Theory

Can One Hear the Shape of a Target Zone?
We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of …
Jean-Louis Arcand, Max-Olivier Hongler, Shekhar Hari Kumar, Daniele Rinaldo
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Increasing Risk: Dynamic Mean-Preserving Spreads
We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean-Preserving Spreads to a dynamic framework. We adapt the …
Jean-Louis Arcand, Max-Olivier Hongler, Daniele Rinaldo
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Credit Markets with Imperfect Information: Risk-Aversion Versus Pessimism
Stiglitz and Weiss (1981) credit rationing is embedded within rank dependent expected utility theory. Our results show that sufficient …
Jean-Louis Arcand, Stuart McDonald
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Pessimism, Optimism and Credit Rationing
In their celebrated contribution on credit rationing, Stiglitz and Weiss (1981) showed that the expected return to the borrower on a …
Jean-Louis Arcand
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Tax Compliance and Rank Dependent Expected Utility
Formulating the classic Allingham and Sandmo [1972] tax compliance problem under Rank Dependent Expected Utility (RDEU) provides a …
Jean-Louis Arcand, Grégoire Graziosi
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Who Would Benefit from Simplifying the Tax Code? Frank Knight and Gustave Choquet Meet the Internal Revenue Service
We consider the classic Allingham and Sandmo (1972) tax compliance problem in the context of the Choquet-Schmeidler Expected Utility …
Jean-Louis Arcand, Grégoire Rota-Graziosi, Kim Bloomquist
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