We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully...

We estimate and compare two models, the Generalized Taylor Economy (GTE) and the Multiple Calvo model (MC) that have been built to model the distributions of contract lengths observed in the data. We compare the performances of these models to those of the standard models such as the Calvo and...

With a regression discontinuity design I show that the partisan identity of the majority in the state House of Representatives has no causal effect on the tax level. This result goes against recent findings in the political economy literature. In the state Senate I find a significant...

We find the surprising result that the tax level is negatively correlated with the size of the Democratic majority in the interval in which the Democrats hold between 50 and 66% of the seats in the state Legislatures. This negative relationship suggests the failure of a simple ideological model...

We investigate optimal monetary policy design using a New Keynesian model that accommodates liquidity frictions. In this model, unlike the standard New Keynesian model, the central bank faces a trade-off between inflation and output stabilisation. Optimal policy requires a temporary deviation...

In this paper we explore how the composition of a market maker's portfolio and allocation of attention across securities in the portfolio affect pricing. We analyze whether more attention devoted to similar securities enables a market maker to extract information relevant to a stock from order...

We argue that insiders' decisions to trade in short windows before news announcements are likely to result from a trade-off between the incentives to capitalize on the foreknowledge of the disclosure and the risk of regulatory scrutiny and lost reputation. We provide evidence that insider buying...

We add to the concerns raised in Ljungqvist, Malloy and Marston, 2009, Rewriting History, Journal of Finance, 64, 1935-1960, about the reliability of the I/B/E/S data provided by Thomson Reuters (TR). Many of the dates reported as earnings announcement dates are not earnings announcement dates;...

This paper studies the secular behavior of worker reallocation across occupations in the US labor market. In the empirical analysis, we use 45 years of microdata to construct consistent time-series and document that the fraction of employment reallocated annually across occupations is remarkably...

The issue of model uncertainty is central to the empirical study of economic growth. Many recent papers use Bayesian Model Averaging to address model uncertainty, but Ciccone and Jarociński (2010) have questioned the approach on theoretical and empirical grounds. They argue that a standard...