Jean-Charles Rochet, John Thanassoulis, Intertemporal price discrimination with two products, RAND Journal of Economics, Vol. 50 (4), 2019. (Journal Article)
We study the two‐product monopoly profit maximization problem for a seller who can commit to a dynamic pricing strategy. We show that if consumers' valuations are not strongly ordered, then optimality for the seller can require intertemporal price discrimination: the seller offers a choice between supplying a complete bundle now, or delaying the supply of a component of that bundle until a later date. For general valuations, we establish a sufficient condition for such dynamic pricing to be more profitable than mixed bundling. So we show that the established no‐discrimination‐across‐time result does not extend to two‐product sellers under standard taste distributions. |
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Kathrin De Greiff, Essays on the Link of Climate Change and the Banking Sector, University of Zurich, Faculty of Business, Economics and Informatics, 2019. (Dissertation)
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Erdinc Akyildirim, Duc Khuong Nguyen, Ahmet Sensoy, A tale of two risks in the EMU sovereign debt markets, Economics Letters, Vol. 172, 2018. (Journal Article)
We introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our analysis shows that trend components of both types of risk are strongly positively correlated. Vector auto-regression and generalized impulse response analysis reveal that shocks to the SLR has significant impact on SYR lasting up to 5 days, whereas shocks to the SYR has no significant impact on SLR. Since mid-2015, both risks are gradually increasing and as of 2018, they are at their highest levels over the last five years. |
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Redaktion, Jean-Charles Rochet, Endlich streiten wir uns übers Geld , In: Der Freitag, 27 May 2018. (Media Coverage)
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Redaktion, Jean-Charles Rochet, Thomas Jordan zur Vollgeld-Initiative, In: finews.ch, 18 April 2018. (Media Coverage)
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Michel Habib, Fabrice Collard, Jean-Charles Rochet, The Reluctant Defaulter: A Tale of High Government Debt, In: Swiss Finance Institute Research Paper, No. 17-39, 2018. (Working Paper)
We seek to account for the very high levels of public debt recently reached in many OECD countries. We do so by assuming that governments do their utmost to stave off default, which occurs only when a government fails to muster the funds needed for debt service. This distinguishes our work from existing work on sovereign debt, which has assumed that governments weigh the costs of debt service against those of default. The debt ratios we compute are quite close to prevailing levels: our baseline case has debt-to-GDP ratio slightly above 80%. |
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Jean-Charles Rochet, Santiago Moreno-Bromberg, Continuous-Time Models in Corporate Finance, Banking, and Insurance, Princeton University Press, Princeton, USA, 2018. (Book/Research Monograph)
Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. |
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Jean-Charles Rochet, Delia Coculescu, Shareholder Risk Measures, Mathematical Finance, Vol. 28 (1), 2018. (Journal Article)
The aim of this paper is to put forward a new family of risk measures that as the coherent/convex risk measures impose a preference order on random cash flows and can be interpreted as prices. But at the difference of the axiomatic approach of Artzner, Delbaen, Eber and Heath (1999) and the subsequent extensions of this model, our risk measures are associated with the optimal policies of shareholder value maximizing company. We study these optimal policies and the related risk measures that we call shareholder risk measures. We emphasize the fact that due to the specific corporate environment, in particular the limited shareholders’ liability and the possibility to pay out dividends from the cash reserves, these risk measures are not convex. Also, they depend on the specific economic situation of the firm, in particular its current cash level, and thus they are not translation invariant. This paper bridges the gap between two important branches of mathematical finance: risk measures and optimal dividends. |
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Cimino Sébastien, Negative Interest Rates and Bank Profitability: Theory and Evidence, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis)
This paper investigates how monetary policies which use negative interest rates as instrument affect bank credit supply and profitability. We use data for 48 large international banks in 7 major advanced economies for the period 2012-2016 . Overall, we find a positive relationship between the introduction of negative interest rates and credit supply on one hand, and a negative relationship between interest rates and bank profitability – return on average assets, return on average equity and net interest margin – on the other hand. This suggests that the negative impact of decreasing interest rates on profitability dominates the positive one induced by an increase of credit supply. |
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Jean-Charles Rochet, Hans Gersbach, Capital Regulation and Credit Fluctuations, Journal of Monetary Economics, Vol. 90, 2017. (Journal Article)
We provide a rationale for imposing counter-cyclical capital ratios on banks. In our simple model, bankers cannot pledge the entire future revenues to investors, which limits borrowing in good and bad times. Complete markets do not sufficiently stabilize credit fluctuations, as banks allocate too much borrowing capacity to good states and too little to bad states. As a consequence, bank credit, output, capital prices or wages are excessively volatile. Imposing a (stricter) capital ratio in good states corrects the misallocation of the borrowing capacity, increases expected output and can be beneficial to all agents in the economy. Although in our economy, all agents are risk-neutral, counter-cyclical capital ratios are an effective stabilization tool. To ensure this effectiveness, capital ratios have to be based on ex ante equity capital, as classical capital ratios can be bypassed. |
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Jean-Charles Rochet, Multidimensional Screening After 30 Years, In: 2017 Africa Meeting of the Econometric Society. 2017. (Conference Presentation)
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Jean-Charles Rochet, Aggregate Bank Capital and Credit Dynamics, In: NYU Law/ETH: 2017 Law and Banking/Finance Conference. 2017. (Conference Presentation)
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Redaktion, Jean-Charles Rochet, Die Märkte sind effizient , In: Luzerner Zeitung, 14 June 2017. (Media Coverage)
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Jean-Charles Rochet, Session Chair: Financial System Networks , In: The Financial Intermediation Research Society (FIRS) Conference. 2017. (Conference Presentation)
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Elena Mateva, Bank Capital and Monetary Policy Transmission, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis)
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Jean-Charles Rochet, Non Performing Loans, Under Investment and Bad Banks, In: Swiss Finance Institute PhD Workshop 2017 - Banking. 2017. (Conference Presentation)
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Jean-Charles Rochet, Macroprudential and systemic risk - an overview of recent developments, In: 2nd annual ECB macroprudential policy and research conference. 2017. (Conference Presentation)
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Kassandra Grütter, Performance of US and Swiss banks during and after the financial crisis of 2007 to 2009, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
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Eveline Kleinburger, The SNB's Monetary Policy and its Impacts on the Financial Sector, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
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Jean-Charles Rochet, NGOS,Regulators and Lobbies, In: Conference: Les nouvelles frontières de l'Etat, à l'occasion de la remise du Prix de la Revue économique 2016 à David Martimort. 2017. (Conference Presentation)
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