if this message does not display correctly, click here | Table of Contents Beatrice Bertelli, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena
Marianna Brunetti, Dept. Economics and Finance, University of Rome Tor Vergata, CEFIN
Costanza Torricelli, University of Modena and Reggio Emilia - Department of Economics, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN), Center for Research on Pensions and Welfare Policies (CeRP)
Mariangela Zoli, University of Rome Tor Vergata Flavio Angelini, University of Perugia
Stefano Herzel, University of Rome Tor Vergata - Faculty of Economics
Marco Nicolosi, Sapienza University of Rome Lorenzo Carbonari, Università di Roma "Tor Vergata"
Fabrizio Mattesini, University of Rome Tor Vergata - Faculty of Economics
Alberto Petrucci, LUISS Guido Carli - Department of Economics Andrea Attar, University of Toulouse Capitole - Toulouse School of Economics
Eloisa Campioni, University of Rome Tor Vergata - Dept. of Economics and Finance
Thomas Mariotti, Universite de Toulouse 1 Capitole
Alessandro Pavan, Northwestern University | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Marianna Brunetti - Director "From Knowledge to Allocation of Sustainable Assets: Results From An In-Field Survey In Italy" 
CEIS Working Paper No. 612 BEATRICE BERTELLI, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena
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MARIANNA BRUNETTI, Dept. Economics and Finance, University of Rome Tor Vergata, CEFIN
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COSTANZA TORRICELLI, University of Modena and Reggio Emilia - Department of Economics, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN), Center for Research on Pensions and Welfare Policies (CeRP)
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MARIANGELA ZOLI, University of Rome Tor Vergata
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This paper investigates three underexplored aspects of sustainable household finance: (1) whether the determinants of knowledge, interest, and allocation in sustainable assets overlap; (2) what drives interest in specific dimensions among Environmental, Social, and/or Governance; and (3) the factors influencing the preference for direct versus delegated sustainable investments. Using original data from an in-field survey carried out in Italy, we find that knowledge, interest and allocation are shaped by distinct factors, with gender emerging as a common but divergent determinant. whereby men are more likely to know about sustainable assets, yet less likely to be interested in and to invest significant resources in these assets. Interest in specific ESG dimensions is also heterogeneous: younger, more educated, and climate-concerned individuals are more inclined toward multidimensional sustainable assets, whereas male respondents are consistently less interested in the Social factor. Finally, preferences for delegation are unrelated to sociodemographic traits while strongly related to longer investment horizon and interest in ESG mix, suggesting that the multidimensionality of sustainable assets might increase the perceived complexity of these assets, fostering reliance on professional management. "Modeling Euro Area Benchmark Rates After the End of LIBOR"
CEIS Working Paper No. 613 FLAVIO ANGELINI, University of Perugia
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STEFANO HERZEL, University of Rome Tor Vergata - Faculty of Economics
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MARCO NICOLOSI, Sapienza University of Rome
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We adopt an affine short-rate model for the contemporaneous evolution of the term structures based on EURIBOR and on eSTR. The model is based on the observation that the risk-free rate follows a constant trajectory and moves only at deterministic times (depending on the European Central Bank meetings). We calibrate the model using Kalman filtering on a panel of term structure zero rates and compare its performances to the dynamic version of the Nelson-Siegel model, both in-and out-of-sample. The model is able to reproduce some common features of the term structure dynamics, such as the "snake" shaped term structure volatility and the fact that the volatility increases in periods containing the meeting dates. We analyze the sensitivity of the eSTR term structure to variations in monetary policy expectations and apply the model to estimate the level and the probability distribution of the future rates, and to show how to compute the fallback risk of a ongoing contract in case EURIBOR would be replaced by eSTR. "Optimal Capital Taxation with Borrowing Constraints and Entrepreneurial Heterogeneity "
CEIS Working Paper No. 614 LORENZO CARBONARI, Università di Roma "Tor Vergata"
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FABRIZIO MATTESINI, University of Rome Tor Vergata - Faculty of Economics
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ALBERTO PETRUCCI, LUISS Guido Carli - Department of Economics
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This paper analyzes the optimal taxation of labor and various forms of capital in a model with entrepreneurial heterogeneity and financial frictions as in Itskhoki and Moll (2019a). We consider both a closed economy, populated by workers that buy corporate bonds, and a small open economy with hand-to-mouth workers where entrepreneurs finance capital by using their wealth and by borrowing abroad. The optimal fiscal policy differs depending on whether we consider the closed economy or the small open economy. In the former the taxes on labor and pure capital should be positive, while the tax on capital income should be zero. The wealth tax levied on workers and entrepreneurs and the pure capital tax levied on firms are equivalent fiscal instruments. When we consider a small open economy, we find that the pure capital tax should be set to zero but both the capital income tax and the labor tax should be positive. In this case the capital income tax and the wealth tax are perfect substitutes. "Keeping the Agents in the Dark: Competing Mechanisms, Private Disclosures, and the Revelation Principle"
CEIS Working Paper No. 615 ANDREA ATTAR, University of Toulouse Capitole - Toulouse School of Economics
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ELOISA CAMPIONI, University of Rome Tor Vergata - Dept. of Economics and Finance
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THOMAS MARIOTTI, Universite de Toulouse 1 Capitole
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ALESSANDRO PAVAN, Northwestern University
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We study the design of market information in competing-mechanism games. We identify a new dimension, private disclosures, whereby the principals asymmetrically inform the agents of how their mechanisms operate. We show that private disclosures have two important effects. First, they can raise a principal's payoff guarantee against her competitors' threats. Second, they can support equilibrium outcomes and payoffs that cannot be supported with standard mechanisms. These results call for a novel approach to competing mechanisms, which we develop to identify a canonical game and a canonical class of equilibria, thereby establishing a new revelation principle for this class of environments. | | ^top
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