Matthias Weber

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Title
Prof. Dr.
Last Name
Weber
First name
Matthias
Email
matthias.weber@unisg.ch
ORCID
Phone
+41 71 224 70 76

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    Item type:Veröffentlichung,
    Monetary policy under behavioral expectations: Theory and experiment
    (Elsevier)
    Hommes, Cars
    ;
    Massaro, Domenico
    ;
    Weber, Matthias  
    cris-layout.advanced-attachment.dc.type:journal article
    Journal:European Economic Review
    Volume:118
    Issue:2019
    URL:https://www.sciencedirect.com/science/article/pii/S0014292119300960?via%3Dihub
    DOI:10.1016/j.euroecorev.2019.05.009
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/116600
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    Prospect Theory for Intertemporal Choice
    (Oxford University Press (OUP), 2025-09-11)
    Immanuel Lampe  
    ;
    Matthias Weber  
    Prospect 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.
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    Journal:Journal of the European Economic Association
    URL:https://academic.oup.com/jeea/advance-article/doi/10.1093/jeea/jvaf037/8251689
    DOI:10.1093/jeea/jvaf037
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/125146
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    The role of the end time in experimental asset markets
    (2024)
    Anita Kopányi-peuker
    ;
    Matthias Weber  
    There are hundreds of scientific articles on experimental asset markets. Almost all of them use a short and definite horizon. This may be one of the starkest differences between experimental settings and real-world financial markets, which usually have indefinite and comparatively long horizons. We analyze the implications of different end time assumptions in an asset market experiment in which we vary the length of the horizon and whether the end time is definite or indefinite. We find very similar price dynamics with recurring bubbles in all treatments.
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    Journal:Journal of Corporate Finance
    Volume:88
    URL:https://www.sciencedirect.com/science/article/pii/S0929119924001093
    DOI:10.1016/j.jcorpfin.2024.102647
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/120699
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    Regulation and the demand for credit default swaps in experimental bond markets
    (Elsevier, 2024-06-01)
    Matthias Weber  
    ;
    John Duffy
    ;
    Arthur Schram
    Credit 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.
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    Journal:European Economic Review
    Volume:165
    URL:https://www.sciencedirect.com/science/article/pii/S0014292124000746
    DOI:10.1016/j.euroecorev.2024.104745
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/120698
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    Auctions versus bookbuilding: The effects of IPO regulation in Japan
    (Blackwell, 2023)
    Lehmann, Timo
    ;
    Weber, Matthias  
    cris-layout.advanced-attachment.dc.type:journal article
    Journal:The Financial Review
    Volume:58
    URL:https://onlinelibrary.wiley.com/doi/full/10.1111/fire.12318
    DOI:10.1111/fire.12318
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/107905
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    Subsidies versus intellectual property rights when innovators operate in two markets
    (2023-04-24)
    Skliaustyte, Egle
    ;
    Weber, Matthias  
    Intellectual property rights are monopoly rights, which have undesirable welfare properties. Therefore, several studies suggest using rewards as incentives for innovation instead. However, these studies have thus far had little effect on actual policy, possibly because such rewards may be difficult to implement in practice. We suggest a new way of providing incentives to originators, which is easier to implement. Our suggestion can be used if there is an additional market in which originators operate, where copying is not easily possible. In this case, intellectual property rights in one market can be replaced by subsidies in the other market. Taking the music industry as example, copyrights in the records market could be replaced by subsidies in the market for live performances. We develop a partial equilibrium model that can be used to analyze in which cases the replacement of intellectual property rights in one market with subsidies in another market is welfare improving and better for the originator. A numerical application example suggests that the subsidy scheme may indeed be better in the music industry. The subsidy scheme can be implemented as a voluntary option, which would even be possible without changing the legal framework of intellectual property rights.
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    Journal:PLOS ONE
    Volume:18
    Issue:4
    URL:https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0284880
    DOI:10.1371/journal.pone.0284880
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/117264
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    Regularized regression when covariates are linked on a network: the 3CoSE algorithm
    (Taylor & Francis, 2023)
    Weber, Matthias  
    ;
    Striaukas, Jonas
    ;
    Schumacher, Martin
    ;
    Binder, Harald
    Covariates 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.
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    Journal:Journal of Applied Statistics
    Volume:50
    Issue:3
    URL:https://www.tandfonline.com/doi/full/10.1080/02664763.2021.1982878
    DOI:10.1080/02664763.2021.1982878
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/107948
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    Experience Does not Eliminate Bubbles: Experimental Evidence
    (Oxford Univ. Press, 2021-09-01)
    Kopányi-Peuker, Anita
    ;
    Weber, Matthias  
    We 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.
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    Journal:The Review of Financial Studies
    Volume:34
    Issue:9
    DOI:10.1093/rfs/hhaa121
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/110026
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    Behavioral optimal taxation: Aspirations
    (2021)
    Matthias Weber  
    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.
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    Journal:Journal of Behavioral Economics for Policy
    Volume:5
    Issue:1
    URL:https://sabeconomics.org/wordpress/wp-content/uploads/JBEP-5-1-3.pdf
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/122439
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    The Behavioral Economics of Currency Unions: Economic Integration and Monetary Policy
    (Elsevier, 2020-03)
    Bertasiute, Akvile
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    Massaro, Domenico
    ;
    Weber, Matthias  
    We 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.
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    Journal:Journal of Economic Dynamics and Control
    Volume:Volume 112, March 2020, 103850
    URL:https://www.sciencedirect.com/science/article/pii/S0165188920300208?via%3Dihub
    DOI:10.1016/j.jedc.2020.103850
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/112357
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