We examine the behaviour of the nonparametric maximum likelihood estimator (NPMLE) for a discrete duration model with unobserved heterogeneity and unknown duration dependence. We find that a nonparametric specification of either the duration dependence or unobserved heterogeneity, when the other...

The term structure of interest rates is an old topic. Over the years, both the hypotheses debated and the research techniques used have changed considerably. Two fairly recent developments which distinguish current research are the widespread adoption of rational expectations and the integration...

We introduce state dependent recursive preferences into the Mehra-Prescott economy. We show that such preferences can match the historical first two moments of the returns on equity and the risk free rate. Other authors have reported similar results using state dependent expected utility...

Lucas (2003) argues that the potential welfare gains from stabilizing the business cycle are small. In fact, he shows that the benefits of eliminating all economic fluctuations are small, both in an absolute sense and when compared to the potential gains from other reforms. His estimates are...

The current monetary policy agreement between the Bank of Canada and the Department of Finance is set to expire at the end of 2011. Among the policy options under consideration is the adoption of either a lower inflation target or a switch to price-level targeting. The recent financial crisis...

The following is a report from a panel of the same title held at the Rimini Conference in Economics and Finance, Rimini, Italy, 10-13 June 2010, and organized by the Rimini Conference for Economic Analysis (RCEA). Panel Chair: Angelo Melino (University of Toronto and RCEA). Panelists: David...

Financial market participants would benefit from a better understanding of how the Bank of Canada sets the overnight interest rate in response to economic developments. More accurate forecasts of the Bank’s future policy choices would lead to better financial decisions and better price and...

The current monetary policy agreement between the Bank of Canada and the Department of Finance is set to expire at the end of 2011. Among the policy options under consideration is the adoption of either a lower inflation target or a switch to price-level targeting. The recent financial crisis...

The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between percapita consumption growth and asset returns. Estimation and testingis complicated by the fact...

This paper has a simple goal, that of understanding the joint behaviorof prices and quantities in a particular market. More precisely, it examines whether we can find decision problems for suppliers and buyers, together with a market equilibrium structure, which are consistent with the observed...