Following Kocherlakota and Pistaferri (2009), we consider two forms of incomplete risk sharing in economies with consumer heterogeneity: (a) where agents are unable to insure their consumption against idiosyncratic skill shocks and (b) where idiosyncratic shocks to skills can be partially...

In this paper, we develop a new model that explicitly considers two endogenous consumption items and investigates its applicability to consumption-capital asset pricing model (C-CAPM) by testing it with various sets of instruments. We found that our model is not rejected with reasonable values...

Following Kocherlakota and Pistaferri (2009), we consider two forms of incomplete risk sharing in economies with consumer heterogeneity: (a) where agents are unable to insure their consumption against idiosyncratic skill shocks and (b) where idiosyncratic shocks to skills can be partially...

We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...

Using an incomplete market setting, we show that a pricing kernel exists which reconciles the observed smooth real exchange rates with high domestic equity premia and low international risk sharing. The estimation results with US-Japanese data provide plausible estimates of the deep parameters

Following Kocherlakota and Pistaferri (2007a), we consider two market structures: (i) where agents cannot insure at all their consumption against idiosyncratic skill shocks and (ii) where agents can insure their consumption against idiosyncratic skill shocks using the domestic financial markets,...

Large and persistent differences in corruption across comparable countries is a challenging research issue. Even more intriguing are such differences across regions within the same country, because the typically considered socioeconomic and governance characteristics are generally more similar...

This paper examines the dynamic consequences of a greater centralization or decentralization of the decision-making authority to appoint successor managers on the quality of managers actually appointed. Our main result is that a greater centralization results in a greater variability over time...