our method has two tuning parameters: one controlling numerical complexity, the other one controlling the sparseness of the estimated graph. A simulation study confirms that the presented procedure works as desired. We pay special attention to computational issues in the implementation. This makes our results applicable to high-dimensional event-stream data, such as dozens of event streams and thousands of events per component.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2016-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123515481","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 13

Measuring House Price Bubbles 衡量房价泡沫

Swiss Finance Institute Research Paper Series Pub Date : 2016-01-06 DOI: 10.2139/ssrn.2715632

Steven C. Bourassa, Martin Hoesli, Elias Oikarinen

引用次数: 70

Secular Bipolar Growth Rate of the Real US GDP Per Capita: Implications for Understanding Past and Future Economic Growth 美国实际人均GDP的长期两极增长率:对理解过去和未来经济增长的启示

Swiss Finance Institute Research Paper Series Pub Date : 2015-12-14 DOI: 10.2139/ssrn.2703882

S. Lera, D. Sornette

{"title":"Secular Bipolar Growth Rate of the Real US GDP Per Capita: Implications for Understanding Past and Future Economic Growth","authors":"S. Lera, D. Sornette","doi":"10.2139/ssrn.2703882","DOIUrl":"https://doi.org/10.2139/ssrn.2703882","url":null,"abstract":"We present a quantitative characterisation of the fluctuations of the annualized growth rate of the real US GDP per capita growth at many scales, using a wavelet transform analysis of two data sets, quarterly data from 1947 to 2015 and annual data from 1800 to 2010. Our main finding is that the distribution of GDP growth rates can be well approximated by a bimodal function associated to a series of switches between regimes of strong growth rate $rho_text{high}$ and regimes of low growth rate $rho_text{low}$. The succession of such two regimes compounds to produce a remarkably stable long term average real annualized growth rate of 1.6% from 1800 to 2010 and $approx 2.0%$ since 1950, which is the result of a subtle compensation between the high and low growth regimes that alternate continuously. Thus, the overall growth dynamics of the US economy is punctuated, with phases of strong growth that are intrinsically unsustainable, followed by corrections or consolidation until the next boom starts. We interpret these findings within the theory of \"social bubbles\" and argue as a consequence that estimations of the cost of the 2008 crisis may be misleading. We also interpret the absence of strong recovery since 2008 as a protracted low growth regime $rho_text{low}$ associated with the exceptional nature of the preceding large growth regime.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130394230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

The Impact of Treasury Supply on Financial Sector Lending and Stability 国库供给对金融部门借贷和稳定的影响

Swiss Finance Institute Research Paper Series Pub Date : 2015-11-01 DOI: 10.2139/ssrn.2688957

A. Krishnamurthy, Annette Vissing-Jorgensen

引用次数: 189