Time Lotteries

Patrick DeJarnette (), David Dillenberger (), Daniel Gottlieb () and Pietro Ortoleva
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Patrick DeJarnette: Department of Economics, National Taiwan University
David Dillenberger: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

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.

Keywords: Discounted Expected Utility; Epstein-Zin preferences; Non-Expected Utility; Risk aversion towards time lotteries (search for similar items in EconPapers)
JEL-codes: C91 D81 D90 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2015-07-31, Revised 2015-07-31
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