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  • Challenges in Identifying and Measuring Systemic Risk | Becker-Friedman Institute Research Respository
    with https instead of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in Challenges in Identifying and Measuring Systemic Risk Sparked by the recent great recession and the role of financial markets considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk In this essay I draw

    Original URL path: http://econresearch.uchicago.edu/content/challenges-identifying-and-measuring-systemic-risk (2015-06-03)
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  • Fiscal Volatility Shocks and Economic Activity | Becker-Friedman Institute Research Respository
    protocol such as HTTPS You can switch to HTTPS by trying to view this page again after changing the URL in your browser s location bar to begin with https instead of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in Fiscal Volatility Shocks and Economic Activity We study the effects of changes in uncertainty about future fiscal policy on aggregate economic activity First we estimate tax and spending processes for the U S that allow for timevarying volatility We uncover strong evidence of the importance of this time varying volatility in accounting for the dynamics of tax and spending data We then feed these processes into an otherwise standard New Keynesian business cycle model calibrated to the U S economy We find that fiscal volatility shocks can have a sizable adverse effect on economic activity and inflation An endogenous increase in markups accounts for about half of these Authors Jesus Fernandez Villaverde University of Pennsylvania Pablo A Guerron Quintana Federal Reserve Bank of Philadelphia Keith Kuester University of Bonn Juan Rubio Ramirez Duke University Publication Date September 2012 BFI Initiative Fiscal Studies JEL Classification E10 General

    Original URL path: http://econresearch.uchicago.edu/content/fiscal-volatility-shocks-and-economic-activity (2015-06-03)
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  • Policy Uncertainty, Irreversibility, and Cross-Border Flows of Capital | Becker-Friedman Institute Research Respository
    such as HTTPS You can switch to HTTPS by trying to view this page again after changing the URL in your browser s location bar to begin with https instead of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in Policy Uncertainty Irreversibility and Cross Border Flows of Capital Government policy uncertainty has a dampening effect on foreign direct investment FDI around the world Using the timing of national elections as a measure of exogenous fluctuations in policy uncertainty we find that FDI flows from US companies to foreign affiliates drop significantly during election periods The patterns in FDI flows are more pronounced in countries with higher propensities for policy reversals and when election outcomes are more uncertain Irreversibility is an important channel through which uncertainty affects investment decisions as the electoral cycles are present in relatively irreversible FDI flows but not in foreign portfolio investment flows Finally FDI flows are sensitive to policy uncertainty in both high and low income countries implying that the effect of policy uncertainty is not only an emerging market phenomenon Authors Brandon Julio London Business School Youngsuk Sook Sungkyunkwan University Publication

    Original URL path: http://econresearch.uchicago.edu/content/policy-uncertainty-irreversibility-and-cross-border-flows-capital (2015-06-03)
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  • The Student Loan Consolidation Option | Becker-Friedman Institute Research Respository
    after changing the URL in your browser s location bar to begin with https instead of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in The Student Loan Consolidation Option The federal government makes subsidized federal financing for higher education widely available The extent of the subsidy varies over time with interest rate and credit market conditions A loan provision that has added considerably to the size and volatility of the subsidy is the consolidation option which allows students to convert floating rate federal loans to a fixed rate equal to the average floating rate on their outstanding loans We develop a model to estimate the option s cost and to evaluate its sensitivity to changes in program rules economic conditions and borrower behavior We model borrower behavior using data from the National Student Loan Data System which provides new insights on the responsiveness of consumers to financial incentives Authors Deborah Lucas Massachusetts Institute of Technology Damien Moore Congressional Budget Office Publication Date August 2012 BFI Initiative Human Capital and Economic Opportunity JEL Classification G28 Financial Institutions and Services Government Policy and Regulation H31 Fiscal Policies and

    Original URL path: http://econresearch.uchicago.edu/content/student-loan-consolidation-option (2015-06-03)
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  • Race, Social Class, and Bulimia Nervosa | Becker-Friedman Institute Research Respository
    of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in Race Social Class and Bulimia Nervosa In this paper we explore a serious eating disorder bulimia nervosa BN which afflicts a surprising number of girls in the US We challenge the long held belief that BN primarily affects high income White teenagers using a unique data set on adolescent females evaluated regarding their tendencies towards bulimic behaviors independent of any diagnoses or treatment they have received Our results reveal that African Americans are more likely to exhibit bulimic behavior than Whites as are girls from low income families compared to middle and high income families We use another data set to show that who is diagnosed with an eating disorder is in accord with popular beliefs suggesting that African American and low income girls are being under diagnosed for BN Our findings have important implications for public policy since they provide direction to policy makers regarding which adolescent females are most at risk for BN Our results are robust to different model specifications and identifying assumptions Authors John Ham University of Maryland Daniela Iorio Universitat Autonoma de

