"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...

Remarks at Queens Chamber of Commerce and Queens Economic Development Corporation, Flushing, New York City.

Remarks at the New Jersey Bankers Association Economic Forum, Iselin, New Jersey.

Remarks at the National Association for Business Economics Annual Meeting, New York City.

A rich literature from the 1970s shows that as inflation expectations become more and more ingrained, monetary policy loses its stimulative effect. In the extreme, with perfectly anticipated inflation, there is no trade-off between inflation and output. A recent literature on the interest-rate...

We analyze two reasons for export prices to be different across markets--namely, quality differentiation and variable markups--and attempt to parse their relative importance and some of their underlying drivers. To overcome the substantial measurement issues in this task, we consider a...

There is wide agreement that the dynamics of inflation and unemployment are influenced by supply and demand shocks, such as oil price and monetary policy surprises, and by systematic factors such as overlapping contracts. There is less agreement about the relative importance of those...

This paper analyzes the welfare implications of international spillovers related to productivity gains, changes in market size, or government spending. We introduce trade costs and endogenous varieties in a two-country general-equilibrium model with monopolistic competition, drawing a...

This paper analyzes the dynamics of prices and wages using a limited information approach to estimation. I estimate a two-equation model for the determination of prices and wages derived from an optimization-based dynamic model in which both goods and labor markets are monopolistically...

In this paper, I derive and implement a nonparametric, arbitrage-free technique for multivariate contingent claim (MVCC) pricing. Using results from the method of copulas, I show that the multivariate risk-neutral density can be written as a product of marginal risk-neutral densities and a...