This paper studies the business cycle implications of entry costs in a dynamic stochastic general equilibrium model with firm entry and nominal rigidity. Simulations show that my baseline model matches the dynamics observed in the data fairly well. Remarkably, it overcomes the difficulties...

We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of interest is a known, deterministic, but kinked function of an observed assignment variable. This design arises in many institutional settings where a policy variable (such as weekly...

I review recent research efforts in the area of empirical cross-sectional asset pricing. I start by summarizing the evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional versions to explain these predictability patterns. One...

This study examines the variation in the premium implicit in the yield curve of 12-month Treasury Bills during the period 1992–2002. This premium is measured using a number of econometric methods, one of which allows for the estimated premium to react to uncertainty as measured by the variance...

A lockup period for investment in a hedge-fund is a time period after making the investment during which an investor cannot freely redeem his investment. Since longer lockup periods have recently been imposed, it is important to estimate the premium an investor should expect from extended...

The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, medium-term risks remain high. Fiscal vulnerabilities have increased as a consequence...

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

The aim of this paper is to construct a forecasting model oriented on predicting basic macroeconomic variables, namely: the GDP growth rate, the unemployment rate, and the consumer price inflation. In order to select the set of the best regressors, Bayesian Averaging of Classical Estimators...

Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....