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- Almenberg, Johan, et al.
(author)
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Attitudes towards Debt and Debt Behavior*
- 2021
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In: Scandinavian Journal of Economics. - : Wiley. - 0347-0520 .- 1467-9442. ; 123:3, s. 780-809
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Journal article (peer-reviewed)abstract
- We introduce a novel survey measure of attitude towards debt. Matching our survey results with panel data on Swedish household balance sheets from registry data, we show that our measure of debt attitude helps to explain individual variation in indebtedness as well as debt build-up and spending behavior in the period 2004-2007. As an explanatory variable, debt attitude compares well with a number of other determinants of debt, including education, risk-taking, and financial literacy. We also provide evidence that suggests that debt attitude is passed down along family lines and has a cultural element.
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| 2. |
- Almerud, Jakob, 1984-, et al.
(author)
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On the Design of Mortgage Default Legislation
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Other publication (other academic/artistic)abstract
- We characterize the condition under which mortgage defaults occur and the welfare consequences of recourse versus non-recourse under different types of mortgage contracts. We build a model where household endogenously chooses to default on their mortgage and where bank endogenously set the risk premium tailored to the kind of mortgage contract and the current exemption level. We find that even moderate recourse, i.e. some garnishment of wages and assets upon default, provides a potent means for discouraging defaults. Furthermore, we find that households prefer strong recourse to weak recourse, as it implies a reduction of the risk premium. Under non-recourse, households prefer ARMs over IOs and FRMs, while under moderate recourse they prefer IOs over ARMs and FRMs. Our analysis suggests that the moral hazard effects on labor supply under strong recourse do not outweigh the benefits of the reduction in the risk premium. In no regime do households prefer FRMs over ARMs.
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| 3. |
- Anderson, Anders, et al.
(author)
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Risk taking, behavioral biases and genes : Results from 149 active investors
- 2015
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In: Journal of Behavioral and Experimental Finance. - : Elsevier BV. - 2214-6350 .- 2214-6369. ; 6, s. 93-100
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Journal article (peer-reviewed)abstract
- Recent evidence suggests that there is genetic basis for economic behaviors, including preferences for risk taking. We correlate variation in risk taking and behavioral biases with two genetic polymorphisms related to the uptake of dopamine and serotonin (7R+ DRD4 and s/s 5-HTTLPR), hypothesizing that they are positively (negatively) related to risk taking. We use a small but detailed sample of active investors where we combine survey data with DNA samples and data from Swedish tax records that give us objective information about actual economic choices. We find a positive (negative) relationship between the dopamine (serotonin) gene and life expectancy bias, but no other significant correlations between the two genes and behaviors, including risk taking and measures of equity holdings. We acknowledge that our tests suffer from low power originating from the small sample size, which warrants some caution when interpreting these results.
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| 4. |
- Fausch, Jürg, 1982-
(author)
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Essays on Financial Markets and the Macroeconomy
- 2017
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Doctoral thesis (other academic/artistic)abstract
- Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. Using a reasonable calibration, the macroeconomic DSGE model is consistent with a number of stylized facts observed in financial markets like the equity premium, a negative real term spread, a positive nominal term spread and the predictability of stock returns, without compromising the model's ability to fit key macroeconomic variables. The interest rate smoothing in the monetary policy rule helps generate a low risk-free rate volatility which has been difficult to achieve for standard real business cycle models where monetary policy is neutral. In an application, I show that the model provides a framework for analyzing monetary policy interventions and the associated effects on asset prices and the real economy.Macroeconomic news and the stock market: Evidence from the eurozone. This paper is an empirical study of excess return behavior in the stock market in the euro area around days when important macroeconomic news about inflation, unemployment or interest rates are scheduled for announcement. I identify state dependence such that equity risk premia on announcement days are significantly higher when the interests rates are in the vicinity of the zero lower bound. Moreover, I provide evidence that for the whole sample period, the average excess returns in the eurozone are only higher on days when FOMC announcements are scheduled for release. However, this result vanishes in a low interest rate regime. Finally, I document that the European stock market does not command a premium for scheduled announcements by the European Central Bank (ECB).The impact of ECB monetary policy surprises on the German stock market. We examine the impact of ECB monetary policy surprises on German excess stock returns and the possible reasons for such a response. First, we conduct an event study to asses the impact of conventional and unconventional monetary policy on stock returns. Second, within the VAR framework of Campbell and Ammer (1993), we decompose excess stock returns into news regarding expected excess returns, future dividends and future real interest rates. We measure conventional monetary policy shocks using futures markets data. Our main findings are that the overall variation in German excess stock returns mainly reflects revisions in expectations about dividends and that the stock market response to monetary policy shocks is dependent on the prevailing interest rate regime. In periods of negative real interest rates, a surprise monetary tightening leads to a decrease in excess stock returns. The channels behind this response are news about higher expected excess returns and lower future dividends.
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| 6. |
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| 7. |
- Flodén, Martin, et al.
