This paper assesses the effects of agency costs and asymmetric information in credit markets. Asymmetric information and agency costs occur whenever lenders delegate control over resources to borrowers, leading to adverse selection, moral hazard and monitoring costs because of the inability to...

USAGE is a 500 industry dynamic computable general equilibrium model of the US economy being developed at Monash University in collaboration with the US International Trade Commission. In common with the MONASH model of Australia, USAGE is designed for four modes of analysis: Historical, where...

In this paper, we show that when the government is able to transfer wealth between generations, regressive policies are no longer optimal. The optimal educational policy can be decentralized through appropriate Pigouvian taxes and credit provision, is not regressive, and provides equality of...

This paper extends the linear lasso estimators to non-linear case. We are especially interested in GMM type of Lasso estimators. Lasso estimators are generalization of ridge regression in least squares. With this setup we can deal with identification problem introduced by weak instruments. When...

In examining the likely consequences of nonsense relationship, Granger and Newbold (1974) made it clear that the differencing is not the universal sure solution to the problem of spurious regression models. This has prompted the discovery of the cointegration regression estimation by Engle and...

The use of the Beveridge Nelson decomposition in macroeconomic analysis involves the truncation and estimation of infinite weighted sums of random variables, whereas the single source of error (SSE) state space approach provides a simple and effective framework that leads to exactly the same...

In many countries we observe a gap between macroeconomic and microeconomic statistics. In order to explain the underreporting observed in microeconomic statistics, the present paper tests the misreporting hypothesis through the double hurdle model. The misreporting hypothesis is based on some...

Abstract In many areas of economic analysis, economic theory restricts the shape as well as other characteristics of functions used to represent economic constructs. Obvious examples are the monotonicity and curvature conditions that apply to utility, profit, and cost functions. Commonly, these...

The paper applies methods of functional data analysis – functional auto-regression, principal components and canonical correlations – to the study of the dynamics of interest rate curve. In addition, it introduces a novel statistical tool based on the singular value decomposition...

This paper examines empirical issues on asymmetric effects of government spending. Increases in government spending under low real interest rates are not associated with the same increases in future tax liabilities as those under high real interest rates. Consequently, the negative impact from...