The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess...

I argue that it is useful to think about the optimal design of monetary institutions using the insights from the theory of incomplete contracts. The core of the monetary policy problem is the uncertainty about future social decisions resulting from the impossibility and the undesirability of...

This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that quot;contagionquot; between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets....

In this paper, we present a simple general equilibrium model of the portfolio behavior of households and institutions, paying particular attention to the influence of differences in tax rates and attitudes toward risk. Under the plausible assumptions that households are more risk averse than...

This paper analyses recent contributions to the theory of household saving and examines empirical evidence on the subject. It focuses on (a) the derivation and estimation of first-order conditions for a consumer's optimum lfe-cycle consumption plan, (b) the conditions under which such conditions...

The paper discusses a methodology for calculating the distribution of gains and losses from a policy change using data for a large sample of households. Estimates are based on the equivalent income function, which is money metric utility defined over observable variables. This enables...

Empirical tests of the life cycle model have focused on its implications for the level of a household's total net worth and paid little attention to changes in portfolio composition over the life cycle. In this paper, we examine a new survey of the asset holdings of 6,010 U.S households and show...

In this paper, we examine a new survey of 6,010 U.S. households and estimate a model for the allocation of total net worth among different assets. The paper has three main aims. The first is to investigate the extent to which a conventional portfolio choice model can explain the differences in...

A substantial literature exists on the impact of pension schemes, both public and private, on the level of household saving. Yet there is no clear consensus on the impact of pensions on private saving. In this paper we show how beliefs about this displacement effect are modified by prior beliefs...

Empirical studies of the life cycle savings model have tended to rej ect the hypothesis of a quot;hump-shapedquot; pattern for the wealth-age profile. In this paper we show, using new data on net worth for 12,734 families, that there is evidence that wealth declines after retirement provided...