Louise Charlotte Willerslev-Olsen
Ph.d.-forsvar:Louise Charlotte Willerslev-Olsen: "Essays in Economics, Forecasting, rationality and financial trouble"
The first chapter develops a method to incorporate multi-horizon forecasts when evaluating forecast rationality. The method is applied to the budget surplus forecast of the US government in the period 1975-2012. We find that the forecasts are consistent with rationality when the US government is adverse to underestimating the surplus and when this aversion increases in the forecast horizon.
The second chapter looks at the sources of financial trouble in an intergenerational setting. We establish a strong intergenerational correlation in loan default and provide three possible explanations for this correlation. (i) common shocks to children and parents, (ii) parents and children insure each other against shocks, (iii) children inherit financial behavior from their parents. We find that the third channel is the most important.
The third chapter studies whether individual debtors have a higher propensity to default on loans with low default costs. Comparing mortgages (high default costs) with bank loans (low default costs) I find that debtors are five to eight times more likely to default on the low cost loans. This holds in the cross-section, in the panel dimension and following adverse shocks such as job loss and divorce. Finally, bank loan default increases steeply in the years leading up to mortgage default.