This paper analyzes the role of stochastic uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production and provide estimates of the time-series properties of risk shocks by...

The paper asks how state of the art DSGE models that account for the conditional response of hours following a positive neutral technology shock compare in a marginal likelihood race. To that end we construct and estimate several competing small-scale DSGE models that extend the standard real...

The means-testing of age pension programs allows governments to control the receipt of pension benefits (extensive margin) and the benefit level (intensive margin). We investigate how the presence of the extensive margin influences the trade-off between protecting the poorer elderly and the...

To what extent is public debt private liquidity? Much policy advice given in the aftermath of the financial crisis rests on the assumption that increasing public debt relaxes borrowing constraints of private households. This is the case for ad-hoc debt limits, which are exogenous to public...

We report strong empirical support for the presence of self-interest-based risk sharing within extended families in the U.S. A standard model of self-interest-based risk sharing predicts that the share of current family income consumed by a child positively depends on that child׳s permanent...

This paper quantifies the fiscal cost of demographic transition that Japan is projected to experience over the next several decades, in a life-cycle model with endogenous saving, consumption, and labor supply in both intensive and extensive margins. Retirement waves of baby-boom generations,...

This paper studies the application of the simulated method of moments (SMM) to the estimation of nonlinear dynamic stochastic general equilibrium (DSGE) models. Monte-Carlo analysis is employed to examine the small-sample properties of SMM in specifications with different curvatures and...

In the United States, the residential housing market went through important changes over the period from the 1970s to the mid-1990s. Although the aggregate homeownership rate was relatively stable during that period, the distribution of homeownership rates by age changed in remarkable ways....

We introduce a dynamic banking-macro model, which abstains from conventional mean-reversion assumptions and in which—similar to Brunnermeier and Sannikov (2010)—adverse asset-price movements and their impact on risk premia and credit spreads can induce instabilities in the banking sector. To...