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.
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).
Rising costs of and returns to college have led to sizeable increases in the demand for
student loans in many countries. In the U.S., student loan default rates have also risen
for recent cohorts as labor market uncertainty and debt levels have increased.
It is a robust finding that technical trading rules applied to foreign exchange markets
have earned substantial excess returns over long periods of time. However, the approach to
risk adjustment has typically been rather cursory, and has tended to focus on the CAPM.
Event studies show that the Federal Reserve’s announcements of forward guidance and large
Scale asset purchases had large and desired effects on asset prices but they do not tell us how
long such effects last.
In 2005, reforms made formal personal bankruptcy much more costly. Shortly after, the US
began to experience its most severe recession in seventy years, and while personal bankruptcy
rates rose, they rose only modestly given the severity of the rise in unemployment.
This paper evaluates the most appropriate ways to model diffusion and jump features of high-frequency exchange rates in the presence of intraday periodicity in volatility. We show that periodic volatility distorts the size and power of conventional tests of Brownian motion, jumps and (in)finite activity.
We study the roles private information and capital accumulation play in the structure of
partnerships. Partnerships are ventures formed with capital contributions from two members
who initially share ownership of a business.
We review the responses of the Federal Reserve to financial crises over the past 100 years. The authors of the Federal Reserve Act in 1913 created an institution that they hoped would prevent banking panics from occurring.
The recent financial crisis has focused attention on the relationship between access to finance and international trade, triggering a burgeoning segment of the literature evaluating this link empirically.
This paper argues that self-fulfilling beliefs in credit conditions can generate endoge-
nously persistent business cycle dynamics. We develop a tractable dynamic general equi-
librium model in which heterogeneous firms face idiosyncratic productivity shocks.
At an aggregate level, formal default via bankruptcy and informal default via delinquency
are both quantitatively important in consumer credit markets. In this paper,
we use a variety of microeconomic data sources to construct a salient set of facts on
the use of unsecured debt and both formal and informal default.
What is the role of a country’s financial system in determining technology adoption? To examine
this, a dynamic contract model is embedded into a general equilibrium setting with competitive