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Unawareness and Strategic Announcements in Games with Uncertainty
Unawareness games with uncertainty communication
2015/9/23
This paper studies games with uncertainty where players have different awareness
regarding a chance player’s moves (contingencies). An announcer, who is fully aware of
the contingencies, can announc...
It was a pleasure for me to attend the “Monetary Policy Under Uncertainty” conference held at the
Reserve Bank of New Zealand in June 1998. The eight papers and the thoughtful commentary
from the co...
Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty
Insurance Aggregate Uncertainty Financial Markets Optimal Taxation
2015/7/31
his paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty and ex ante heterogeneous agents. I show how to implement Pareto-optima as equili...
The Real Options Effect of Uncertainty on Investment and Labor Demand
Investment labor demand uncertainty real options
2015/7/15
This paper shows that, contrary to common beliefs, the real options effect of uncertainty plays no role in the longrun rate of investment. This is proven for both the standard investment model with Co...
DOES UNCERTAINTY REDUCE GROWTH?USING DISASTERS AS NATURAL EXPERIMENTS
DOES UNCERTAINTY REDUCE GROWTH DISASTERS AS NATURAL EXPERIMENTS
2015/7/15
A growing body of evidence suggests that uncertainty is counter cyclical, rising sharply in recessions and falling in booms. But what is the causal relationship between uncertainty and growth? To iden...
Treasury Bond Volatility and Uncertainty about Monetary Policy
macroeconomic factors monetary policy survey data
2011/8/21
We show that dispersion-based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasu...
ROBUST MONETARY POLICY UNDER UNCERTAINTY ABOUT CENTRAL BANK PREFERENCES
central bank opacity min杕ax policies model uncertainty robust control
2011/8/21
In this paper, we study the impact of central bank opacity on macroeconomic performances in a new Keynesian framework with model uncertainty using robust control techniques. We identify a new source o...
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Classical mean-variance portfolio theory12 tells us how to construct a portfo-lio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...
LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
AbstractThis paper provides an explanation for outsourcing based on uncertainty. We study an optimal capital investment model both with and without the possibility to outsource under uncertainty. We s...
General equilibrium with endogenous uncertainty and default
Graciela ChichilniskyColumbia University, United States
Ho-Mou WuCollege of Management, University of Taiwan and China Center for Economic R...