We construct simple indices based on newspaper mentions of the word ``recession'' and show they are useful coincident and leading indicators of U.S. economic activity. These indices compare favourably, both in-sample and out-of-sample, with other business-cycle predictors. Importantly,...

We use the 2008 crisis as an exogenous shock to the annual pension funding ratios of U.S. corporate defined benefit (DB) pension plans to examine the causal impact on the assumption of expected return on pension assets (EROA). Contrary to prior literature, we find that DB pension plans...

A large theoretical literature emphasizes financial networks, but empirical studies remain scarce. We exploit the overlapping bank portfolio structure of syndicated loans to construct a financial network and characterize quantitatively its evolution over time. We use the network to estimate a...

We estimate a nominal life-cycle portfolio choice model using shopping coststo generate money demand. The model delivers realistic implications forstock market participation and portfolio composition because money crowdsout other assets at lower levels of wealth. We quantify how...

We study life-cycle asset allocation in the presence of liquidity constraints and undiversifiable labor income risk. The model includes three different assets (cash, long-term government bonds and stocks) and it takes into account the life-cycle profile of housing expenditures. With a modest...

This paper discusses calibration and numerical solution of a wide range of household portfolio models. We illustrate the main conceptual, technical, and computational issues that arise in the context of household portfolio choice, and explore the implications of alternative modeling choices. We...

Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we document local currency depreciations ahead of unscheduled, public, sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower...

his paper highlights the dual facets of bank specialization. After negative industry-specific shocks, banks specializing in an affected-sector act as shock absorbers, by increasing their lending to firms in that sector at lower interest rates than non-specialized banks. This lending is to firms...

We use the 2008 crisis as an exogenous shock to the pension funding status of U.S. corporate defined benefit (DB) pension plans to examine the causal impact on the assumption of the expected return on pension assets (ER). Contrary to prior literature, we find that DB pension plans transitioning...