The Private Equity Premium Puzzle Revisited
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate...
View ArticleMoney and Costly Credit
I study an economy in which money and credit coexist as means of payment and the settlement of credit requires money. The model extends recent developments in microfounded monetary theory to address...
View ArticleBelief Dispersion and Order Submission Strategies in the Foreign Exchange Market
This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in...
View ArticleInventories, Markups and Real Rigidities in Sticky Price Models of the...
Recent New Keynesian models of macroeconomy view nominal cost rigidities, rather than nominal price rigidities, as the key feature that accounts for the observed persistence in output and inflation....
View ArticleSovereign Default Risk Premia, Fiscal Limits and Fiscal Policy
We develop a closed economy model to study the interactions among sovereign risk premia, fiscal limits, and fiscal policy. The stochastic fiscal limits, which measure the ability and willingness of the...
View ArticleMixed Frequency Forecasts for Chinese GDP
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (?nowcasts' and ?forecasts', respectively). We use three types of...
View ArticleFinancial Factors and Labour Market Fluctuations
What are the effects of financial market imperfections on unemployment and vacancies? Since standard DSGE models do not typically model unemployment, they abstract from this issue.
View ArticleBank Loans for Private and Public Firms in a Credit Crunch
Banks reliance on short-term funding has increased over time. While an effective source of financing in good times, the 2007 financial crisis has exposed the vulnerability of banks and ultimately firms...
View ArticleReal-Financial Linkages in the Canadian Economy: An Input-Output Approach
The purpose of this paper is twofold. First, we provide a detailed social accounting matrix (SAM), which incorporates the income and financial flows into the standard input-output matrix, for the...
View ArticleForecasting the Price of Oil
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between...
View ArticleReal-Time Forecasts of the Real Price of Oil
We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models.
View ArticleAnalyzing Default Risk and Liquidity Demand during a Financial Crisis: The...
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis.
View ArticlePrice-Level Targeting and Inflation Expectations: Experimental Evidence
In this paper, we use an economics decision-making experiment to test a key assumption underpinning the efficacy of price-level targeting relative to inflation targeting for business cycle...
View ArticleMeasuring Systemic Importance of Financial Institutions: An Extreme Value...
In this paper, we define a financial institution's contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher...
View ArticleA Stochastic Volatility Model with Conditional Skewness
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness...
View ArticleFixed-Term and Permanent Employment Contracts: Theory and Evidence
This paper constructs a theory of the coexistence of fixed-term and permanent employment contracts in an environment with ex-ante identical workers and employers. Workers under fixed-term contracts can...
View ArticleMoney and Price Posting under Private Information
We study price posting with undirected search in a search-theoretic monetary model with divisible money and divisible goods. Ex ante homogeneous buyers experience match specific preference shocks in...
View ArticleHow Do You Pay? The Role of Incentives at the Point-of-Sale
This paper uses discrete-choice models to quantify the role of consumer socioeconomic characteristics, payment instrument attributes, and transaction features on the probability of using cash, debit...
View ArticleUncovered Return Parity: Equity Returns and Currency Returns
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also...
View ArticleNoisy Monetary Policy
We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (ânews") about the future evolution of the policy rate before changes in...
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