We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for...

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Exploiting Tangshan 1976 - the deadliest earthquake in the 20th century - as a source of exogenous variation, we estimate the long-run effect of a historical shock on contemporary socio-economic outcomes. Cohorts born after the earthquake were not only larger, but exhibit lower school completion...

Stated survey measures of risk preferences are increasingly being used in the literature, and they have been compared to revealed risk aversion primarily by means of experiments such as lottery choice tasks. In this paper, we investigate educational choice, which involves the comparison of risky...

We assess the relevance of formal education for the productivity of the self-employed and distinguish between opportunity entrepreneurs, who voluntarily pursue a business opportunity, and necessity entrepreneurs, who lack alternative employment options. We expect differences in the returns to...

This paper studies the effect of attending a high-quality secondary school on subsequent educational outcomes. The analysis is based on data from the German Socio-Economic Panel Study in which we observe children when they make their secondary school choice (between ages 10-12) and later when...

In this paper I evaluate the effect of student aid on the success of academic studies. I focus on two dimensions, the duration of study and the probability of actually graduating with a degree. While there is an extensive literature on the impact of student aid on its intended outcome, the...

We use data from the German Socio-Economic Panel and the British Household Panel Survey to estimate the extent of intergenerational economic mobility in a framework that highlights the role played by assortative mating. We find that assortative mating plays an important role. On average about...