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Collegio Carlo Alberto
(31 results)-
White Papers
When NGOs Go Global: Competition On International Markets For Development Donations
December 1, 2008, 12:00am PST
Why many large Non-Governmental Organizations (NGOs) are becoming multinational entities? What are the welfare implications of this integration of markets for development donations? To answer...
Provided by Collegio Carlo Alberto
-
White Papers
Risk Measures: Rationality And Diversification
December 1, 2008, 12:00am PST
When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash-additivity assumption on risk measures becomes problematic....
Provided by Collegio Carlo Alberto
-
White Papers
Business Cycle Comovement In The G-7: Common Shocks Or Common Transmission Mechanisms?
March 1, 2007, 12:00am PST
What are the sources of macroeconomic co-movement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is...
Provided by Collegio Carlo Alberto
-
White Papers
A Generalized Normal Mean Variance Mixture For Return Processes In Finance
May 21, 2009, 12:00am PDT
Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from...
Provided by Collegio Carlo Alberto
-
White Papers
The Relative Utility Hypothesis With And Without Self-reported Reference Wages
November 1, 2010, 12:00am PDT
This paper uses survey data of 90,000 union employees working in 62 publicly traded companies in Japan between 1990 and 2004 to study the effect of both own and self-reported reference wages on...
Provided by Collegio Carlo Alberto
-
White Papers
The Evolution Of Entrepreneurial Spirit And The Process Of Development
May 1, 2009, 12:00am PDT
This paper suggests that the evolution of entrepreneurial spirit played a significant role in the process of economic development and the dynamics of inequality within and across societies. This...
Provided by Collegio Carlo Alberto
-
White Papers
Efficient Risk Sharing In The Presence Of A Public Good
September 1, 2008, 12:00am PDT
This paper studies the provision of a public good between two agents under lack of commitment and applies it to the problem of children's consumption in separated couples, where children are...
Provided by Collegio Carlo Alberto
-
White Papers
Flexible Contracts
September 3, 2009, 12:00am PDT
This paper studies the costs and benefits of delegating decisions to superiorly informed agents relative to the use of rigid, non discretionary contracts. Delegation grants some flexibility in the...
Provided by Collegio Carlo Alberto
-
White Papers
Adverse Selection And Entrepreneurship In A Model Of Development
September 1, 2008, 12:00am PDT
This paper presents a theory in which risk-averse heterogeneously talented entrepreneurs are the key agents driving the process of development and modernisation. Entrepreneurial skills are private...
Provided by Collegio Carlo Alberto
-
White Papers
Ownership Links, Leverage And Credit Risk
January 1, 2008, 12:00am PST
This paper explores the relationship between optimal leverage and ownership links. It develops a structural model of a parent and a subsidiary, which issues debt in its own name under a guarantee...
Provided by Collegio Carlo Alberto
-
White Papers
Dynamic Mechanism Design: Incentive Compatibility, Profit Maximization And Information Disclosure
December 1, 2008, 12:00am PST
This paper examines the problem of how to design incentive-compatible mechanisms in environments in which the agents' private information evolves stochastically over time and in which decisions...
Provided by Collegio Carlo Alberto
-
White Papers
Intercorporate Guarantees, Leverage And Taxes
November 9, 2010, 12:00am PST
This paper characterizes optimal intercorporate guarantees, under the classical trade-off between bankruptcy costs and taxation. Conditional guarantees, allowing the guarantor - or Holding company...
Provided by Collegio Carlo Alberto
-
White Papers
Using A Microeconometric Model Of Household Labour Supply To Design Optimal Income Taxes
October 1, 2010, 12:00am PDT
The purpose of this paper is to present an exercise where the authors identify optimal income tax rules according to various social welfare criteria, keeping fixed the total net tax revenue....
Provided by Collegio Carlo Alberto
-
White Papers
International Capital Flows And Credit Market Imperfections: A Tale Of Two Frictions
November 1, 2010, 12:00am PDT
The financial crisis of 2007-08 has underscored the importance of adverse selection in financial markets. This friction has been mostly neglected by macroeconomic models of financial frictions,...
Provided by Collegio Carlo Alberto
-
White Papers
Collateral, Financial Arrangements And Pareto Optimality
November 1, 2007, 12:00am PDT
The existence of collateral requirements to guarantee repayment on issued securities reduces in general the efficiency of competitive equilibria. The general equilibrium analysis is presented in a...
Provided by Collegio Carlo Alberto
-
White Papers
Admissible Strategies In Semimartingale Portfolio Selection
August 31, 2010, 12:00am PDT
The choice of admissible trading strategies in mathematical modeling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio...
