Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and...
Modern open economy macro models assume the continuous adjustment of international portfolio allocation. We introduce gradual portfolio adjustment into a global equity market model. Our approach...
View ArticleUsing Kinked Budget Sets to Estimate Extensive Margin Responses: Evidence...
We develop a method for estimating the effect of a kinked budget set on workers' employment decisions, and we use it to estimate the impact of the Social Security Old-Age and Survivors Insurance (OASI)...
View ArticleEconomies of Density in E-Commerce: A Study of Amazon's Fulfillment Center...
We examine the economies of density associated with the expansion of Amazon's distribution network from 2006 to 2018. We demonstrate that, in placing a fulfillment center in a new state, Amazon faces a...
View ArticleMarket Power and Price Discrimination in the U.S. Market for Higher Education...
The main purpose of this paper is to estimate an equilibrium model of private and public school competition that can generate realistic pricing patterns for private universities in the U.S. We show...
View ArticleFinancial Integration and Liquidity Crises -- by Fabio Castiglionesi, Fabio...
The paper analyzes the effects of financial integration on the stability of the banking system. Financial integration allows banks in different regions to smooth local liquidity shocks by borrowing and...
View ArticleHousehold Matters: Revisiting the Returns to Capital among Female...
Several field experiments find positive returns to grants for male and not female micro-entrepreneurs. But, these analyses largely overlook that male and female micro-entrepreneurs often belong to the...
View ArticleConsumption Inequality and the Frequency of Purchases -- by Olivier Coibion,...
We document a decline in the frequency of shopping trips in the U.S. since 1980 and consider its implications for the measurement of consumption inequality. A decline in shopping frequency as...
View ArticleAll the President's Friends: Political Access and Firm Value -- by Jeffrey R....
Using novel data on White House visitors from 2009 through 2015, we find that corporate executives' meetings with key policymakers are associated with positive abnormal stock returns. We also find...
View ArticleHarnessing Policy Complementarities to Conserve Energy: Evidence from a...
The literature has shown the power of social norms to promote residential energy conservation, particularly among high usage users. This study uses a natural field experiment with nearly 200,000 US...
View ArticleTurbulence, Firm Decentralization and Growth in Bad Times -- by Philippe...
What is the optimal form of firm organization during "bad times"? Using two large micro datasets on firm decentralization from US administrative data and 10 OECD countries, we find that firms that...
View ArticleCost of Service Regulation in U.S. Health Care: Minimum Medical Loss Ratios...
In health insurance markets, an insurer's Medical Loss Ratio (MLR) is the share of premiums spent on medical claims. As part of the goal of reducing the cost of health care coverage, the Affordable...
View ArticleSatisfaction Guaranteed: When Moral Hazard meets Moral Preferences -- by...
Theorists and policy analysts have convincingly argued that greater trust makes a more efficient society by eliminating costly contracts or expensive reputations. Concurrently, experiments suggest that...
View ArticlePricing Variance Swaps on Time-Changed Markov Processes. (arXiv:1705.01069v1...
We prove that the variance swap rate equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary continuous stochastic...
View ArticleA Novel Approach to Forecasting Financial Volatility with Gaussian Process...
In this paper we use Gaussian Process (GP) regression to propose a novel approach for predicting volatility of financial returns by forecasting the envelopes of the time series. We provide a direct...
View ArticleTowards the Exact Simulation Using Hyperbolic Brownian Motion....
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under stochastic...
View ArticleParticle systems with singular interaction through hitting times: application...
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a lower threshold, and...
View ArticlePortfolio Choice with Small Temporary and Transient Price Impact....
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen [24]. In the large-liquidity limit where both frictions are small, we derive...
View ArticleFlipping Houses For Dummies, 3rd Edition
Are you a wanna-be flipper looking to get the property, get the job done, and get out—all while maximizing your profit? Not just another house-flipping book, this hands-on guide shows you how to roll...
View ArticleSuccess as a Real Estate Agent For Dummies, 3rd Edition
With home prices jumping nationwide, the real estate market is clearly starting to show stabilization. In the latest edition of Success as a Real Estate Agent For Dummies, expert author Dirk Zeller...
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