The May 2007 issue of the Journal of Monetary Economics published a paper of mine entitled ‘Investment-Specific Technological Progress and Growth Accounting’ which critiqued the work of Greenwood, Hercowitz and Krusell. I argued that the Greenwood-Hercowitz-Krusell (GHK) model is a special...

This paper proposes an empirically feasible method for correcting the path-dependence bias of chain indices of the cost of living. Chain indices are discrete approximations to Divisia indices and it is well known that the latter are path-dependent: the level of a Divisia index is affected not...

The endogeneity of preferences implies that not only individual preferences—along with technologies, government policies, and the organization of society and markets—determine economic outcomes, but also that the economic, social, legal, and cultural structure of society affects preferences....

In this paper we provide a characterization of the welfare properties of rational expectations equilibria of economies in which, prior to trading, agents have some information over the realization of uncertainty. We study a model with asymmetrically informed agents, treating symmetric...

The paper analyzes the existence and impact of …nancing constraints as a possibly serious obstacle to innovation by …rms. Direct measures of …nancing constraints are employed using survey data collected by the Banque de France and Eurostat, which overcomes the problems with the traditional...

In this paper we develop models of the incidence and extent of external financing crises of developing countries, which lead to multiperiod multinomial discrete choice and discrete/continuous econometric specifications with flexible correlation structures in the unobservables. We show that...

In this paper, I first show how aggregation over submarkets that exhibit varying degrees of disequilibrium can provide a foundation to the classic "short-side" disequilibrium econometric model of Fair and Jaffee [11]. I then introduce explicit randomness in the aggregative model as arising from...

Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in order to rationalize the stock market risk premium....

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset's expected return is determined by its equilibrium risk to consumption. Rather that measure the risk of a portfolio by the contemporaneous covariance of its return and consumption...

This paper shows, from the consumer’s budget constraint, that expected future labor income growth rates and the residuals of the cointegration relation among log consumption, log asset wealth and log current labor income (summarized by the variable cay of Lettau and Ludvigson (2001a)), should...