Empirical work on asset prices suggests that pricing kernels have to be almost perfectly correlated across countries. If they are not, real exchange rates are too smooth to be consistent with high Sharpe ratios in asset markets.
How efficiently are physical and human capital allocated across countries? Observing
differences in the countries' ratios of physical and human capital to output is not conclusive
evidence of distortions since those differences may be driven by factor intensity differences
in the countries' production functions.
Earnings growth has been systematically decreasing from one cohort to the next, starting
with the cohort that was 25-year-old in 1940. This cohort's labor earnings grew by a factor of
4 between the ages of 25 and 55.
Why has the U.S. black/white earnings gap remained around 40 percent for nearly 40 years? This paper's answer consists of a model of skill accumulation and neighborhood formation featuring a trap: Initial racial inequality and racial preferences induce racial segregation and asymmetric skill accumulation choices that perpetuate racial inequality.
Mortgages are long-term nominal loans. Under incomplete asset markets, monetary policy is shown to affect housing investment and the economy through the cost of new mortgage borrowing and the value of payments on outstanding debt. These channels, distinct from traditional
transmission of monetary policy, are evaluated within a general equilibrium model.
The interest rate at which US firms borrow funds has two features: (i) it moves in a countercyclical fashion and (ii) it is an inverted leading indicator of real economic activity: low interest rates forecast booms in GDP, consumption, investment, and employment.
We compare methods to measure comovement in business cycle data using multi-level dynamic
factor models. To do so, we employ a Monte Carlo procedure to evaluate model performance
for different specifications of factor models across three different estimation procedures.
We study the endogenous choice to accept fiat objects as media of exchange and their implications
for nominal exchange rate determination. We consider a two-country environment with two
currencies which can be used to settle any transactions.
The supply and demand of credit are not always well aligned and matched, as is reflected
in the countercyclical excess reserve-to-deposit ratio and interest spread between the lending
rate and the deposit rate.
What determines the earnings of a worker relative to his peers in the same
occupation? What makes a worker fail in one occupation but succeed in another?
More broadly, what are the factors that determine the productivity of a worker-occupation
match? In this paper, we propose an empirical measure of skill mismatch
for a worker-occupation match, which sheds light on these questions.
Continued consolidation of the U.S. banking industry and general increase in the
size of banks has prompted some policymakers to consider policies to discourage banks
from getting larger, including explicit caps on bank size.
This paper analyzes the sources of the racial difference in the intergenerational transmission of human
capital by developing and estimating a dynastic model of parental time and monetary inputs in early childhood with endogenous fertility, home hours, labor supply, marriage, and divorce.
This paper develops measures of the costs and benefits of governance regulations
within a dynamic principal agent model of hidden information and moral
hazard following the passage of the Sarbanes-Oxley Act (SOX).
As an alternative to ordinary least squares (OLS), we estimate location values for single family houses using a standard housing price and characteristics dataset by local polynomial regressions (LPR), a semi-parametric procedure.
Established by a three person Reserve Bank Organization Committee (RBOC) in 1914, the structure of the Federal Reserve System has remained essentially unchanged ever since, despite criticism at the time and over ensuing decades.