This paper investigates the ability of a representative agent model with time separable utility to explain the mean vector and the covariance matrix of the risk free interest rate and the return to leveraged equity in the stock market. The paper generalizes the standard calibration methodology...

Recent empirical studies have found that stock returns contain substantial negative serial correlation at long horizons. We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium model of asset pricing. When investors...

This paper analyzes the economic determinants of developing country creditworthiness indicators for over 60 developing countries for the period from 1980 to 1993. Our results indicate that economic fundamentals--the ratio of non-gold foreign exchange reserves to imports, the ratio of the current...

This study examines the relative importance of political and economic variables in the determination of a country`s standing in credit ratings provided by commercial rating agencies. It finds that creditworthiness appears to be determined primarily by economic variables. While including...

We decompose the household saving rate into precautionary and non-precautionary components. When applied to Chinese households, who save 30% of disposable income, the precautionary motive accounts for two-thirds of that saving rate. For some admissible parameter values, the saving rate increases...

We employ a model of precautionary saving to study why household saving rates are so high in China and so low in the US. The use of recursive preferences gives a convenient decomposition of saving into precautionary and non precautionary components. This decomposition indicates that over 80...

This paper studies the effect that changing demographic patterns have had on the household saving rate in China. We undertake a quantitative investigation using an overlapping generations (OLG) model where agents live for 85 years. Consumers begin to exercise decision making when they are 18....

This paper studies how changing demographics can explain much of the evolution of China's household saving rate from 1955 to 2009. We undertake a quantitative investigation using an overlapping generations model in which agents live for 85 years. Agents begin to exercise decision making when...

We estimate the age distribution's impact on carbon dioxide emissions from 1990 to 2006 by exploiting demographic variation in a panel of 46 countries. To eliminate potential bias from endogeneity or omitted variables, we instrument for the age distribution with lagged birth rates, and the...

This paper studies the effect that changing demographic patterns have had on the house- hold saving rate in China. We undertake a quantitative investigation using an overlapping generations (OLG) model where agents live for 85 years. Consumers begin to exercise deci- sion making when they are...