I study long-term financial contracts between lenders and borrowers in the absence of perfect enforceability and when both parties are credit constrained. Borrowers repeatedly have projects to undertake and need external financing. Lenders can commit to contractual agreements whereas borrowers...

Local interactions refer to social and economic phenomena where individuals' choices are influenced by the choices of others who are `close' to them socially or geographically. This represents a fairly accurate picture of human experience. Furthermore, since local interactions imply particular...

This paper uses a standard two-period overlapping generation model to examine the behavior of an economy where both intergenerational transfers of time and bequests are available. While bequests have been examined extensively, time transfers have received little or no attention in the...

This paper studies seemingly unrelated linear models with integrated regressors and stationary errors.

Dans ce texte, nous analysons les developpements recents de l'econometrie a la lumiere de la theorie des tests statistiques.

This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.

We consider a probabilistic approach to the problem of assigning K indivisible identical objects to a set of agents with single-peaked preferences. Using the ordinal extension of preferences, we characterize the class of uniform probabilistic rules by Pareto efficiency, strategy-proofness, and...

This paper develops a general stochastic framework and an equilibrium asset pricing model theat make clear how attitudes towards intertemporal substitution and risk matter for option pricing; In particular we show under which statistical conditions option princing formulas are not...

In the analysis of tax reform, when equity is traded off against efficiency, the measurement of the latter requires us to know how tax- induced price changes affect quantities supplied and demanded. In this paper, we present various econometric procedures for estimating how taxes affect demand.

Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression are commonly used. However, it is known that...