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339 records from EconBiz based on author Name
1. What about Japan?
Chien, YiLi; Cole, Harold L.; Lustig, Hanno;2023
Type: Arbeitspapier; Working Paper;
Availability:
Link 2. Trust in risk sharing : a double-edged sword
abstractWe analyze efficient risk-sharing arrangements when the value from deviating is determined endogenously by another risk sharing arrangement. Coalitions form to insure against idiosyncratic income risk. Self-enforcing contracts for both the original coalition and any coalition formed (joined) after deviations rely on a belief in future cooperation which we term "trust". We treat the contracting conditions of original and deviation coalitions symmetrically and show that higher trust tightens incentive constraints since it facilitates the formation of deviating coalitions. As a consequence, although trust facilitates the initial formation of coalitions, the extent of risk sharing in successfully formed coalitions is declining in the extent of trust and efficient allocations might feature resource burning or utility burning: trust is indeed a double-edged sword.
Cole, Harold L.; Krueger, Dirk; Mailath, George J.; Park, Yena;2022
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link Link Link Link Link Link 3. Trust in risk sharing : a double-edged sword
Cole, Harold L.; Krueger, Dirk; Mailath, George J.; Park, Yena;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 4. Social capital: a double-edged sword
abstractWe analyze efficient risk-sharing arrangements when coalitions may deviate. Coalitions form to insure against idiosyncratic income risk. Self-enforcing contracts for both the original coalition and any deviating coalition rely on a belief in future cooperation which we term \social capital". We treat the contracting conditions of original and deviating coalitions symmetrically and show that higher social capital tightens incentive constraints since it facilitates both the formation of the original as well as a deviating coalition. As a consequence, although social capital facilitates the initial formation of coalitions, the extent of risk sharing in successfully formed coalitions is declining in the extent of social capital and equilibrium allocations might feature resource burning or utility burning: social capital is indeed a double-edged sword.
Cole, Harold L.; Krueger, Dirk; Mailath, George J.; Park, Yena;2021
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link 5. Asymmetric Information and Sovereign Debt : Theory Meets Mexican Data
abstractUsing a novel data set containing all bids by all bidders for Mexican government bonds from 2001 to 2017, we demonstrate that asymmetric information about default risk is a key determinant of primary market bond yields. Empirically, large bidders do not pay more for bonds than the average bidder but their bids are accepted more frequently. We construct a model where investors may differ in wealth, risk aversion, market power and information, and find that only heterogeneous information can qualitatively account for these patterns. Moreover, asymmetric information about rare disasters can quantitatively match key moments of bids and yields, both within and across periods
Cole, Harold L.; Neuhann, Daniel; Ordoñez, Guillermo;2021
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
6. Trust in risk sharing: A double-edged sword
Cole, Harold L.; Krueger, Dirk; Mailath, George J.; Park, Yena;2023
Type: Working Paper;
Availability:
7. Rating agencies
Cole, Harold L.; Cooley, Thomas F.;2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link 8. What about Japan?
Chien, YiLi; Cole, Harold L.; Lustig, Hanno;2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link
9. Information Acquisition and Rating Agencies
abstractFor decades credit rating agencies were viewed as trusted arbiters of creditworthiness and their ratings as important tools for managing risk. The common narrative is that the value of ratings was compromised by the evolution of the industry to a form where issuers pay for ratings. In this paper we consider both an investor-pays and an issuer-pays set-ups and show that if the investor-pays version can overcome the free-rider problem it is efficient, and otherwise leads to under-provision of information; while if the issuer-pays can force disclosure, it is efficient, but otherwise it leads to less revealing information because of the systematic distortion in revealed information along with over-investment in information. We show that in both these arrangements credit ratings have value in equilibrium and how reputation insures that, in equilibrium, ratings will reflect sound assessments of credit worthiness. We argue that regulatory reliance on ratings and the increasing importance of risk-weighted capital in prudential regulation have more likely contributed to distorted ratings than the matter of who pays for them
Cole, Harold L.; Cooley, Thomas F.;2023
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
10. Asset Pricing in a Low Rate Environment
abstractWe examine asset prices in environments where the risk-free rate lies considerably below the growth rate. To do so, we introduce a tractable model of a production economy featuring heterogeneous trading technologies, as well as idiosyncratic and aggregate risk. We show that allowing for the possibility of firms exiting is crucial for matching key macroeconomic moments and, simultaneously, the risk-free rate, the market price of risk, and price-earnings ratios. In particular, our model allows us to consider calibrations that match the high observed market price of risk and average interest rates as low as 2-3.5 percent below the average growth rate. High values for risk aversion or non-standard preferences are not necessary for this. We use the model to examine the wealth distribution and asset prices in economies with very low real rates. We also examine under which conditions realistic calibrations allow for an infinite rollover of government debt. For our benchmark calibration, rollover is impossible even if the average risk-free rate lies 3.5 percent below the average growth rate
Azinović, Marlon; Cole, Harold L.; Kubler, Felix;2023
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link