Showing 1 - 10 of 115
We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...
Persistent link: https://www.econbiz.de/10011083487
We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10011186634
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...
Persistent link: https://www.econbiz.de/10009003379
This paper studies the diffusion of a new technology that is brought to market while its potential is still uncertain. We consider a dynamic game in which firms improve both a new and a rival old technology while learning about the relative potential of both technologies. We use the model to...
Persistent link: https://www.econbiz.de/10005504449
Our aim is to provide insights into some basic facts of US government debt management by introducing simple financial frictions in a Ramsey model of fiscal policy. We find that the share of short bonds in total U.S. debt is large, persistent, and highly correlated with total debt. A well known...
Persistent link: https://www.econbiz.de/10011096106
We investigate the geographical distribution of economic activity and wages in a general equilibrium model with many asymmetric regions and costly trade. As shown by extensive simulations on random networks, local market size better explains a region’s industry share, whereas accessibility...
Persistent link: https://www.econbiz.de/10011165639
We study the welfare impact of revenue management, i.e. intertemporal price discrimination when the product availability is limited both in time and quantity, and consumers' arrival is random. This practice is particularly relevant, and widely spread, in the transport industry, but little is...
Persistent link: https://www.econbiz.de/10011165643
We develop a dynamic network formation model that can explain the observed nestedness in real-world networks. Links are formed on the basis of agents’ centrality and have an exponentially distributed life time. We use stochastic stability to identify the networks to which the network formation...
Persistent link: https://www.econbiz.de/10011083433
We introduce the information microstructure of a canonical noisy rational expectations model (Hellwig, 1980) into the framework of a conventional real business cycle model. Each household receives a private signal about future productivity. In equilibrium, the stock price serves to aggregate and...
Persistent link: https://www.econbiz.de/10011083546
This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a state-space representation of the second-order solution based on the...
Persistent link: https://www.econbiz.de/10011084304