Markets that involve customers waiting for services or goods in queues whose length they cannot observe are studied. In these markets suppliers truncate queues that become so long that they jeopardize the supplier's future relations with the customer. The length of the queue and the probability...

Generators applying to connect to the U.S. power grid go through an interconnection queue. Most wind and solar generators that begin the process do not complete it. Using new data, we find that a long queue increases the average waiting time, and high interconnection costs are a key factor in a...

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood...

The stochastic discount factor seems volatile, but is this observation of any consequence for aggregate analysis of consumption, capital accumulation, output, etc.? I amend the standard frictionless model of aggregate consumption and capital accumulation with time-varying subjective probability...

Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle...

We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...

This paper begins by re-examining the spectral properties of several cyclically sensitive variables such as hours worked, unemployment and capacity utilization. For each of these series, we document the presence of an important peak in the spectral density at a periodicity of approximately 36-40...

The increasing importance of intermittent renewable energy sources suggests a growing importance for energy storage as a way of smoothing the variable output. In this paper I investigate factors affecting the amount of energy storage needed, including the degree of intermittency and the...

This paper studies the causal mechanisms behind persistent poverty. Using original data on Boran pastoralists of southern Ethiopia, we find that heterogeneous and nonlinear wealth dynamics arise purely in adverse states of nature. In favorable states, expected herd grow is quasi-linear and...