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Time Lotteries

Author

Listed:
  • Patrick DeJarnette

    () (Department of Economics, National Taiwan University)

  • David Dillenberger

    () (Department of Economics, University of Pennsylvania)

  • Daniel Gottlieb

    () (Department of Economics, Washington University in St. Louis)

  • Pietro Ortoleva

    () (Department of Economics, Princeton University)

Abstract

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world’s top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank location, not bank assets. Dynamically, we find that global banking connectedness displays both secular and cyclical variation. The secular variation corresponds to gradual increases/decreases during episodes of gradual increases/decreases in global market integration. The cyclical variation corresponds to sharp increases during crises, involving mostly cross-country, as opposed to within-country, bank linkages.

Suggested Citation

  • Patrick DeJarnette & David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2015. "Time Lotteries," PIER Working Paper Archive 15-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 31 Jul 2015.
  • Handle: RePEc:pen:papers:15-026
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Discounted Expected Utility; Epstein-Zin preferences; Non-Expected Utility; Risk aversion towards time lotteries;

    JEL classification:

    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General

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