In this paper we address the time-inconsistency of optimal debt policy—the incentive for a current government to “manipulate interest ratesâ€â€”raised in Lucas and Stokey’s celebrated 1983 paper. The literature that followed suggested various ways to fully overcome...

Unlike most developed countries, individuals’ health insurance in the United States has long been provided primarily through employers. Though the percentage has been steadily declining for decades, de Navas-Walt, Proctor, and Mills (2004) find that about 60% of Americans still get health...

Governments in emerging markets often behave like a "tormented insurer", trying to use non-state-contingent debt instruments to avoid sharp adjustments in their payments to private agents despite sharp fluctuations in public revenues. In the data, their ability to sustain debt is inversely...

This paper studies studies the effects of alternative taxation rules when salient demographic features of modern economies are explicitly considered. We build a equilibrium framework in which the formation and dissolution of households, household labor supply decisions at the intensive and...

This paper estimates recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by the Moody’s KMV EDF measure, and market default swap (CDS) rates. The default-swap data, obtained by CIBC from a large number of dealers...

This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...

In this paper we investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of the structural innovations. We apply our estimation...

In the summer of 1997, several East Asian countries experienced a dramatic devaluation of their currencies both in nominal and in real terms, stock prices collapsed and output fell. Later in that year several Latin American countries were also affected, followed by Brazil and Russia in 1998....