This paper analyzes the dynamics and determinants of the relative benefits of geographical and industry diversification over the last 30 years. First, we develop a new structural regime-switching volatility spillover model to decompose total risk into a systematic and a country (industry)...

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

This paper suggests that skill accumulation through past work experience, or ``learning-by-doing'' (LBD), can provide an important propagation mechanism in a dynamic stochastic general equilibrium model, as the current labor supply affects future productivity. Our econometric analysis uses a...

We derive discrete markov chain approximations for continuous state equilibrium term structure models. The states and transition probabilities of the markov chain are chosen effciently according to a quadrature rule as in Tauchen and Hussey (1991). Quadrature provides a simple yet method which...

The type function of an agent, in a type space, associates with each state a probability distribution on the type space. Thus, a type function can be considered as a Markov chain on the state space. A common prior for the space turns out to be a probability distribution which is invariant under...

The paper examines the interpretation of firms' investment-cash flow sensitivity as an artifact of financial market imperfection. Two alternative explanations of the financial constraints are compared. One is based on informational problems (asymmetric information). The other focuses on limited...

Various noninformative prior distributions have been suggested for scale parameters in hierarchical models. We construct a new folded-noncentral- t family of conditionally conjugate priors for hierarchical standard deviation parameters, and then consider noninformative and weakly informative...