We take as a starting point the existence of a joint distribution implied by different dynamic stochastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare "true" joint distributions with ones generated by given DSGEs. This is accomplished...

Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. The purpose of this paper is to investigate the importance of certain credit market imperfections...

This paper develops a method that uses a likelihood approach to directly compare two or more non-nested dynamic, stochastic general equilibrium (DSGE) models. It is shown how DSGE models can be compared across the whole sample and how this measure can be decomposed across individual observations...

A key parameter in real business cycle models is the weight on the utility of leisure. Typically this parameter is chosen so that the steady-state level of work activity matches the corresponding measure in the data, i.e. the amount of time workers spend in market activity. While the calibration...

This paper investigates how concentrated ownership of capital influences the pricing of risky assets in a production economy. The model is designed to approximate the skewed distribution of wealth and income in U.S. data. I show that concentrated ownership significantly magnifies the equity risk...

This paper estimates the macroeconomic effect of labor market programs on labor force participation. Labor market programs could counteract business-cycle variation in the participation rate that is due to the discouraged-worker effect, and they could prevent labor force outflow. An equation...

The role of the exchange rate under inflation targeting (IT) remains an unresolved issue in literature and policy discussions -and a challenge for central banks implementing IT, especially in developing countries. This paper aims at assessing whether there is a relation between the nominal...

This paper estimates the macroeconomic effect of labor market programs on labor force participation. Labor market programs could counteract businesscycle variation in the participation rate that is due to the discouraged-worker effect, and they could prevent labor force outflow. An equation that...

This paper estimates the macroeconomic effect of labor market programs on labor force participation. Labor market programs could counteract business-cycle variation in the participation rate that is due to the discouraged-worker effect, and they could prevent labor force outflow. An equation...

This paper studies a new class of semiparametric dynamic panel data models, in which some coefficients are allowed to depend on some informative variables and some regressors can be endogenous. To estimate both parametric and nonparametric coefficients, a three-stage semiparametric estimation...