This dissertation pursues to find an answer empirically to the question of therevenue ranking between the multiple price auction and the single price auction. I alsoattempt to get empirical clues in terms of the efficiency ranking between the two.Under the assumptions of symmetric bidders and...

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm leverage, volatility and the riskless interest rate. We...

This paper proposes a methodolgy to estimate structural macroeconomic models including non-stationary steady state dynamics. Using a transitory-permanent decomposition of the Euler equations, the method first solves for the transitory dynamics and subsequently provides the solution for the full...

Inflation volatility has significantly declined over the last 20 years in the U.S. To find out why, I follow a structural approach. I estimate a complete New Keynesian model which imposes cross-equation restrictions on the time series of inflation, the output gap and the interest rate. I perform...

It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang and Zivot (1998, Econometrica), Stock and Wright (2000, Econometrica),...

This paper contains commentary on the chapter “Simulation and Estimation of Hedonic Models” by Heckman, Matzkin and Nesheim that appeared in the volume "Frontiers in Applied General Equilibrium Modeling," Kehoe, Srinivasan and Whalley (eds.), Cambridge University Press, 2005. I explain in...