Provided by Collegio Carlo Alberto
-
White Papers
Risk Sharing In Private Information Models With Asset Accumulation: Explaining The Excess Smoothness Of Consumption
December 1, 2008, 12:00am PST
The authors study testable implications for the dynamics of consumption and income of models in which first best allocations are not achieved because of a moral hazard problem with hidden saving....
Provided by Collegio Carlo Alberto
-
White Papers
Communication And Learning
January 1, 2010, 12:00am PST
The authors study strategic information transmission in an organization consisting of an infinite sequence of individual decision makers. Each decision maker chooses an action and receives an...
Provided by Collegio Carlo Alberto
-
White Papers
Information Sales And Strategic Trading
June 1, 2007, 12:00am PDT
The authors study information sales in financial markets with strategic risk-averse traders. The main result establishes that the optimal selling mechanism is one of the following two: sell to as...
Provided by Collegio Carlo Alberto
-
White Papers
Optimal Income Taxation And Hidden Borrowing And Lending: The First-order Approach In Two Periods
December 1, 2008, 12:00am PST
The authors provide sufficient conditions for the validity of the first-order approach for two period dynamic moral hazard problems, where the agent can save and borrow secretly. They show that in...
Provided by Collegio Carlo Alberto
-
White Papers
Mean-variance Inefficiency Of CRRA And CARA Utility Functions For Portfolio Selection In Defined Contribution Pension Schemes
September 1, 2009, 12:00am PDT
The authors consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility...
Provided by Collegio Carlo Alberto
-
White Papers
Dynamic Managerial Compensation: A Mechanism Design Approach
December 1, 2009, 12:00am PST
The authors characterize the optimal incentive scheme for a manager who faces costly effort decisions and whose ability to generate profits for the firm varies stochastically over time. The...
Provided by Collegio Carlo Alberto
-
White Papers
Sectoral Differentiation, Allocation Of Talent, And Financial Development
May 1, 2009, 12:00am PDT
The author presents a theory of development in which heterogeneously talented entrepreneurs require credit to start new projects and open new sectors. As the variety of sectors expands during...
Provided by Collegio Carlo Alberto
-
White Papers
Complexity And Bounded Rationality In Individual Decision Problems
December 1, 2008, 12:00am PST
The author develops a model of endogenous bounded rationality due to search costs, arising implicitly from the decision problem's complexity. The decision maker is not required to know the entire...
Provided by Collegio Carlo Alberto
-
White Papers
Liquidity And The Allocation Of Credit: Business Cycle, Government Debt And Financial Arrangements
November 1, 2007, 12:00am PDT
The author analyzes the equilibrium level of liquidity and its relevance for the allocation of credit, when the notion of liquidity is related to private information. The general equilibrium...
Provided by Collegio Carlo Alberto
-
White Papers
An Empirical Assessment Of Assortative Matching In The Labor Market
October 1, 2007, 12:00am PDT
In labor markets with worker and firm heterogeneity, the matching between firms and workers may be assortative, meaning that the most productive workers and firms team up. The authors investigate...
Provided by Collegio Carlo Alberto
-
White Papers
The Impact Of Potential Labor Supply On Licensing Exam Difficulty In The US Market For Lawyers
January 1, 2011, 12:00am PST
Entry into licensed professions requires meeting competency requirements, typically assessed through licensing examinations. In the market for lawyers, there are large differences in the...
Provided by Collegio Carlo Alberto
-
White Papers
Liquidity And Competition In Unregulated Markets
December 1, 2008, 12:00am PST
Despite reputedly widespread market manipulation and insider trading, the authors find surprisingly high liquidity and low transactions costs for actively traded securities on the NYSE between...
Provided by Collegio Carlo Alberto
-
White Papers
Indexed Sovereign Debt: A Survey And A Framework Of Analysis
November 1, 2007, 12:00am PDT
A small number of countries have issued real indexed sovereign debt in recent year. This type of contracts could improve risk sharing between debtor countries and international creditors and...
Provided by Collegio Carlo Alberto
-
White Papers
Information Acquisition And Refunds For Returns
August 1, 2007, 12:00am PDT
A product exhibits personal fit uncertainty when its consumers have idiosyncratic and uncertain values for it. Often a consumer can learn her long-run value quickly by obtaining the good for a...
Provided by Collegio Carlo Alberto
-
White Papers
Indexed Sovereign Debt: An Applied Framework
January 1, 2010, 12:00am PST
A number of countries have issued sovereign debt bonds indexed to real variables in recent years. In a dynamic stochastic equilibrium framework with incomplete markets, this paper studies the main...
