3,490 research outputs found

    Essays on risk preferences, time preferences, and credit risk contagion

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    This cumulative dissertation comprises two contributions on behavioral finance and one contribution on credit risk management. The first contribution examines the impact of investors’ probability distortion on the stock market and future economic growth. The empirical challenge is to quantify the optimality of today’s decisions in order to study its impact on future economic growth. Risk preferences can be estimated using stock prices. We use a time series of monthly aggregated stock prices from 1926 to 2015 and estimate risk preferences via an asset pricing model using cumulative prospect theory agents and compute a recently proposed probability distortion index. This index negatively fore- casts future GDP growth, both in-sample and out-of-sample, with stronger and more reliable predictability as the time increases. Our research results suggest that distorted stock prices can lead to significant welfare losses. The second contribution establishes empirical relation- ships of risk and time preferences on academic success. Subjects of our experiment are fourth-semester undergraduate economics students at Leibniz University Hannover. We measure academic success via the points achieved in a business exam in the 4th semester as well as the grade point average of the academic progress so far. Our methodology is based on Tanaka et al. (2010), who use a multiple price list to estimate time preferences and lotteries for the preference parameters of cumulative prospect theory. We find empirical evidence for quasi-hyperbolic discounting and a relationship between higher academic success and lower time discounting. No empirical evidence is observed for a link between risk preferences and academic performance. In the final contribution, we examine contagion effects in credit default risk defined as co-movement in the distances-to-default of U.S. firms, which we estimate from the model of Campbell et al. (2008). We quantify financial, inter-industry, and intra-industry contagion effects based on Fama and French’s 12 sectors and document significant co-movement across sectors during times of crises. We also find that a firm’s size and average share of total sales in each sector are significantly related to intra-industry contagion. Our results are robust to different crisis definitions and index weighting methodologies. Moreover, our results suggest that the probability of default increases in times of crisis due to contagion effects, which may lead to an underestimation of the risk measures of individual loans or portfolios and ultimately of economic capital

    Developing mHealth interventions:Using dual process theories to reduce cardiovascular disease risk

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    Emotional Impulsivity and the Relationship between Impulsive Choice and Impulsive Action

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    The standard definition of impulsivity implies that impulsive individuals demonstrate abnormal reward processing (i.e., impulsive choice, IC) and a penchant for immediate and maladaptive action (i.e., impulsive action, IA). Although IC and IA rarely correlate, both impulsive choice and impulsive action are strongly influenced by emotions. Several studies to date implicate that an individual’s impulsive choice and impulsive action levels depend on his/her susceptibility to the influence of emotions (emotional impulsivity, EI). However, we do not know exactly how emotional impulsivity exacerbates maladaptive actions (IA) and abnormal reward processing (IC). The traditional view suggests that the core deficit of emotional impulsivity is a predisposition for impulsive action. The alternative view postulates that the core deficit for emotional impulsivity is the inability to focus and maintain attention, i.e., attentional impulsivity. Both of these theories are largely based on the findings in clinical populations; in the normal population, the evidence does not favor either of these positions. A possible remedy for this problem is a more sensitive mouse-tracking technique that allows to monitor the subjects’ behavior continuously. Using this technique, I contrasted the traditional and the alternative view in two studies. In Study 1, participants completed stop-signal task and delay discounting tasks, as well as UPPS, BIS, and CAARS questionnaires. I investigated whether EI and impulsive choice can be predicted by impulsive action (suggesting the traditional view) or by attentional impulsivity (suggesting the alternative view). Study 1 showed that the model incorporating attentional impulsivity had a better fit and more significant relationships between AImp, IC, IA, and EI than the model incorporating impulsive action alone; these results imply that attentional impulsivity best predicts IC and IA. Study 2 manipulated the participants’ affect as they were completing SST and DDT. Specifically, I examined how emotionally salient pictures change the relationship between attentional impulsivity and EI/IC/IA by 1) comparing performance in DDT and SST when emotional and neutral pictures are present; 2) analyzing what facets of emotional impulsivity moderate the relationship between IC and IA/AImp when participants are exposed to emotional and neutral pictures. The results show that 1) emotional stimuli primarily increase attentional impulsivity, but not IC or IA; 2) Emotional impulsivity moderates the relationship between impulsive choice and attentional impulsivity, but not between impulsive choice and impulsive action. In sum, the results are consistent with the view that inattention is the core deficit in emotional impulsivity

