Economics Insights @ CBS

Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the variance premium and the credit spread while controlling for the conditional variance, expectations about the macroeconomic outlook, and interest rates. We apply this methodology to monthly data from both Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas the credit spread has a lot to say about uncertainty.

Mainstream queueing models are frequently employed in modeling healthcare delivery in a number of settings, and further are used in making operational decisions for the same. The vast majority of these queueing models ignore the effects of delay experienced by a patient awaiting care. However, long delays may have adverse effects on patient outcomes and can potentially lead to longer lengths of stay (LOS) when the patient ultimately does receive care. This work sets out to understand these delay issues from an operational perspective.

We propose a model where investors can choose to acquire costly information that allows them to identify good assets and purchase them in opaque over the counter (OTC) markets. Uninformed investors trade on an organized exchange and only have access to an asset pool that has been (partially) cream-skimmed by informed dealers. We show that when the quality composition of assets for sale is fixed there is always too much information acquisition and cream skimming by dealers in equilibrium.