If borrowing capacity of indebted households is tied to the value of their home, house prices should enter a correctly specified aggregate Euler equation for consumption. I develop a simple two-agent, dynamic general equilibrium model in which home (collateral) values affect debt capacity and...

This paper estimates the effects of technology shocks in Bayesian VAR models of the United States, Japan and West Germany, imposing restrictions on the sign of impulse responses. These restrictions are motivated with explicit priors on the parameters of a dynamic general equilibrium model...

We propose a method for point estimation of discrete games similar to those considered by Bresnahan and Reiss (1991). In the model, the vNM utilities are a function of observed co-variates and random preference shocks. The model also explicitly parametrizes the probability of selecting a given...

A central debate in applied macroeconomics is whether statistical tools that use minimal identifying assumptions are useful for isolating promising models within a broad class. In this paper, I extend the analysis of Chari, Kehoe, and McGrattan (2005) to compare four statistical...

We provide a framework for inference in discrete games that involve multiple decision makers and use it to study airline market structure in the US. We make inferences on a ``class of models'' rather that looking for point identifying assumptions that pin down a unique model. We extend the...

In this paper, we put forward a theory of the optimal capital structure of the firm based on Jensen's (1986) hypothesis that a firm's choice of capital structure is determined by a trade-off between agency costs and monitoring costs. The problem of determining the optimal capital structure of...

We augment a standard global coordination game along the lines of Morris and Shin (1998) by an asset market where prices are determined in a noisy Rational Expectations Equilibrium. We study the implications of information aggregation through prices for equilibrium selection arguments in global...

We investigate a two-country model of real business cycles along the lines of Backus, Kehoe, and Kydland (1992) with one new feature: country one residents are ambiguous [along the lines of Epstein (2001)] about the productivity shocks of country two and vice versa. The model is calibrated and...

We model a dynamic limit order market as a stochastic sequential game. Since the model is analytically intractable, we provide an algorithm based on Pakes McGuire (2001) to find a stationary equilibrium, we generate artifical time series and perform comparative dynamics. As we know the data...