We propose a measure of the extent to which a financial sector is connected to the real economy. The Measure of Connectedness is a mesure of composition of the assets, namely the share of the credit to the non-financial sectors over the total credit market instruments. The aggregate U.S. Measure...

We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates...

This paper tackles the prediction of the probability and severity of US recessions. We employ parsimonious Probit models to estimate the probability of a recession h periods ahead, for h varying between 1 and 8 quarters. A novel goodness-of-fit measure derived from the Kullback-Leibler...

We analyze firms’ entry, production and hedging decisions under imperfect competition. We consider an oligopoly industry producing a homogeneous output in which risk-averse firms face an entry cost upon entering the industry, and then compete in Cournot with one another. Each firm faces...

We study the effect of heterogeneous growth in demand on resource extraction. Using the Great Fish War framework of Levhari and Mirman (1980), we show that heterogeneity in demand growth has a profound effect on both cooperative and non-cooperative solutions.

We study learning in perfect competition. A representative price-taking firm sells a good whose quality is unknown to some buyers. The uninformed buyers use the price to infer information about quality. Even though the firm is a price-taker, information is disseminated though the price. It is...

In this article, we propose a new parametric model for the modelling and estimation of accident distributions for drivers working in fleets of vehicles. The analysis uses panel data and takes into account individual and fleet effects in a non-linear model. Our sample contains more than 456,000...

We study third-degree price discrimination in the presence of uninformed buyers who extract noisy information from observing prices. In a noisy learning environment, price discrimination can be detrimental to the firm and beneficial to the consumers. On the one hand, discriminatory pricing...

We study the issue of integrating real and financial decisions in a monopoly firm with risk-averse decision-makers. To that end, we combine the decisions of the firm and of the shareholders in a very simple but robust model, with uncertainty in the real market and CARA preferences. We show the...

This paper builds a dynamic model of electoral competition with nonbinding campaign promises. We find that campaign promises by a candidate for office signal her political preferences and public policy that she intends to implement. The reason is that electoral competition induces her to pander...