• As a result, estimates using only tax data may dramatically understate measured income inequality and obscure the magnitude and timing of idiosyncratic shocks to income and wealth. (marielschwartz.com)
  • In contrast to households with lower income/net worth, who are well-insured against firm-specific shocks, we find that high net worth households, most of whom are business owners, have very high exposures to idiosyncratic firm and aggregate risk. (marielschwartz.com)
  • Wage inequality arises from differences across individuals in their ability to learn new skills as well as from idiosyncratic shocks. (federalreserve.gov)
  • Specifically, we construct a life cycle model that features some key determinants of wages--most notably, human capital accumulation and idiosyncratic shocks. (federalreserve.gov)
  • And it will remain true as we face common challenges: from pandemics to economic shocks, security risks and climate change. (europa.eu)
  • We study optimal redistribution and insurance in a life-cycle economy with private idiosyncratic shocks. (online-stratterabuy.info)
  • Stronger labour market regulation may make it easier to borrow against future income, thus allowing shocks to be smoothed to a greater extent. (isiarticles.com)
  • Firstly, the presence of an international insurance arrangement suggests that domestic consumption should not respond strongly to idiosyncratic shocks. (isiarticles.com)
  • 1992) who allow for optimal capital investment and leisure choice in a Real Business Cycle model with productivity shocks. (isiarticles.com)
  • Do Shocks to Intermediaries' Balance Sheet Impact Aggregate Risk Premium? (umn.edu)
  • In the model, contract and down payment choices, and the corresponding mortgage interest rates, are endogenous for heterogeneous households that are subject to idiosyncratic income and house price shocks, as well as to an aggregate house price shock. (fatihfazilet.com)
  • Optimal capital flow management instead requires net outflows, suggesting topsy-turvy capital flows following markup shocks. (fedinprint.org)
  • We characterize the optimal linear tax on capital in an Overlapping Generations model with two period lived households facing uninsurable idiosyncratic labor income risk. (safe-frankfurt.de)
  • We answer this question by characterizing the optimal shape of non-linear income and wealth taxes in a dynamic general equilibrium model with uninsurable idiosyncratic risk. (econbiz.de)
  • We study the role of idiosyncratic income risk for aggregate fluctuations within a simple heterogeneous households framework. (upf.edu)
  • In this paper we compute the optimal tax and education policy transition in an economy where progressive taxes provide social insurance against idiosyncratic wage risk, but distort the education decision of households. (safe-frankfurt.de)
  • We leverage detailed Norwegian administrative data to provide an in-depth examination of the asset allocation decisions and sources of background risk faced by households in the upper tail of the wealth distribution. (marielschwartz.com)
  • The model incorporates multidimensional heterogeneity, idiosyncratic risk and borrowing constraints. (repec.org)
  • History-dependent wage contracts generate a form of labor-induced operating leverage, thus leading to heterogeneity in firms' risk exposures. (umn.edu)
  • We circumvent these issues by linking owners of private businesses to their asset positions and firms' operating performance, which allows us to characterize asset owners' shares of income as it accrues and to paint a much more detailed picture of risk exposures for this key group. (marielschwartz.com)
  • AI has potential to provide advisors with a distinctive approach to active management that seeks to provide both diversification and idiosyncratic alpha. (etftrends.com)
  • Broad diversification, professional management from fund managers, low initial investments, and easy redemption, permit small investors to participate in low-risk liquid investments in the financial markets. (scirp.org)
  • As market concentration is on the rise, diversification provides investors a critical tool to mitigate concentration risk and to generate more consistent returns. (ssga.com)
  • The Systematic Equity-Active 1 team believes that diversification is a critical factor for investors to not only combat concentration risk, but to also generate more consistent performance in portfolios. (ssga.com)
  • Is redistributive policy of EU welfare state effective in tackling income inequality? (econbiz.de)
  • We study optimal monetary policy during times of exceptionally high global demand for tradable goods, relative to non-tradable ones. (upf.edu)
  • These results suggest that labour market rigidities improve the international sharing of consumption risks by fostering a more efficient intra-national allocation of risk. (isiarticles.com)
  • The asset allocation is set using a two-year outlook and reviewed on a monthly basis using a proprietary quantitative model to inform our opinion of the optimal allocation to equity, fixed income and cash. (waterfrontassetmanagement.com)
