We quantify the amount of cross-sectional income and consumption smoothing achieved within subgroups of states, such as regions or clubs, e.g. the club of rich states. We find that there is much income smoothing between as well as within regions. By contrast, consumption smoothing occurs mainly...

This paper represents the first attempt to estimate an explicit, structural model of credit rationing that simultaneously explains both bank and consumer behavior. Cheating by a small number of individual loan applicants induces banks to grant credit to only a proportion of observationally...

Recent research on contingent claims valuation has assumed increasingly general models of the behavior of cash securities. Relatively few attempts have been made to implement and evaluate such models empirically, however. In this paper we apply a multi-factor, continuous time pricing model to...

We examine the properties of alternative GMM procedures for estimation of the lognormal stochastic autoregressive volatility model through a large scale Monte Carlo study. We demonstrate that there is a fundamental trade-off between the number of moments, or information, included in estimation...

This paper examines turnover of workers and jobs on the panel of all plants in Danish manufacturing for the years 1980-1991. We relate worker turnover to job turnover with a focus on the share of worker reallocation driven by job reallocation, and we consider the behavior of job and worker flows...

This paper uses ML and GMM techniques to estimate systems of stochastic differential equations that describe the behavior of stock returns. We test restrictions implied by a continuous time asset pricing model that builds on the work of Chamberlain (1998). The stochastic differential equations...