(author)
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HOUSEHOLD DEBT AND MONETARY POLICY : REVEALING THE CASH-FLOW CHANNEL
- 2021
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In: Economic Journal. - : Oxford University Press (OUP). - 0013-0133 .- 1468-0297. ; 131:636, s. 1742-1771
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Journal article (peer-reviewed)abstract
- We examine the effect of monetary policy on household spending when households are indebted and interest rates on outstanding loans are linked to short-term interest rates. Using administrative data on balance sheets and consumption expenditure of Swedish households, we reveal the cash-flow transmission channel of monetary policy. On average, indebted households reduce consumption spending by an additional 0.23-0.55 percentage points in response to a one-percentage-point increase in the policy rate, relative to a household with no debt. We show that these responses are driven by households that have some or a large share of their debt in contracts where interest rates vary with short-term interest rates, such as adjustable-rate mortgages (ARMs), which implies that monetary policy shocks are quickly passed through to interest expenses.
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| 8. |
- Ibert, Markus, et al.
(author)
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Are Mutual Fund Managers Paid for Investment Skill?
- 2018
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In: The Review of financial studies. - : Oxford University Press (OUP). - 0893-9454 .- 1465-7368. ; 31:2, s. 715-772
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Journal article (peer-reviewed)abstract
- Compensation of mutual fund managers is paramount to understanding agency frictions in asset delegation. We collect a unique registry-based dataset on the compensation of Swedish mutual fund managers. We find a concave relationship between pay and revenue, in contrast to how investors compensate the fund company (firm). We also find a surprisingly weak sensitivity of pay to performance, even after accounting for the indirect effects of performance on revenue. Firm-level fixed effects, revenues, and profits add substantial explanatory power for compensation.
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| 9. |
- Kessel, Dany, 1982-
(author)
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School Choice, School Performance and School Segregation : Institutions and Design
- 2018
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Doctoral thesis (other academic/artistic)abstract
- This thesis consists of four self-contained chapters. The first chapter, Are Parents Uninformed? – The Impact of School Performance Information on School Choice Behavior and Student Assignment, is co-authored by Elsisabet Olme. We investigate the effects of school performance information on school choice behavior and student assignment. A randomly selected group of students, about to choose middle school, were provided with information about the performance of the available schools. Households that received the information became more prone to choose a top-performing school. This effect is driven by native and high-skilled households. We simulate how this change in choice behavior translates into changes in school assignment. We find that enrollment in the top-performing schools increases but the effect is muted by limited capacity. We also find that the treatment increases the gap in school performance between advantaged and disadvantaged households, decreases segregation in terms of migration background and increases segregation in terms of parental skill-level. The second chapter, School Choice Priority Structures and School Segregation, is also co-authored by Elsisabet Olme. We evaluate how school segregation is affected by altering the priority structures in a school choice program. We evaluate three priority structures, one proximity-based, one lottery-based and one based on soft quotas. Using actual choice data and simulations we find that that priority structures do affect school segregation. When reserving seats for different groups, schools are less segregated compared to when using systems where priorities are based on proximity or a lottery. We find that the average costs in terms of welfare are limited but that the different priority structures benefit different subgroups. In the third chapter, Debiasing the Gender Differences in Willingness to Compete – The Effects of General Information on the Gender Gap and Efficiency, I explore if informing people about the gender differences in the willingness to compete and the accompanying inefficiencies can reduce said differences and inefficiencies. In an experiment where the participants got to choose whether to compete or not, a random sample of participants were informed about the gender differences in willingness to compete and the related inefficiencies. Among those not informed, men were much more likely to compete than women. There were also significant inefficiencies from low-performing men choosing to compete and high-performing women choosing not to. The treatment reversed the gender gap and significantly reduced inefficiency. The fourth chapter, The Housing Wealth Effect: Quasi-Experimental Evidence is co-authored by Roine Vestman and Björn Tyrefors Hinnerich. We exploit a quasi-experiment that occurred in Stockholm in 2007 when the contract of Stockholm's city airport was unexpectedly renewed. We estimate an immediate shock of approximately 16 percent to house prices close to the airport. This source of price variation is ideal to identify housing wealth effects since it is local and unrelated to variation in macroeconomic conditions. Using a household data set with granular geographic information on primary residence, we find an MPC on cars of less than 0.2 cents per dollar.
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| 10. |
- Koijen, Ralph, et al.
(author)
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Judging the quality of survey data by comparison with 'truth' as measured by administrative records : evidence from Sweden
- 2015
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In: Improving the Measurement of Consumer Expenditures. - : University of Chicago Press. - 9780226126654 ; , s. 308-346
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Book chapter (peer-reviewed)abstract
- We construct a new consumption measure as a residual from the budget constraint. Consumption is that part of income that is not used to increase assets. Our measurement relies on detailed Swedish registry data on the various sources of income and the composition of households’ asset portfolio, collected as part of the tax assessment process. The richness of the data allows us to impute a household-specific portfolio return, which is important to arrive at an accurate consumption measure with our method. We match the Swedish households that are surveyed with a standard European Household Budget Survey to our data set, allowing a detailed comparison of the two consumption measures. We find that the survey-based measures understate consumption for home-owners, high-income, and high-wealth households. Survey-based consumption appears unbiased for the average renter and, if anything, slightly understates consumption for the youngest and poorest in our sample. Taken together, the survey understates consumption inequality. Separately, Swedish car registry data on car transactions indicate severe reporting biases in the survey.
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