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    <title>EconStor Collection: Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)</title>
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  <item rdf:about="http://hdl.handle.net/10419/67054">
    <title>Uniqueness of Markov equilibrium in stochastic OLG models with nonclassical production</title>
    <link>http://hdl.handle.net/10419/67054</link>
    <description>Title: Uniqueness of Markov equilibrium in stochastic OLG models with nonclassical production
&lt;br/&gt;
&lt;br/&gt;Authors: Hillebrand, Marten
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper studies Markov Equilibria (ME) corresponding to recursive equilibria on natural state space in the stochastic OLG model extended to include non-additive utility, nonclassical production, and Markovian production shocks. Specifically, we provide sufficient conditions under which the ME in unique. It turns out that uniqueness for a large class of economies and that restrictions either on the consumption side or the production side alone are sufficient to garantuee this result. We also discuss additional properties such as continuity or smoothness of the equilibrium mappings and whether additional recursive or non-recursive euilibria exist.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/67053">
    <title>The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds</title>
    <link>http://hdl.handle.net/10419/67053</link>
    <description>Title: The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
&lt;br/&gt;
&lt;br/&gt;Authors: Schuster, Philipp; Uhrig-Homburg, Marliese
&lt;br/&gt;
&lt;br/&gt;Abstract: We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity premiums are higher with the largest increase for short-term maturities. Moreover, their reaction to changes in fundamentals is only significant during crises: premiums of all maturities depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/67054">
    <title>Uniqueness of Markov equilibrium in stochastic OLG models with nonclassical production</title>
    <link>http://hdl.handle.net/10419/67054</link>
    <description>Title: Uniqueness of Markov equilibrium in stochastic OLG models with nonclassical production
&lt;br/&gt;
&lt;br/&gt;Authors: Hillebrand, Marten
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper studies Markov Equilibria (ME) corresponding to recursive equilibria on natural state space in the stochastic OLG model extended to include non-additive utility, nonclassical production, and Markovian production shocks. Specifically, we provide sufficient conditions under which the ME in unique. It turns out that uniqueness for a large class of economies and that restrictions either on the consumption side or the production side alone are sufficient to garantuee this result. We also discuss additional properties such as continuity or smoothness of the equilibrium mappings and whether additional recursive or non-recursive euilibria exist.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/67053">
    <title>The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds</title>
    <link>http://hdl.handle.net/10419/67053</link>
    <description>Title: The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
&lt;br/&gt;
&lt;br/&gt;Authors: Schuster, Philipp; Uhrig-Homburg, Marliese
&lt;br/&gt;
&lt;br/&gt;Abstract: We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity premiums are higher with the largest increase for short-term maturities. Moreover, their reaction to changes in fundamentals is only significant during crises: premiums of all maturities depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore, calibrating risk management models in normal times underestimates illiquidity risk and misjudges term structure effects.</description>
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