  • In addition to bottom-up idiosyncratic security selection, we believe a thoughtful quantitative portfolio construction and risk allocation process can potentially produce consistent and uncorrelated excess returns against peer groups, which can benefit well-diversified investors. (beyondbullsandbears.com)
  • We think this approach enables a better portfolio construction process, not only from a bottom-up perspective, but also by isolating sectors and separating the riskier portions from the higher-quality portions for better risk allocation. (beyondbullsandbears.com)
  • Such a "de-globalisation" scenario, if confirmed, could become self-validating and have profound effects on the degree of international risk-sharing, spillovers and the global allocation of savings, and therefore on global long-term growth. (bis.org)
  • Our model predicts that retiree spending will exhibit some volatility as individuals seek to preserve their wealth and their optimal asset allocation should slowly de-risk over time. (pimco.com)
  • To evaluate the optimal contract used to obtain the target duration exposure, we replace the 10% U.S. long Treasury exposure within the fixed income allocation with a Libor exposure and add a swap overlay leveraged to obtain the same duration as a representative U.S. long Treasury index. (pimco.com)
  • Finally, we find that targeted search substantially reduces income inequality across married couples, even when compared with random matching, by producing a large number of matches between low income and high income individuals. (stlouisfed.org)
  • These estimates help to inform models of optimal portfolio choice, the dynamics of income and wealth inequality, and asset price dynamics. (marielschwartz.com)
  • Consistent with the model, we empirically document that countries with more progressive labor income tax schedules have (i) significantly lower before-tax wage inequality at different points in time and (ii) experienced a smaller rise in wage inequality since the early 1980s. (federalreserve.gov)
  • First, we show that countries with more progressive labor income tax schedules have significantly lower wage inequality at different points in time. (federalreserve.gov)
  • Second, we show that countries with more progressive income taxes have also experienced a smaller rise in wage inequality over time, and this relationship is especially strong above the median of the wage distribution. (federalreserve.gov)
  • It is nevertheless possible to generate lifelong incomes by investing in survivor funds over successive time intervals. (researchgate.net)
  • The value-add of active management is that we deconstruct the credit universe into subsets to take advantage of inefficiencies and attempt to generate additional alpha, while doing a better job of incorporating our research ideas into portfolios and producing a better risk-adjusted outcome on a consistent basis. (beyondbullsandbears.com)
  • While hedge fund investing uses risk-taking to generate abnormal profits, mutual fund investing is restricted by corporate practice, to modest, low-risk returns. (scirp.org)
  • The aim is to find out if fund managers have sufficient skill to generate risk adjusted return in order to cover the cost imposed on the investors. (grin.com)
  • In this paper we examine the role of labour market rigidities in the context of international consumption risk sharing. (isiarticles.com)
  • Secondly, the trading of risk internationally suggests that consumption growth rates should be highly correlated across countries (see for example Lewis, 1999 and Obstfeld and Rogoff, 2000). (isiarticles.com)
  • M. Di Giacinto (with F. Ferrante) "Optimal consumption and labor choices with learning-by-doing", Journal of Theoretical Economics Letters. (bifelab.com)
  • M. Di Giacinto (with F. Ferrante) "Idiosyncratic learning, creative consumption and well being", Advances in New Austrian Economics, 10, 41-73, 2007. (bifelab.com)
  • The risk of having insufficient savings or even running out of money in retirement is not accounted for in typical economic models even though it cannot be hedged in financial markets and may affect retirees' consumption and investment behavior. (pimco.com)
  • We study the policy implications of this fiscal externality in an optimal dynamic tax framework. (repec.org)
  • M. Di Giacinto (with X. Cheng & T.-H. Wang) "Optimal execution with uncer tain order fills in Almgren-Chriss framework", Quantitative Finance, 17(1):55-69, 2017. (bifelab.com)
  • Using a nonlinear framework, I find that when the exchange rate risk is below a threshold level, exchange rate is sensitive to both unexpected interest rate change and VIX (Chicago Board Options Exchange Volatility Index). (fatihfazilet.com)
  • Using a variational approach we derive a formula for the revenue effect of an increase in college education subsidies and for the excess burden of income taxation caused by the college margin. (repec.org)
  • The excess burden of income taxation is only slightly altered by the college margin and therefore the optimal Mirrleesian income tax schedule is barely affected as well, in particular if subsidies are set at their optimal level. (repec.org)
