Ambiguity aversion and the absence of wage indexation

Article Abstract:

A study analyzes optimal wage contracting assuming that agents are not subjective expected utility maximizers but are, ambiguity (or uncertainty) averse decision makers who maximize Choquet expected utility. The results show that such agents will choose not to include any indexation coverage in their wage contracts even when inflation is uncertain.

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Time-varying risk aversion and unexpected inflation

Article Abstract:

Time-varying risk aversion in response to consumption growth and unexpected inflation is studied. The pricing implications for term structure of interest rates and cross-section of stock returns are explored. It is shown that induced time-variation in risk aversion is not proxy for inflation uncertainty.

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The effect of macroeconomic news on beliefs and preferences: evidence from the options market

Article Abstract:

With respect to state-price densities of bond prices, the influence of macroeconomic announcements on beliefs and preferences of options market participants is analyzed.

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