This paper examines the extent to which swings in stock prices can be related to variations in the discounted value of expected future dividends when investors face uncertainty about their future behavior. First, I present evidence of instability in time series behavior of dividends and discount...

This paper examines alternative methods for making inferences about the value and dynamics of (unobserved) credit quality from market prices. Using data on Brady bonds issued by Mexico, Venezuela, and Costa Rica, we show that estimates of credit quality from of a simple model (often used by...

This paper examines how the theoretical and empirical implications of asset pricing models are affected by the presence of a "peso problem"; a situation where the potential for discrete shifts in the distribution of future shocks to the economy affects the rational expectations held by market...