This paper studies optimal monetary and fiscal policies in an economy à la Lucas and Stokey (1983) and Lagos and Wright (2005) with multiple cash and credit goods. We show that optimal policies are in general time inconsistent due to insufficient number of instruments to influence future...

In this paper we test for large deviations in headline measures of the price level relative to core measures using the recently proposed test of Phillips et al. (2011a). We find evidence of explosive behaviour in the headline price index of personal consumption expenditures (PCE) relative to the...

We use a human–subjects experiment to investigate how bargaining outcomes are affected by changes in bargainers’disagreement payoffs. Subjects bargain against changing opponents, with an asymmetric disagreement outcome that varies over plays of the game. Both bargaining parties are informed...

The object of this paper is to produce distributional forecasts of physical volatility and its associated risk premia using a non-Gaussian, non-linear state space approach. Option and spot market information on the unobserved variance process is captured by using dual 'model-free' variance...

This study contributes in bridging the dichotomy between economic growth and business cycle paradigms by providing dynamic characterisation of the link between economic growth, risk aversion, uncertainty and variability in industrial production, consumption and investment. In a system of...

We develop and evaluate a simple gamble-choice task to measure attitudes toward risk, and apply this measure to examine differences in risk attitudes of male and female university students. In addition, we examine stereotyping by asking whether a person's sex is read as a signal of risk...

This paper integrates seemingly disjoint studies on consumer behavior in micro and macro analyses via the intertemporal two-stage budgeting procedure with durable goods and liquidity constraints. The model accounts for the influences of nondurables consumption, commodity prices, and durables...

In most finance papers and textbooks mean-variance preferences are usually introduced and motivated as a special case of expected utility theory. In general, the two sufficient conditions to allow this are either quadratic preferences with an arbitrary distribution of stochastic assets, or...