Provided by Collegio Carlo Alberto
-
White Papers
Indexed Sovereign Debt: An Applied Framework
January 1, 2010, 12:00am PST
A number of countries have issued sovereign debt bonds indexed to real variables in recent years. In a dynamic stochastic equilibrium framework with incomplete markets, this paper studies the main...
Provided by Collegio Carlo Alberto
-
White Papers
Information Acquisition And Refunds For Returns
August 1, 2007, 12:00am PDT
A product exhibits personal fit uncertainty when its consumers have idiosyncratic and uncertain values for it. Often a consumer can learn her long-run value quickly by obtaining the good for a...
Provided by Collegio Carlo Alberto
-
White Papers
Indexed Sovereign Debt: A Survey And A Framework Of Analysis
November 1, 2007, 12:00am PDT
A small number of countries have issued real indexed sovereign debt in recent year. This type of contracts could improve risk sharing between debtor countries and international creditors and...
Provided by Collegio Carlo Alberto
-
White Papers
Liquidity And Competition In Unregulated Markets
December 1, 2008, 12:00am PST
Despite reputedly widespread market manipulation and insider trading, the authors find surprisingly high liquidity and low transactions costs for actively traded securities on the NYSE between...
Provided by Collegio Carlo Alberto
-
White Papers
The Impact Of Potential Labor Supply On Licensing Exam Difficulty In The US Market For Lawyers
January 1, 2011, 12:00am PST
Entry into licensed professions requires meeting competency requirements, typically assessed through licensing examinations. In the market for lawyers, there are large differences in the...
Provided by Collegio Carlo Alberto
-
White Papers
An Empirical Assessment Of Assortative Matching In The Labor Market
October 1, 2007, 12:00am PDT
In labor markets with worker and firm heterogeneity, the matching between firms and workers may be assortative, meaning that the most productive workers and firms team up. The authors investigate...
Provided by Collegio Carlo Alberto
-
White Papers
Liquidity And The Allocation Of Credit: Business Cycle, Government Debt And Financial Arrangements
November 1, 2007, 12:00am PDT
The author analyzes the equilibrium level of liquidity and its relevance for the allocation of credit, when the notion of liquidity is related to private information. The general equilibrium...
Provided by Collegio Carlo Alberto
-
White Papers
Complexity And Bounded Rationality In Individual Decision Problems
December 1, 2008, 12:00am PST
The author develops a model of endogenous bounded rationality due to search costs, arising implicitly from the decision problem's complexity. The decision maker is not required to know the entire...
Provided by Collegio Carlo Alberto
-
White Papers
Sectoral Differentiation, Allocation Of Talent, And Financial Development
May 1, 2009, 12:00am PDT
The author presents a theory of development in which heterogeneously talented entrepreneurs require credit to start new projects and open new sectors. As the variety of sectors expands during...
Provided by Collegio Carlo Alberto
-
White Papers
Dynamic Managerial Compensation: A Mechanism Design Approach
December 1, 2009, 12:00am PST
The authors characterize the optimal incentive scheme for a manager who faces costly effort decisions and whose ability to generate profits for the firm varies stochastically over time. The...
Provided by Collegio Carlo Alberto
-
White Papers
Mean-variance Inefficiency Of CRRA And CARA Utility Functions For Portfolio Selection In Defined Contribution Pension Schemes
September 1, 2009, 12:00am PDT
The authors consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility...
Provided by Collegio Carlo Alberto
-
White Papers
Optimal Income Taxation And Hidden Borrowing And Lending: The First-order Approach In Two Periods
December 1, 2008, 12:00am PST
The authors provide sufficient conditions for the validity of the first-order approach for two period dynamic moral hazard problems, where the agent can save and borrow secretly. They show that in...
Provided by Collegio Carlo Alberto
-
White Papers
Information Sales And Strategic Trading
June 1, 2007, 12:00am PDT
The authors study information sales in financial markets with strategic risk-averse traders. The main result establishes that the optimal selling mechanism is one of the following two: sell to as...
Provided by Collegio Carlo Alberto
-
White Papers
Communication And Learning
January 1, 2010, 12:00am PST
The authors study strategic information transmission in an organization consisting of an infinite sequence of individual decision makers. Each decision maker chooses an action and receives an...
Provided by Collegio Carlo Alberto
-
White Papers
Risk Sharing In Private Information Models With Asset Accumulation: Explaining The Excess Smoothness Of Consumption
December 1, 2008, 12:00am PST
The authors study testable implications for the dynamics of consumption and income of models in which first best allocations are not achieved because of a moral hazard problem with hidden saving....
