How Income Risks Affect Financial Markets - An Empirical Analysis of Three Transmission Channels

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dc.contributor.advisor Grammig, Joachim (Prof. Dr.)
dc.contributor.author Langen, Tobias
dc.date.accessioned 2016-04-21T08:15:18Z
dc.date.available 2016-04-21T08:15:18Z
dc.date.issued 2016
dc.identifier.other 468907963 de_DE
dc.identifier.uri http://hdl.handle.net/10900/69363
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-dspace-693633 de_DE
dc.identifier.uri http://dx.doi.org/10.15496/publikation-10778
dc.description.abstract This thesis analyzes how financial markets are affected by income risk and unemployment. I focus on two sectors of financial markets and evaluate three potential transmission channels. To model how asset returns are affected by individual income risk, two possible approaches are developed and a third one examines how government bond yields are affected by aggregate income risk in the form of unemployment changes. The first and more traditional approach models individual income risk as a factor in a linear asset pricing model. With this model I examine how income risk influences the willingness of investors to take risks and the premium different types of portfolios have to pay in order to compensate for the portfolio's co-movement with the risk factor. The second approach considers psychological biases that influence how investors perceive income changes. Specifically, I test for the presence of behavioral effects that may arise from the exposure to individual income risk. A third study shifts the focus to a macroeconomic level. Here the relationship between government bond yields and unemployment is analyzed in a high-frequency heterogeneous vector-autoregression. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podok de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_mit_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_mit_pod.php?la=en en
dc.subject.classification Ökonometrie de_DE
dc.subject.ddc 330 de_DE
dc.title How Income Risks Affect Financial Markets - An Empirical Analysis of Three Transmission Channels en
dc.type Dissertation de_DE
dcterms.dateAccepted 2015-10-21
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE

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