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Measuring Biases in Expectation Formation

Autor: Peters, Florian, Kucinskas, Simas

We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating th

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______1687::35751090100d9f995b641275eab6c4d6
https://hdl.handle.net/10419/185577

Aggregate Risk and Efficiency of Mutual Funds

Autor: Kucinskas, Simas

Publikováno v: Kucinskas, S 2015 ' Aggregate Risk and Efficiency of Mutual Funds ' TI Discussion Paper, no. 15-113/VI, Tinbergen Institute, Amsterdam . < http://papers.tinbergen.nl/15113.pdf >

I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces undiversifia

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::4491956e968d6b1ef8827a07051a52b2
https://research.vu.nl/en/publications/f1b89c51-10e6-43f8-bbfa-2c7b5abfcfa6