Provided by Collegio Carlo Alberto
-
White Papers
Admissible Strategies In Semimartingale Portfolio Selection
August 31, 2010, 12:00am PDT
The choice of admissible trading strategies in mathematical modeling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio...
Provided by Collegio Carlo Alberto
-
White Papers
Collateral, Financial Arrangements And Pareto Optimality
November 1, 2007, 12:00am PDT
The existence of collateral requirements to guarantee repayment on issued securities reduces in general the efficiency of competitive equilibria. The general equilibrium analysis is presented in a...
Provided by Collegio Carlo Alberto
-
White Papers
International Capital Flows And Credit Market Imperfections: A Tale Of Two Frictions
November 1, 2010, 12:00am PDT
The financial crisis of 2007-08 has underscored the importance of adverse selection in financial markets. This friction has been mostly neglected by macroeconomic models of financial frictions,...
Provided by Collegio Carlo Alberto
-
White Papers
Using A Microeconometric Model Of Household Labour Supply To Design Optimal Income Taxes
October 1, 2010, 12:00am PDT
The purpose of this paper is to present an exercise where the authors identify optimal income tax rules according to various social welfare criteria, keeping fixed the total net tax revenue....
Provided by Collegio Carlo Alberto
-
White Papers
Intercorporate Guarantees, Leverage And Taxes
November 9, 2010, 12:00am PST
This paper characterizes optimal intercorporate guarantees, under the classical trade-off between bankruptcy costs and taxation. Conditional guarantees, allowing the guarantor - or Holding company...
Provided by Collegio Carlo Alberto
-
White Papers
Dynamic Mechanism Design: Incentive Compatibility, Profit Maximization And Information Disclosure
December 1, 2008, 12:00am PST
This paper examines the problem of how to design incentive-compatible mechanisms in environments in which the agents' private information evolves stochastically over time and in which decisions...
Provided by Collegio Carlo Alberto
-
White Papers
Ownership Links, Leverage And Credit Risk
January 1, 2008, 12:00am PST
This paper explores the relationship between optimal leverage and ownership links. It develops a structural model of a parent and a subsidiary, which issues debt in its own name under a guarantee...
Provided by Collegio Carlo Alberto
-
White Papers
Adverse Selection And Entrepreneurship In A Model Of Development
September 1, 2008, 12:00am PDT
This paper presents a theory in which risk-averse heterogeneously talented entrepreneurs are the key agents driving the process of development and modernisation. Entrepreneurial skills are private...
Provided by Collegio Carlo Alberto
-
White Papers
Flexible Contracts
September 3, 2009, 12:00am PDT
This paper studies the costs and benefits of delegating decisions to superiorly informed agents relative to the use of rigid, non discretionary contracts. Delegation grants some flexibility in the...
Provided by Collegio Carlo Alberto
-
White Papers
Efficient Risk Sharing In The Presence Of A Public Good
September 1, 2008, 12:00am PDT
This paper studies the provision of a public good between two agents under lack of commitment and applies it to the problem of children's consumption in separated couples, where children are...
Provided by Collegio Carlo Alberto
-
White Papers
The Evolution Of Entrepreneurial Spirit And The Process Of Development
May 1, 2009, 12:00am PDT
This paper suggests that the evolution of entrepreneurial spirit played a significant role in the process of economic development and the dynamics of inequality within and across societies. This...
Provided by Collegio Carlo Alberto
-
White Papers
The Relative Utility Hypothesis With And Without Self-reported Reference Wages
November 1, 2010, 12:00am PDT
This paper uses survey data of 90,000 union employees working in 62 publicly traded companies in Japan between 1990 and 2004 to study the effect of both own and self-reported reference wages on...
Provided by Collegio Carlo Alberto
-
White Papers
A Generalized Normal Mean Variance Mixture For Return Processes In Finance
May 21, 2009, 12:00am PDT
Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from...
Provided by Collegio Carlo Alberto
-
White Papers
Business Cycle Comovement In The G-7: Common Shocks Or Common Transmission Mechanisms?
March 1, 2007, 12:00am PST
What are the sources of macroeconomic co-movement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is...
Provided by Collegio Carlo Alberto
-
White Papers
Risk Measures: Rationality And Diversification
December 1, 2008, 12:00am PST
When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash-additivity assumption on risk measures becomes problematic....
Provided by Collegio Carlo Alberto
-
White Papers
When NGOs Go Global: Competition On International Markets For Development Donations
December 1, 2008, 12:00am PST
Why many large Non-Governmental Organizations (NGOs) are becoming multinational entities? What are the welfare implications of this integration of markets for development donations? To answer...
Provided by Collegio Carlo Alberto
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