The expected return to equity – typically measured as a historical average – is a key variable in the decision making of investors. A recent literature uses analysts' forecasts, investor surveys or present-value relationships and finds estimates of expected returns that are sometimes much...

National saving rates differ enormously across developed countries. But these differences obscure a common trend, namely a dramatic decline over time. France and Italy, for example, saved over 23% and 19% of national income in 1970, but only 9% and 4% respectively in 2008. Japan saved almost 33%...

In this paper, we study the macroeconomic implications of sectoral heterogeneity and, in particular, heterogeneity in price setting, through the lens of a highly disaggregated multi-sector model. The model incorporates several realistic features and is estimated using a mix of aggregate and...

We use all available waves of the Survey of Consumer Finances to document the evolution of the wealth distribution in the US since the 1980s. Relying on the shape of this distribution we then estimate a life-cycle incomplete markets model. We find that considering a wide range of net worth...

In this paper, we study the macroeconomic implications of sectoral heterogeneity and, in particular, heterogeneity in price setting, through the lens of a highly disaggregated multi-sector model. The model incorporates several realistic features and is estimated using a mix of aggregate and...

In this paper, we empirically examine a heterogenous bounded rationality version of a hybrid New-Keynesian model. The model is estimated via the simulated method of moments using Euro Area data from 1975Q1 to 2009Q4. It is generally assumed that agents' beliefs display waves of optimism and...

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...

This paper investigates how firms dynamically adjust their use of capital, labor, energy, and materials when there are both smooth and lumpy adjustment possibilities and interrelation among adjustments. The Colombian Annual Census of Manufacturing provides evidence of these kinds of adjustment....

Some traders estimate precipitation derivatives to have a potential which increases even that of temperature derivatives. Precipitation derivatives can be used both for hedging and marketing purposes for a diverse number of possible end users. However, the complex way of measuring precipitation,...

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...