  • Optimal Capital Income Taxation with Incomplete Markets, Borrowing Constraints, and Constant Discounting" (PDF). (wikipedia.org)
  • We study optimal Pareto-improving factor taxation when agents are heterogeneous in their labor productivity and wealth and markets are complete. (upf.edu)
  • The question how individuals should (optimally) annuitize their wealth remains of high relevance in light of longevity risk and volatile capital markets. (researchgate.net)
  • For all three systems we find that welfare gains triggered by a combination of improvements in risk sharing and wealth redistribution dominate welfare losses caused by tax distortions and ex-post moral hazard effects. (mdsoar.org)
  • The growth momentum of the global economy continued to be steady in the second quarter of 2018, but downside risks related to trade tariffs have remained prominent. (europa.eu)
  • Tax incentives to hold assets indirectly, strong bequest motives, and high savings rates create a nontrivial disconnect between the timing of changes in total income and changes in taxable income and can imply that a substantial degree of earned income may never appear on income tax forms. (marielschwartz.com)
  • Openness to international financial markets should allow residents of different countries to pool various risks by enabling them to trade (Arrow-Debreu) claims on international assets. (isiarticles.com)
  • This effect becomes stronger when owners reside in low-income ZIP codes or own no real estate assets. (umn.edu)
  • The average public plan (not only in the U.S. but across developed markets) allocates about 22% of its assets to fixed income. (pimco.com)
  • [ 1 ] Uncertainties related to global factors, notably the threat of protectionism, remain prominent, and the risk of persistent heightened financial market volatility continues to warrant monitoring. (europa.eu)
  • We also show how the optimal nonlinear income tax problem is altered by the college margin. (repec.org)
  • While short-term performance has been less than optimal, we are confident that our managers will deliver the required alpha in the long term. (wm.edu)
  • Concentrated investment approaches are less than optimal in volatile market environments. (ssga.com)
  • Undernutrition affects millions of children in low- and middle-income countries (LMIC) and underlies almost half of all deaths among children under 5 years old. (bvsalud.org)
  • The total social benefits of college education exceed the private benefits because the government receives a share of the monetary returns in the form of income taxes. (repec.org)
  • We incorporate both risks into an analytically tractable model with two overlapping generations. (safe-frankfurt.de)
  • An analytical expression that closely approximates the number of fund members who receive a stable income is derived and is seen to be independent of the mortality model. (researchgate.net)
  • We use a Bewley-Grossman lifecycle model calibrated to match the lifecycle structure of earnings and health risks in the US. (mdsoar.org)
  • What's going on is that debt levels are a pretty boring, stable factor, but profits are volatile and dependent on nominal national income levels. (idiosyncraticwhisk.com)
  • Uninsured Idiosyncratic Risk and Aggregate Saving" (PDF). (wikipedia.org)
  • Setting policy according to a fixed rule with pre-determined coefficients on inflation and the output gap is at the best of times likely to lead to sub-optimal policy settings, given the uncertainties in measurement of the output gap. (bis.org)
  • We produce indicators and datasets to inform the public, policymakers, and researchers about economic conditions, including inflation, employment, and risks to the financial system. (clevelandfed.org)
  • The question should be, "How much can we accommodate before we risk inflation? (idiosyncraticwhisk.com)
  • In the euro area, sovereign bond yields have declined since the 14 June meeting, on the back of receding volatility in sovereign debt markets and declining risk-free rates. (europa.eu)
  • The results particularly underline the importance of sovereign debt risk, equity return differentials and risk appetite. (fatihfazilet.com)
  • I further examine some reasons for risk management failure where a CEO may ignore the risk manager when he suggests that safe project or where the risk managers may not be able to coordinate their action to convince the CEO to choose the safe project. (umn.edu)
  • Some evidence suggests that reduced microbial exposure during infancy and early childhood result in a slower postnatal maturation of the immune system through a reduction of the number of T regulatory (T reg ) cells and a possible delay in the progression to an optimal balance between TH 1 and TH 2 immunity, which is crucial to the clinical expression of allergy and asthma (hygiene hypothesis). (medscape.com)
  • We show that incomplete risk-sharing due to agency friction amplifies the conditional volatility of the pricing kernel. (umn.edu)
