This paper develops an analytical framework to explain how a liquidity shock or a shock to the aggregate haircut on collateralized assets amplifies financial crisis in a carry trade recipient country. The model allows roles for shocks to the size of a haircut, strategic behaviour across currency...

We discuss stability of discrete-time Markov chains satisfying monotonicity and an order-theoretic mixing condition that can be seen as an alternative to irreducibility. A chain satisfying these conditions has at most one stationary distribution. Moreover, if there is a stationary distribution,...

In applied density estimation problems, one often has data not only on the target variable, but also on a collection of covariates. In this paper, we study a density estimator that incorporates this additional information by combining parametric estimation and conditional Monte Carlo. We prove...

Infrastructure, as it impacts transport costs, is crucial in determining equilibrium outcomes in spatial competition; however, infrastructure investment is typically exogenous. Our political economy analysis of infrastructure choice is based upon consumer preferences derived from Salop’s...

In Hotelling style duopoly location games the product variety (or firm locations) is typically not socially optimal. This occurs because the competitive outcome is driven by the density of consumers at the margin while the socially optimal outcome depends on the whole distribution of consumer...

The look-ahead estimator is used to compute densities associated with Markov processes via simulation. We study a framework that extends the look-ahead estimator to a much broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L2...

We introduce a goodness of fit test for ergodic Markov processes. Our test compares the data against the set of stationary densities implied by the class of models specified in the null hypothesis, and rejects if no model in the class yields a stationary density that matches with the data. No...

This paper studies a value function iteration algorithm that can be applied to almost all stationary dynamic programming problems. Using nonexpansive function approximation and Monte Carlo integration, we develop a randomized fitted Bellman operator and a corresponding algorithm that is globally...

This paper generalizes the sufficient conditions for stability of monotone economies and time series models due to Hopenhayn and Prescott (Econometrica, 60, p. 1387–1406, 1992). We introduce a new order-theoretic mixing condition and characterize stability for monotone economies satisfying...