Ons Maximale Inkomen

We schrijven het begin van een nieuw millennium. Een Amsterdamse, Maastrichtse en Rotterdamse hoogleraar economie zitten in de skybox van het Tinbergen Instituut voor fundamenteel economisch onderzoek naar Feyenoord-Ajax te kijken en bespreken onderwijl het inburgeringsprogramma van de toekomstige prinses. Hen is door Kok gevraagd een salaris vast te stellen passend bij haar status en toekomstige werkzaamheden, maar tevens te letten op de bodem van de schatkist die al weer in zicht is door de komende ambtelijke loonronde. Dit doet de temperatuur in de skybox flink stijgen

Asset market linkages in crisis periods

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds. Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration JEL Classification: G1, F3, C49Bivariate Extreme Value Analysis, Extreme Co-movements, Flight to Quality

Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach

A simple auction-theoretic framework is used to examine symmetric litigation environments where the legal ownership of a disputed asset is unknown by the court. The court observes only the quality of the case presented by each party, and awards the asset to the party presenting the best case. Rational litigants influence the quality of their cases by hiring skillful attorneys. This framework permits us to compare the equilibrium legal expenditures that arise under a continuum of legal systems. The British rule, American rule, and some recently proposed legal reforms are special cases of our model.Auctions, contests, litigation, fee-shifting

Banking System Stability: A Cross-Atlantic Perspective

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks%u2019 equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks%u2019 exposure to each other (%u201Ccontagion risk%u201D) and to systematic risk. Moreover, by applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. Finally, for Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in Europe. On both sides of the Atlantic systemic risk has increased during the 1990s.

The Herodotus Paradox

The Babylonian bridal auction, described by Herodotus, is regarded as one of the earliest uses of an auction in history. Yet, to our knowledge, the literature lacks a formal equilibrium analysis of this auction. We provide such an analysis for the two-player case with complete and incomplete information, and in so doing identify what we call the “Herodotus Paradox.”

The Forward Premium Puzzle and Latent Factors Day by Day

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-specific and a time- to-maturity effect. Once we do this, we find that the coefficients on the forward premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk.forward premium puzzle, futures rates, latent factor

Contests with rank-order spillovers

This paper presents a unified framework for characterizing symmetric equilibrium in simultaneous move, two-player, rank-order contests with complete information, in which each player’s strategy generates direct or indirect affine “spillover” effects that depend on the rank-order of her decision variable. These effects arise in natural interpretations of a number of important economic environments, as well as in classic contests adapted to recent experimental and behavioral models where individuals exhibit inequality aversion or regret. We provide the closed-form solution for the symmetric Nash equilibria of this class of games, and show how it can be used to directly solve for equilibrium behavior in auctions, pricing games, tournaments, R&D races, models of litigation, and a host of other contests. – Contests ; auctions ; spillovers -- Dieser Artikel entwickelt einen einheitlichen Rahmen zur Charakterisierung des symmetrischen Gleichgewichts eines Wettkampfes unter vollständiger Information, in dem zwei Spieler gleichzeitig ihren Einsatz wählen und die Strategie eines Spielers direkte oder indirekte Auswirkung auf den Gegenspieler hat. Diese Externalität hängt entscheidend von der Rangfolge der Entscheidungsvariablen ab. Solche Effekte finden sich in einer Vielzahl wichtiger ökonomischer Problemstellungen. Auch typische Wettkämpfe können in diesem Rahmen analysiert werden, wenn sie im Sinne jüngster experimenteller und verhaltensorientierter Modelle angepasst werden und angenommen wird, dass Individuen eine Abneigung gegen Ungleichheit haben oder Bedauern empfinden, falls sie einen unnötig hohen Einsatz gewählt haben. Wir geben das symmetrische Nash- Gleichgewicht für diese Klasse von Spielen an und zeigen, wie es direkt angewendet werden kann, um das gleichgewichtige Verhalten in Auktionen, Preissetzungsspielen, Wettkämpfen, Wettbewerb um Forschung und Entwicklung, Modellen für Rechtsstreitigkeiten und einer Reihe weiterer Wettkämpfe zu analysieren.

Fundamental Volatility is Regime Specific

A widely held notion holds that freely floating exchange rates are excessively volatile when judged against fundamentals and when moving from fixed to floating exchange rates. We re-examine the data and conclude that the disparity between the fundamentals and exchange rate volatility is more apparent than real, especially when the Deutsche Mark, rather than the dollar is chosen as the numeraire currency. We also argue, and indeed demonstrate, that in cross-regime comparisons one has to account for certain ‘missing variables’ which compensate for the fundamental variables’ volatility under fixed rates.