  • Thus, high-quality versus low-quality technology companies have little in common with each other in terms of risk and volatility. (beyondbullsandbears.com)
  • In order to better bucket risk across a portfolio, we tri-furcate the sector universe into low-beta, mid-beta and high-beta buckets based on historical spread volatility. (beyondbullsandbears.com)
  • In this period of higher interest rates, the quest to capture alpha and mitigate risk in corporate credit requires a more refined approach. (beyondbullsandbears.com)
  • The details and methodology of our analysis is detailed in "Optimal Yield-Curve Positioning for Multi-Asset Portfolios. (pimco.com)
  • To determine which point along the yield curve offers the best returns per unit of risk, PIMCO has long looked at two key measures: carry and roll-down. (pimco.com)
  • M. Di Giacinto (with S. Federico, F. Gozzi & E. Vigna) "Income drawdown option with minimum guarantee", European Journal of Operational Research, 234(3), 610-624, 2014. (bifelab.com)
  • Fortunately, a more nuanced approach may provide a less costly way to blunt the damage from an equity drawdown, while also potentially improving the risk/return trade-off. (pimco.com)
  • Since survivor funds correspond to pure endowment insurance contracts without the life table guarantee and since life annuities can be obtained as a sequence of pure endowment contracts with increasing maturities, lifelong incomes can be generated by investing in survivor funds with different time horizons. (researchgate.net)
  • In addition, rigid labour markets may help to enforce implicit contracts that shift risk from employees to owners of firms, who, in turn, may diversify risk internationally. (isiarticles.com)
  • This paper quantifies the effect of government intervention in the U.S. housing market to determine whether it can explain the nonexistence of mortgage contracts that are contingent on house prices, which are found to be optimal in the mortgage design literature. (fatihfazilet.com)
  • So, every time nominal incomes start to disappoint, the first incomes to be affected are profits. (idiosyncraticwhisk.com)
  • Imposing mild conditions, we show that individual risk can be fully diversified if the size of the group tends to infinity. (researchgate.net)
  • I show that having a separate risk manager is not only more profitable for banks but is also socially efficient. (umn.edu)
  • Quantitatively, we show that these implications of agency frictions allow us to jointly account for the high level and significant time-variation of the equity premium, a low and smooth risk-free interest rate, a sizable value premium and large cross-sectional standard deviation of firms' investment. (umn.edu)
  • We ask whether a pay-as-you-go financed social security system is welfare improving in an economy with idiosyncratic productivity and aggregate business cycle risk. (safe-frankfurt.de)
  • Local Government Financing Vehicles: A Growing Risk for China's Economy? (pimco.com)
  • This paper contrasts high-risk, hedge fund trading, with low-risk, mutual fund trading, in terms of their differing utility functions. (scirp.org)
  • The core distinction between hedge fund investing and mutual fund investing lies in the attitude toward risk. (scirp.org)
  • A s major stock markets hit record highs, growing numbers of institutional investors are buying long U.S. Treasuries to hedge equity risk. (pimco.com)
  • We researched the optimal spot on the yield curve to hedge equity risk with long Treasuries. (pimco.com)
  • An application of the result is to calculate the length of time for which the pooled annuity fund can provide the desired level of income stability. (researchgate.net)
  • Individuals should consult with their own financial advisors to determine the most appropriate allocations for their financial situation, including their investment objectives, time frame, risk tolerance, savings and other investments. (pimco.com)
  • Our approach includes taking active bets to gain exposure our alpha factors, yet at the same time, we are focused on minimizing idiosyncratic, or stock-specific risk - factors which we have less confidence in predicting. (ssga.com)
  • Questionnaires evaluated the association between a variety of lifestyle, behavioral (i.e., hobbies and activities), and occupational factors and the risk of ALS, including the duration of time between exposure and ALS onset, and exposure frequency. (cdc.gov)
  • Such behavioral bias results in potentially higher portfolio risk versus the benchmark, or beta. (beyondbullsandbears.com)
  • Empirical evidence however strongly indicates that international risk sharing is rather limited. (isiarticles.com)
  • Other factors, like debt levels and income shares, tend to evolve at a glacial pace. (idiosyncraticwhisk.com)
  • Not all issuers in the same industrial sector are similar in terms of credit ratings or other idiosyncratic factors, thus, risk profiles differ from issuer to issuer. (beyondbullsandbears.com)
  • However, investors who allocate their money to active managers potentially face the risk of human bias in the decision making process. (etftrends.com)
