Endowments with a minimum guaranteed rate of return appear in insurance policies, pension plans and social security plans. In several cases, especially in the insurance industry, such endowments also participate in the business and receive bonuses from the firm's asset portfolio. In this paper...

In this paper, we develop a Bayesian approach to counterfactual analysis of structural change. Contrary to previous analysis based on classical point estimates, this approach provides a straightforward measure of estimation uncertainty for the counterfactual quantity of interest. We apply the...

Commodity futures market efficiency has commonly been investigated in the standard I(1)-I(0) cointegration framework and it has provided inconclusive and conflicting results. However, recent empirical studies have found that the spot-futures basis is a fractionally integrated or long memory...

Recent tendency in academic work and at central banks is to develop and estimate large DSGE models for policy analysis and forecasting. These models typically have many shocks (e.g. Smets and Wouters, 2003 and Adolfson, Laseen, Linde and Villani, 2005). On the other hand, empirical studies...

We present an optimal (Ramsey) social security policy analysis in the presence of demographic uncertainties and incomplete markets. According to our findings, a social security system is an efficient instrument for intergenerational risk-sharing. When compared with government debt, a...

In this paper, we consider multitiered network equilibrium problems with optimizing decision-makers associated at the nodes with applications ranging from supply chain networks and electric power networks to financial networks with intermediation. We assume fixed demands associated with the...

This paper uses a DSGE model to study the potential benefits and costs of joining a monetary union. We show that the potential benefits arise from two sources. First, it reduces the magnitude of shocks by eliminating shocks to the nominal exchange rate, which have been found to be very...

In this paper, we propose new solutions to the well-known problem of identification of social effects. Manski (1993) showed that endogenous and contextual (or exogenous) social effects cannot, in general, be disentangled in the linear-in-means model. Our main innovation is that we allow...

This paper serves two purposes. First, it investigates to what extent a New Keynesian monetary model with the addition of a microfounded, non-Walrasian labor market based on union bargaining is able to replicate key aspects of the business cycle. Second, it explores the influence of this setting...

Here I consider the dynamics of interest rate processes in the multi-factor model specified in Heath, Jarrow and Morton (1992). Despite its flexibility and theoretical advances, the number of empirical studies using the HJM model remains inadequate, principally because of the difficulty...