Over the last two decades, bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model where banks can originate loans, earn their fee, and then sell them off to investors who desire such exposures. We show that the borrowers whose loans are sold...

This paper employs non-parametric specification tests developed in Hong and Li (2005) to evaluate several one-factor reduced-form credit risk models for actual default intensities. Using estimates for actual default probabilities provided by Moody’s KMV from 1994 to 2005 for 106 U.S. firms in...

We develop a method for measuring the amount of insurance the portfolio of government liabilities provides against scal shocks, and apply it to postwar US data. We dene scal shocks as surprises in defense spending. Our results indicate that the US federal government is partially hedged against...

For introductory presentation of issues involving identification and estimation of simultaneous equation systems, a natural vehicle is a model consisting of supply and demand relationships to explain price and quantity variables for a single good. One would accordingly expect to find in...

This paper develops and implements a semiparametric estimator for investigating, with panel data, the importance of human capital accumulation, non-separable preferences of females and child care costs on females life-cycle fertility and labor supply behaviors. It presents a model in which the...

This paper considers the problem of identifi…cation and estimation in panel-data sample-selection models with a binary selection rule when the latent equations contain possibly predetermined variables, lags of the dependent variables, and unobserved individual effects. The selection equation...

This paper explores the equilibrium correspondence of a dynamic quality ladder model with entry and exit using the homotopy method. The homotopy method facilitates exploring the equilibrium correspondence in a systematic fashion; it is ideally suited for investigating the economic phenomena that...

This study structurally estimates a dynamic model of drug development process in pharmaceutical industry, and uses counterfactual experiments to evaluate effects of various policy interventions aimed at increasing the introduction rate of new drugs within a specifi…c therapeutic area. Advanced...

Two complementary sources of information are studied in a multiperiod agency model. One is an accounting source which partially but credibly conveys the agent’s private information through accounting recognition. The other is an unverified communication by the agent (i.e., a self-report). In a...

The paper reviews issues related to the zero lower bound (ZLB) on interest rates and argues that all of the following propositions are invalid: (1) in a ZLB situation, "shaping interest rate expectations is essentially the only tool that central bankers have" (Bernanke, Reinhart, and Sack...