    The theory of wasting assets with reference to the regulation and pricing of gold in the South African gold mining industry

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    The main aim of this thesis is to present and critically analyse the theory of wasting assets with regard to extractive mineral industries in general and to the pricing and regulation of gold . ii'" particular. Furthermore, to consider the contention that the. price of minerals {such as gold) has been "too low11 in the current generation and that market forces have· led to a 11 too rapid11 depletion of these · resources. The argument that H is the government's duty to intervene and extend the lives of the mines is· also queried •. A detailed examination of the South African· gold mining taxation formula attempts to show how this type of· government intervention (in the for in of .a sliding scale taxation formula) results in uneconomic act ions by mine owners and non-optimal extraction patterns of the resource The contention is put forward that, given certain considerations, market ibrces should lead to the most optimal use of an exhaustible resource where property rights exist and are def inable0 Unlike common property resources, such as the fisheries, where market .forces fail to make the most optimal use of the resource, government intervention is unjustified The scope of the paper is intended to cover both the underlying theory of wasting assets and to relate this theory to gold in part icu1 ar., The determinants of the gold price will be considered as well as the effects of government intervention via· the gold mining taxation formula on the South· African gold mining industry. Hence, the thesis is divided into two sections: "Theoretical 11 and "Gold and Gold Mining". With regard to the method of paper - Literature. from as far back ,· as 1931 regarding .the theory of wasting assets, was collected and .analysed. The information for the section on 11 Gold and Gold Mining" was collected from the various organisations involved in the industry, notably the Chamber of Mines _and the Mineral Engineering Department . . 9f the University of the Witwatersrand. Information regarding the Gold Mining Taxation and Lease Formulae was obtained from the various Government Reports that have been printed since the introduction of the Mining Taxation. Act No. 6 in 191

    Central banks and climate justice: the case for green quantitative easing and its justification

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    This thesis makes two distinct contributions to the debates on climate justice. First, it offers a range of policy proposals that central banks can implement to make a faster transition to a sustainable or ‘green’ energy system. Second, it addresses the normative issues raised by some of these green monetary policy proposals, which involve shifting part of the costs of climate change mitigation and adaptation onto future generations. The project draws together debates from climate justice, intergenerational justice, and the politics of central banking. By taking an interdisciplinary perspective on the problems created by climate change it aims at proposing policy options for the central bank to combat the effects of global warming, and it defends them from the perspective of moral and political philosophy. The argument starts from a distinction between two kinds of principles of intergenerational climate justice. There are principles that tell us to mitigate climate change in order to protect future generations, and principles that tell us how to share mitigation costs fairly across generations. I will present the case for Green Quantitative Easing or green central banking as a range of policies to serve both kinds of principles of intergenerational climate justice. First, I show that central banks can, and should, serve intergenerational climate justice by implementing policies that cut emissions and thereby reduce the climate burden on future generations. Second, I argue that some of these policies justly shift part of the financial costs of mitigation onto future people, promoting a fairer distribution of mitigation costs between the present and future generations. The thesis presents a range of policy options that a green central bank can implement to meet the two principles of climate justice. I start with milder proposals and end with more radical but still realistic ones that are intergenerational in scope. These more radical proposals can be seen as instances of 'borrowing from the future': This is the idea that we need to take climate action now, but we can shift some of the costs onto future generations. Given the power of central banks to create money and buy bonds that can be kept on their balance sheet, Green Quantitative Easing is superior to alternative strategies, such as a global carbon tax or the World Climate Bank envisaged by Broome and Foley. Moreover, unlike Broome and Foley, I suggest that policies that ‘make the grandchildren pay’ for mitigation are not justified only due to the present generation’s unwillingness to bear the costs of urgent climate action. I also defend cost-shifting in enthusiastic terms: as a means to promote intergenerational distributive justice. 8 The justice-based defense of Borrowing from the Future is grounded in the Intergenerational Ability to Pay Principle (IGAPP) as a guiding principle to share the burden of climate change mitigation and adaptation across generations. I draw from Caney’s well-known pluralistic account for the intragenerational case and offer a pluralistic account of burden-sharing principles for the intergenerational case. However, I depart from Caney by arguing that the IGAPP should apply to a broader set of costs. Finally, I respond to one important objection raised by Gardiner: that making our grandchildren pay is a case of intergenerational extortion. I conclude that Green Quantitative Easing is a superior strategy to the alternatives proposed: a strategy that promotes urgent climate action now, whilst fairly sharing the costs with future generations
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