    Original URL path: http://econresearch.uchicago.edu/content/race-social-class-and-bulimia-nervosa-0 (2015-06-03)
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  • Will You Still Want Me Tomorrow? The Dynamics of Families’ Long-Term Care Arrangements | Becker-Friedman Institute Research Respository
    again after changing the URL in your browser s location bar to begin with https instead of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in Will You Still Want Me Tomorrow The Dynamics of Families Long Term Care Arrangements We estimate dynamic models of elder care arrangements using data from the Assets and Health Dynamics Among the Oldest Old Survey We model the use of institutional care formal home health care care provided by a child and care provided by a spouse in the selection of each care arrangement the primary arrangement and hours in each arrangement Our results indicate that both observed heterogeneity and true state dependence play roles in the persistence of care arrangements We find that positive state dependence i e inertia dominates caregiver burnout and that formal care decisions depend on the cost and quality of care Authors Bridget Hiedemann Seattle University Michelle Sovinsky Goeree Universität Zürich Steven Stern University of Virginia Publication Date August 2012 BFI Initiative Human Capital and Economic Opportunity JEL Classification C51 Model Construction and Estimation C61 Optimization Techniques Programming Models Dynamic Analysis J14 Economics of the Elderly

    Original URL path: http://econresearch.uchicago.edu/content/will-you-still-want-me-tomorrow-dynamics-families%E2%80%99-long-term-care-arrangements (2015-06-03)
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  • Intermediary Leverage Cycles and Financial Stability | Becker-Friedman Institute Research Respository
    begin with https instead of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in Intermediary Leverage Cycles and Financial Stability We develop a theory of financial intermediary leverage cycles in the context of a dynamic model of the macroeconomy The interaction between a production sector a financial intermediation sector and a household sector gives rise to amplification of fundamental shocks that affect real economic activity The model features two state variables that represent the dynamics of the economy the net worth and the leverage of financial intermediaries The leverage of the intermediaries is procyclical owing to risk sensitive funding constraints Relative to an economy with constant leverage financial intermediaries generate higher output and consumption growth and lower consumption volatility in normal times but at the cost of systemic solvency and liquidity risks We show that tightening intermediaries risk constraints affects the systemic risk return trade off by lowering the likelihood of systemic crises at the cost of higher pricing of risk Our model thus represents a conceptual framework for cyclical macroprudential policies within a dynamic stochastic general equilibrium model Authors Tobias Adrian Federal Reserve Bank of New

    Original URL path: http://econresearch.uchicago.edu/content/intermediary-leverage-cycles-and-financial-stability (2015-06-03)
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  • Ambiguity and the Historical Equity Premium | Becker-Friedman Institute Research Respository
    HTTPS You can switch to HTTPS by trying to view this page again after changing the URL in your browser s location bar to begin with https instead of http Please contact site admin for help if this error continues User login CNetID or Username Password Request new password Log in Ambiguity and the Historical Equity Premium This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and prices The single agent in a dynamic exchange economy treats uncertainty about the conditional mean of the probability distribution on consumption and dividends in the next period as ambiguous an ambiguity that is endogenously dynamic e g increasing during recessions We calibrate ambiguity aversion to match only the first moment of the risk free rate in data and importantly condition the uncertainty each period on the actually observed history of U S macroeconomic growth outcomes We show the model implied time series of asset returnsmatch observed return dynamics very substantially Authors Sujoy Mukerji University of Oxford Fabrice Collard University of Bern Kevin Sheppard University of Oxford Jean Marc Tallon Université Paris 1 Publication Date August 2012 BFI Initiative Fiscal Studies JEL Classification G12 Asset Pricing Trading volume

    Original URL path: http://econresearch.uchicago.edu/content/ambiguity-and-historical-equity-premium (2015-06-03)
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