We study the interaction between an agent of uncertain type, whose project gives rise to both good news and bad news, and an evaluator who must decide if and when to fire the agent. The agent can hide bad news from the evaluator at some cost, and will do so if this secures her a significant...

The last two decades were marked by a high increase in economic growth research, namely related to three important issues as stated in Klenow et al. [1997]: world growth, country growth and dispersion in income levels. The Charles Jones' [2002] technique to solve endogenous growth models relies...

In this paper we propose a multi-factor comprehensive metric of homophily between the CEOs of the acquiror and the target firms as a causal determinant of mergers and acquisitions. We find strong evidence that higher homophily among the two CEOs increases the likelihood of M&A deal initiation...

We introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component. We develop a GMM estimator...

We provide a generic method to find full dynamical solutions to binary decision models with interactions. In these models, agents follow a stochastic evolution where they must choose between two possible choices by taking into account the choices of their peers. We illustrate our method by...

We study a dynamic model in which the interaction between debt accumulation and asset prices magnifies credit booms and busts. We find that borrowers do not internalize these feedback effects and therefore suffer from excessively large booms and busts in both credit flows and asset prices. We...

This paper introduces novel estimates of a time-varying firm and household economic uncertainty in a data-rich environment. Using forecasting models such as a dynamic factor model with time varying parameters instead of constant parameters would change the prediction errors and, in turn,...

This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to...