Now showing items 1-10 of 19
Identification with Models and Exogenous Data Variation
(2016-07)
We distinguish between identification and establishing causality. Identification means forming a unique mapping from features of data to quantities that are of interest to economists. Establishing causality is synonymous ...
How Should Retirement Plans Be Organized?
(2016-10)
Americans have a tough time saving for their retirement. To make matters worse, the move from defined benefit (DB) to defined contribution plans (DC) over the years has required greater investor sophistication, discipline, ...
Real and Nominal Equilibrium Yield Curves with Endogenous Inflation: A Quantitative Assessment
(2014-10)
The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and quantitatively in a model with nominal rigidities and monetary policy. The interest-rate policy rule becomes a ...
Bribes and Firm Value
(2016-11)
I exploit the passage of the U.K. Bribery Act 2010 as a shock to U.K. firms’ cost of doing business in order to study the effect of bribes on firm value. Around the Act’s passage, U.K. firms operating in high-corruption ...
Dynamics of Bond and Stock Returns
(2015-04)
I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces time-varying correlation between stock and long-term default-free real bond returns that changes in both ...
The Misallocation of Finance
(2016-06)
We ask whether financial assets are well-allocated in the cross-section of firms. Extending the framework of Hsieh and Klenow (2009) to the liabilities side of the balance sheet, we estimate the real losses that accrue ...
Why Don’t General Counsels Stop Corporate Crime?
(2016-07)
Corporate fraud is costly, involving hundreds of billions of dollars in lost reputational and out of pocket costs for stakeholders and hundreds of thousands of job losses for employees, suppliers and customers as well as ...
Making Money: Commercial Banks, Liquidity Transformation and the Payment System
(2017-12)
We consider the interaction between the roles of a bank as a facilitator of payments in the economy and as a lender. In our model, banks make loans by issuing digital claims to an entrepreneur, who then uses them to pay ...
Robust Security Design
(2016-08)
We consider the optimal contract between an entrepreneur and investors in a single-period model when both parties have limited liability, are risk-neutral toward cash flow risk, and are ambiguity-averse. Ambiguity aversion ...
Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures
(2014-10)
Firm-level risk exposures and costs of equity are notoriously difficult to estimate. Using a novel approach mapping consumption risk exposures to firm characteristics, we combine the traditional portfolio-level approach ...