Matthias Weber
Title
Prof. Dr.
Last Name
Weber
First name
Matthias
Email
matthias.weber@unisg.ch
ORCID
Phone
+41 71 224 70 76
38 results
Now showing 1 - 10 of 38
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Item type:Publication, Monetary policy under behavioral expectations: Theory and experiment(Elsevier)Scopus© Citations 55 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Prospect Theory for Intertemporal ChoiceProspect theory is well understood in contexts without a time dimension. In intertemporal contexts, however, it is unclear how prospect theory should be applied. In particular, it is unclear whether probabilities should be weighted within time periods or whether probabilities of discounted utilities (or present values) of outcome streams should be weighted. Furthermore, it is unclear what parametric specifications of probability weighting and utility functions should be used. We find in a pre-registered experiment on a representative sample that weighting probabilities of discounted utilities (or present values) predicts decisions best. The estimated probability weighting functions are inverse-S shaped, and the utility functions are almost linear.Type:journal articleJournal:Journal of the European Economic Association - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The role of the end time in experimental asset markets(2024) - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Regulation and the demand for credit default swaps in experimental bond marketsCredit default swaps (CDS) played an important role in the financial crisis of 2008 leading to calls for regulation. Here, we seek to understand the impact of a CDS regulation that restricts the possibility to hold naked CDS. We use a controlled laboratory experiment analyzing CDS pricing in a bond market subject to default risk. Our results show that the regulation achieves the goal of increasing the use of CDS for hedging purposes while reducing the use of CDS for speculation. This success does not come at the expense of lower initial public offering (IPO) prices for the bonds or worse pricing of bonds or CDS in the secondary market.Type:journal articleJournal:European Economic ReviewVolume:165Scopus© Citations 3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Auctions versus bookbuilding: The effects of IPO regulation in JapanType:journal articleJournal:The Financial ReviewVolume:58Scopus© Citations 2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Subsidies versus intellectual property rights when innovators operate in two markets(2023-04-24)Scopus© Citations 4 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Regularized regression when covariates are linked on a network: the 3CoSE algorithmCovariates in regressions may be linked to each other on a network. Knowledge of the network structure can be incorporated into regularized regression settings via a network penalty term. However, when it is unknown whether the connection signs in the network are positive (connected covariates reinforce each other) or negative (connected covariates repress each other), the connection signs have to be estimated jointly with the covariate coefficients. This can be done with an algorithm iterating a connection sign estimation step and a covariate coefficient estimation step. We develop such an algorithm, called 3CoSE, and show detailed simulation results and an application forecasting event times. The algorithm performs well in a variety of settings. We also briefly describe the publicly available R-package developed for this purpose.Type:journal articleJournal:Journal of Applied StatisticsVolume:50Issue:3Scopus© Citations 2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Experience Does not Eliminate Bubbles: Experimental EvidenceWe study the role of investor experience in the formation of asset price bubbles.We conduct a call market experiment in which participants trade assets with each other and a learning-to-forecast experiment in which participants only forecast future prices (while trade based on these forecasts is computerized). Each experiment comprises three treatments varying the information that participants receive about the fundamental value. Each experimental market is repeated three times. Throughout, we observe sizable bubbles that persist despite participant experience. Our findings in the call market experiment contrast with those in the literature. Our findings in the learning-to-forecast experiment are novel.Type:journal articleJournal:The Review of Financial StudiesVolume:34Issue:9Scopus© Citations 22 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Behavioral optimal taxation: Aspirations(2021)I show the results of a novel simple two-period model comparing lump-sum taxes with proportional labor taxes. The difference to the classical optimal taxation literature is that people's aspirations change from one period to another, as suggested by empirical evidence. It turns out that the policy implication from this model differs considerably from the one assuming full rationality. In the behavioral model, a lump-sum tax is much less attractive. The model does not aim to be a full-fledged quantitative model, it should rather be seen as a cautionary tale about the robustness of classical optimal taxation results when deviating from full rationality.Type:journal articleJournal:Journal of Behavioral Economics for PolicyVolume:5Issue:1 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Behavioral Economics of Currency Unions: Economic Integration and Monetary PolicyWe analyze different behavioral models of expectation formation in a multi-country New Keynesian currency union model. Our analyses yield the following robust results. First, economic integration is of crucial importance for the stability of the economic dynamics in a currency union. Second, when the economic dynamics are unstable, more activist monetary policy does not lead to stable economic dynamics. These findings have natural counterparts in the rational expectations version of the model: there, economic integration is crucial for the determinacy of the equilibrium and when the equilibrium is indeterminate, more activist monetary policy does not lead to a determinate equilibrium. In an application to euro area data, we find that the behavioral macroeconomic model outperforms its rational counterpart in terms of prediction performance.Type:journal articleJournal:Journal of Economic Dynamics and ControlVolume:Volume 112, March 2020, 103850Scopus© Citations 15