This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...

In this paper we introduce a new flexible mixed model for multinomial discrete choice where the key individual- and alternative-specific parameters of interest are allowed to follow an assumptionfree nonparametric density specification while other alternative-specific coefficients are assumed to...

We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...

In this paper we introduce a new flexible mixed model for multinomial discrete choice where the key individual- and alternative-specific parameters of interest are allowed to follow an assumptionfree nonparametric density specification while other alternative-specific coefficients are assumed to...

As the Federal Reserve continues to normalize its monetary policy, this paper studies the impact of U.S. interest rates on rates in other countries. We find a modest but nontrivial pass-through from U.S. to domestic short-term interest rates on average. We show that, to a large extent, this...

This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...

This paper discusses the predictive role of alternative measures of the liquidity premium of TIPS relative to Treasury bonds for government excess bond returns. The results show that the liquidity premium predicts positive (negative) TIPS (nominal Treasury) excess returns. The explanatory power...

In this paper, I estimate the non-parametric optimal bond portfolio choice of a representative agent that acts optimally with respect to his/her expected utility one period forward, provided that he/she observes the ex ante liquidity signal. Using daily observations of zero-coupon Treasury and...

Accurate credit-granting decisions are crucial to the efficiency of the decentralized capital allocation mechanisms in modern market economies. Credit bureaus and many financial institutions have developed and used credit-scoring models to standardize and automate, to the extent possible, credit...

In this paper, I consider a joint Gaussian affine term structure model for zero-coupon U.S. Treasury and TIPS bonds, with an unspanned factor: liquidity risk. In the model, the liquidity factor is restricted to affect only the cross-section of yields but it is allowed to determine the bond risk...