A widely used method in the analysis of large-scale econometric models is to replace the ``true model'' by an aggregative one in which the variables are grouped and replaced by sums or weighted averages of the variables in each group. The modes of aggregation of the independent and dependent...

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We consider a stylised model of a financial market where assets are traded over two periods by three agents: two fund managers and a third large trader that represents the rest of the market. Fund managers are rewarded at the end of the second period by a bonus that is awarded to the manager...

This paper models managerial human capital as the ability to predict future events. My assignment model shows that a manager who has high prediction ability goes into a risky industry, because risk increases the marginal productivity of prediction ability. This conclusion contrasts with that of...

In this paper we propose a multivariate analysis of a cointegrated vectorial autoregressive model with structural breaks affecting the cointegrating vectors. These changes are previously recognized using a single-equation methodology. Asymptotic properties of the breaks dates estimators allow us...

This paper takes a preliminary step towards understanding the dynamics of property prices and their interaction with output growth. Our general equilibrium model is able to generate closed form solutions and testable hypotheses that are broadly supported empirically. In particular, our data...

No abstract.

We analyze equilibrium bidding behavior in a three bidder open ascending bid auction with identity dependent externalities. We prove the existence of a unique symmetric equilibrium and then show that for sufficiently large externalities, the open auction yields strictly higher expected revenues...

Empirical tests of the complete markets hypothesis generally reject full insurance and stimulated the study of optimal risk sharing. However, most of the empirical tests of the complete markets hypothesis make strong assumptions concerning the specification of preferences. In particular, the...

In a recent contribution ``On Behavioural Heterogeneity'' (1999), W. Hildenbrand and A. Kneip propose an index of Heterogeneity that allow them to establish that ``the higher the degree of behavioural heterogeneity the less sensitive the aggregate consumption expenditure ratio upon prices''....