  • With higher bond yields and stock dividends, we believe retirees could have greater potential to earn income in retirement. (pimco.com)
  • This caused interest rates to rise significantly during the year, putting downward pressure on equity valuations and upward pressure on fixed-income yields. (wm.edu)
  • Normally, fixed-income investment would provide some ballast to a portfolio facing such hostility in the equity markets, but that was not the case this fiscal year. (wm.edu)
  • It is generally agreed, however, that horizontal equity (equal treatment of persons with equal real incomes) is desirable. (online-stratterabuy.info)
  • The Waterfront Balanced Strategy seeks to provide a total return in excess of a 60/40 blended benchmark of equity (S&P 500) and fixed income (Bloomberg Barclays U.S. Government / Credit Index). (waterfrontassetmanagement.com)
  • A separate and interesting question is the amount of duration to take to offset equity risk - a question we do not answer in this exercise. (pimco.com)
  • This paper studies differences in health care usage and health outcomes between low- and high-income individuals. (stlouisfed.org)
  • In addition, low-income individuals are less likely to incur any medical expenditures in a given year, yet, when they do, their expenses are more likely to be extreme. (stlouisfed.org)
  • Search and Work in Optimal Welfare Programs ," Working Papers 2012-1, Princeton University. (repec.org)
  • Search and Work in Optimal Welfare Programs ," CEPR Discussion Papers 9389, C.E.P.R. Discussion Papers. (repec.org)
  • Search and Work in Optimal Welfare Programs ," NBER Working Papers 18666, National Bureau of Economic Research, Inc. (repec.org)
  • However, such a radical reform faces political impediments due to opposing welfare effects across different income groups. (mdsoar.org)
  • To do so, we confront measurement challenges which are particularly relevant for this group and are normally very difficult to address in most developed countries, even with administrative income tax data. (marielschwartz.com)
  • Through such arrangements countries may trade idiosyncratic risk, which should have two impacts. (isiarticles.com)
  • We find that an idiosyncratic shock with higher kurtosis decreases the equilibrium interest rate, whereas higher left skewness increases it. (fatihfazilet.com)
  • This thesis analyzes the effects of global risk appetite and interest rate policy on $/T.L. exchange rate. (fatihfazilet.com)
  • On the other hand, when the exchange rate risk is high, it becomes insensitive to unexpected interest rate change and significantly more sensitive to VIX. (fatihfazilet.com)
  • As we rank high-quality to low-quality issuers, the takeaway is there is a need to bucket beta risk more effectively so that the opportunity set is truly competing with the more appropriate peer group. (beyondbullsandbears.com)
  • Credit managers have generally sought to increase their investment returns by taking on more duration risk than the benchmark. (beyondbullsandbears.com)
  • We revisit Jensen's (1986) manager-investor relationship fraught with conflicting interests over the use of firm resources in a dynamic optimal contracting environment with costly external finance. (umn.edu)
  • Josh Lohmeier of Franklin Templeton Fixed Income uncovers a dynamic portfolio construction process that is adaptable to various kinds of investors and repeatable in different types of environments. (beyondbullsandbears.com)
  • For most drug treatments introduced in the past 2-3 decades, the information available to pregnant women and their physicians is insufficient to determine whether the benefits exceed the teratogenic risks. (medscape.com)
  • As mentioned previously, the investment environment for traditional equities and fixed-income securities was challenging in the year. (wm.edu)
  • To do this, investment returns are held constant, and systematic longevity risk is omitted. (researchgate.net)
  • Optimal investment decisions in active management result from the careful interpretation of data. (etftrends.com)
  • The "risk-free rate" can be considered the return on an investment that, in theory, carries no risk. (pimco.com)
  • From Sectors and Smart Beta to Fixed Income, SPDR Exchange Traded Funds (ETFs) give you wide access to diverse investment opportunities. (ssga.com)
  • When targeting this increase to children in the lowest parental income tercile, it is even up to 165 percent self-financing. (repec.org)
  • The year began in January with a strong reversal - characterized by a rally in higher risk, lower quality, and more speculative names. (ssga.com)
  • We find strong vertical sorting on income and education, and horizontal sorting on race. (stlouisfed.org)
  • Following Denuit (2019, ASTIN Bulletin , 49 , 591-617), participants are assumed to adopt the conditional mean risk sharing rule introduced in Denuit and Dhaene (2012, Insurance: Mathematics and Economics , 51 , 265-270) to assess their respective shares in mortality credits. (researchgate.net)
  • For large groups, we derive simple, hierarchical approximations of the conditional mean risk sharing rule. (researchgate.net)