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Human Capital Risk, Contract Enforcement, and the Macroeconomy

Krebs, Tom; Kuhn, Moritz; Wright, Mark L. J. - Federal Reserve Bank of Chicago - 2014

households with children are under-insured against the risk that an adult member of the household dies. We develop a tractable … macroeconomic model with human capital risk, age-dependent returns to human capital investment, and endogenous borrowing constraints … capital risk. A calibrated version of the model can quantitatively account for the life-cycle variation of life …

Persistent link: https://www.econbiz.de/10011093784

The pitfalls in inferring risk from financial market data

Bliss, Robert R. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001658371

Measuring productivity growth in Asia : do market imperfections matter?

Fernald, John G. (contributor); Neiman, Brent (contributor) - 2003 - [Elektronische Ressource]

"Recent research reports contradictory estimates of productivity growth for the newly industrialized economies (NIEs) of Asia. In particular, estimates using real factor prices find relatively rapid TFP growth; estimates using quantities of inputs and output find relatively low TFP growth. The...

Persistent link: https://www.econbiz.de/10001920609

Adverse Selection, Risk Sharing and Business Cycles

Veracierto, Marcelo - Federal Reserve Bank of Chicago - 2014

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...

Persistent link: https://www.econbiz.de/10011093788

Human Capital and Long-Run Labor Income Risk

Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2013

This review article examines the role of labor income risk in determining the value of a person’s human capital. We … to assess the value and risk of pension promises. Finally, we discuss how to enrich the environment with heterogeneity in …

Persistent link: https://www.econbiz.de/10010735414

Bubbles and Leverage: A Simple and Unified Approach

Bogusz, Theodore; Bogusz, Theodore - Federal Reserve Bank of Chicago - 2013

In this paper, we lay out a simple framework that captures much of what the theoretical literature has to say about the role of credit in systemically important asset booms and busts. In addition, we suggest ways in which to incorporate physical investment in the bubble asset as well as monetary...

Persistent link: https://www.econbiz.de/10010735415

Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets

Mattesini, Fabrizio; Nosal, Ed - Federal Reserve Bank of Chicago - 2011

Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result,...

Persistent link: https://www.econbiz.de/10010735677

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

D'Amico, Stefania; Fan, Roger; Kitzul, Yuriy - Federal Reserve Bank of Chicago - 2013

In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...

Persistent link: https://www.econbiz.de/10010735678

A Portfolio-Balance Approach to the Nominal Term Structure

King, Thomas B. - Federal Reserve Bank of Chicago - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a “portfolio balance” mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a...

Persistent link: https://www.econbiz.de/10011027196

Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates

Ajello, Andrea; Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2012

term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure … inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates … the changing nature of inflation risk in nominal Treasuries. …

Persistent link: https://www.econbiz.de/10011093790