Publications des institutions partenaires
901 - 920 of 1296
Liquidity management and overnight rate calendar effects: Evidence from German banks
We document a general pattern in the euro area overnight interbank rate (EONIA) and analyze how German banks compared to other EMU banks respond to these predictable changes in the price for reserve holdings. At the beginning of the maintenance period, when the EONIA is typically above average, we observe that German banks hold substantially less reserves than their daily average...
Institution partenaire
English / 01/03/2008
Subprime und die Schweiz
Nach dem Ausbruch der Subprime-Krise vor einem halben Jahr zeigten sich rasch weltweit an unerwarteten Stellen unerwartete Schäden in unerwarteter Höhe. Mittlerweile sind die Ursachen und Mängel, die zur Krise führten, erkannt. Es sind sieben.
Institution partenaire
Deutsch / 16/02/2008
Local minimizers of functionals with multiple volume constraints
We study variational problems with volume constraints, i.e., with level sets of prescribed measure. We introduce a numerical method to approximate local minimizers and illustrate it with some two-dimensional examples. We demonstrate numerically nonexistence results which had been obtained analytically in previous work. Moreover, we show the existence of discontinuous dependence of...
Institution partenaire
English / 07/02/2008
Prospect theory for continuous distributions
We extend the original form of prospect theory by Kahneman and Tversky from finite lotteries to arbitrary probability distributions, using an approximation method based on weak-⋆ convergence. The resulting formula is computationally easier than the corresponding formula for cumulative prospect theory and makes it possible to use prospect theory in future applications in economics and...
Institution partenaire
English / 01/02/2008
Computational aspects of general equilibrium theory: refutable theories of value
This monograph presents a general equilibrium methodology for microeconomic policy analysis. It is intended to serve as an alternative to the now classical, axiomatic general equilibrium theory as exposited in Debreu`s Theory of Value (1959) or Arrow and Hahn`s General Competitive Analysis (1971).
The methodology proposed in this monograph does not presume the existence of...
Institution partenaire
English / 01/01/2008
Computation of general equilibria (new developments)
In this article, I review two recent developments in the theory of computation of general equilibria. First, following Brown, DeMarzo and Eaves (1996) several papers have developed globally convergent algorithms for the computation of general equilibria in models with incomplete asset markets. I review some of the developments in that area. Second, new developments in computational...
Institution partenaire
English / 01/01/2008
Markov equilibria in macroeconomics
We review the recent literature in macroeconomics that analyses Markov equilibria in dynamic general equilibrium model. After defining the Markov equilibrium concept we first summarize what is known about the existence and uniqueness of such equilibria in models where sequential equilibria can be obtained by solving a suitable social planner problem. We then discuss the existence...
Institution partenaire
English / 01/01/2008
What is behind the priority heuristic?: a mathematical analysis and comment on Brandstätter, Gigerenzer, and Hertwig (2006)
Comments on the article by E. Brandstätter, G. Gigerenzer, and R. Hertwig. The authors discuss the priority heuristic, a recent model for decisions under risk. They reanalyze the experimental validity of this approach and discuss how these results compare with cumulative prospect theory, the currently most established model in behavioral economics. They also discuss how general...
Institution partenaire
English / 01/01/2008
Risk Prediction: A DWARF-like Approach
A large proportion of the most viable time series models used in empirical finance for density and value-at-risk forecasting are estimated with maximum likelihood methods. By way of its definition, the likelihood implicitly places equal weight on each of the observations in the sample, but this need not be optimal, depending on the extent to which the model and the true data...
Institution partenaire
English / 01/01/2008
Uniform saddlepoint approximations for ratios of quadratic forms
Ratios of quadratic forms in correlated normal variables which introduce noncentrality into the quadratic forms are considered. The denominator is assumed to be positive (with probability 1). Various serial correlation estimates such as least-squares, Yule–Walker and Burg, as well as Durbin–Watson statistics, provide important examples of such ratios. The cumulative distribution...
Institution partenaire
English / 01/01/2008
Economic growth through the development process
In this paper, I discuss some recent research in the area of economic growth and development emphasizing the endogenous dynamics of policies and organizational forms in a world characterized by credit-market and labor-market imperfections. I present a simple model of technological convergence featuring an endogenous evolution of contractual arrangements. The key assumption is that...
Institution partenaire
English / 01/01/2008
Combating market abuse: the new Swiss circular on market behavior: regulatory challenges for fair financial markets
Institution partenaire
English / 01/01/2008
Are pension fund managers overconfident?
Empirical studies show that people tend to be overconfident about the precision of their knowledge, leading to miscalibration. Consistent with this, we found that on overage the decision makers of Swiss pension plans provide too narrow confidence intervals when asked to estimate the past return of various assets. Their confidence intervals are also systematically too narrow in their...
Institution partenaire
English / 01/01/2008
Preferences as human capital: rational choice theories of endogenous preferences and socioeconomic changes
We discuss the theoretical and empirical foundations of modern economic theories of cultural transmission. The importance of cultural factors in shaping economic and social transformations has been the focus of a long-standing debate in social sciences since the XIXth Century. Neoclassical economics has remained at the
marging of this debate. However, there has been a recent...
Institution partenaire
English / 01/01/2008
Evaluating lotteries, risks, and risk-mitigation programs
Two experiments were designed to explore the existence of systematic differences in risk perceptions and risk attitudes between Chinese and US participants. The first experiment involved ranking monetary lotteries using measures of perceived riskiness and willingness to pay (WTP). Several simple heuristics were evaluated to predict perceived riskiness and WTP. Using WTP responses,...
Institution partenaire
English / 01/01/2008
Der Finanzplatz Zürich 2008
Das Institut für schweizerisches Bankwesen der Universität Zürich hat im Auftrag des Verbandes Zürcherischer Kreditinstitute eine Studie über den Finanzplatz Zürich und dessen Bedeutung für die Kantone Zürich, Zug und Schwyz erstellt.
Die Studie zeigt, dass sich der Finanzplatz Zürich in den letzen Jahren weit über die Zürcher Stadtgrenze hinaus ausgebreitet hat und heute...
Institution partenaire
Deutsch / 01/01/2008
Das Paradox der Geldwäschereibekämpfung: eine ökonomische Analyse
Institution partenaire
Deutsch / 01/01/2008
Aktienbesitz in der Schweiz 2008
Das Swiss Banking Institute der Universität Zürich präsentiert die Neuauflage der bereits in den Jahren 2000, 2002, 2004 und 2006 durchgeführten Studie "Aktienbesitz in der Schweiz". Die Studie weist den Anteil der direkten und indirekten Aktionäre in der Schweiz nach und zeichnet ein detailliertes Bild des Anlageverhaltens privater Haushalte.
Institution partenaire
Deutsch / 01/01/2008
Portrait des Finanzplatzes Schweiz: Schlussbericht 2007
Institution partenaire
Deutsch / 01/01/2008
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