Indiana University, Bloomington, Ind., Oct. 2, 2008

A speech at the Global Interdependence Center (GIC) Abroad in Chile Conference, Universidad Adolfo Ibanez, Santiago, Chile, March 5, 2007

In this paper we study whether policy makers should wait to intervene until a financial crisis strikes or rather act in a preemptive manner. We study this question in a relatively simple dynamic stochastic general equilibrium model in which crises are endogenous events induced by the presence of...

Indiana University, Bloomington, Ind., Oct. 2, 2008

A speech at the Global Interdependence Center (GIC) Abroad in Chile Conference, Universidad Adolfo Ibanez, Santiago, Chile, March 5, 2007

"This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...

"This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime...