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作者：Zimmer, David M.
作者单位：Western Kentucky University
摘要：Due to its simplicity and familiarity, the Gaussian copula is popular in calculating risk in collaterized debt obligations, but it imposes asymptotic independence such that extreme events appear to be unrelated. This restriction might be innocuous in normal times, but during extreme events, such as the housing crisis, the Gaussian copula might be inappropriate. This paper explores various copula specifications and finds that the degree to which housing prices are related based on the Gaussian ...
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作者：Kniesner, Thomas J.; Viscusi, W. Kip; Woock, Christopher; Ziliak, James P.
作者单位：Syracuse University; Vanderbilt University; University of Kentucky
摘要：We address long-standing concerns in the literature on compensating wage differentials: the econometric properties of the estimated value of statistical life (VSL) and the wide range of such estimates. We confront prominent econometric issues using panel data, a more accurate fatality risk measure, and systematic application of panel data estimators. Controlling for measurement error, endogeneity, latent individual heterogeneity possibly correlated with regressors, state dependence, and sample...
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作者：Garibaldi, Pietro; Giavazzi, Francesco; Ichino, Andrea; Rettore, Enrico
作者单位：Collegio Carlo Alberto; University of Turin; Collegio Carlo Alberto; University of Turin; Bocconi University; Bocconi University; University of Bologna; University of Bologna; University of Padua
摘要：University tuition typically remains constant throughout the years of enrollment while delayed degree completion is increasingly a problem for academic institutions around the world. Theory suggests that if continuation tuition were raised, the probability of late graduation would be reduced. Using a regression discontinuity design on data from Bocconi University in Italy, we show that a 1,000 euro increase in continuation tuition reduces the probability of late graduation by 5.2% when the ben...
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作者：Nunn, Nathan; Puga, Diego
作者单位：Harvard University; National Bureau of Economic Research
摘要：We show that geography, through its impact on history, can have important effects on economic development today. The analysis focuses on the historic interaction between ruggedness and Africa's slave trades. Although rugged terrain hinders trade and most productive activities, negatively affecting income globally, rugged terrain within Africa afforded protection to those being raided during the slave trades. Since the slave trades retarded subsequent economic development, ruggedness within Afr...
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作者：Pinotti, Paolo
作者单位：Bocconi University
摘要：Government regulation of firms is associated with more negative externalities and unofficial activity across countries. I argue that this correlation mainly reflects causality going from concerns about market failures to demand for government intervention. Using trust in others as a proxy for such concerns, I show that differences in trust explain a great deal of variation in entry regulations. Then, controlling for trust in the regression of market failures on regulation, the latter is no lon...
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作者：Coelho, Christiano A.; De Mello, Joao M. P.; Funchal, Bruno
作者单位：Pontificia Universidade Catolica do Rio de Janeiro
摘要：In December 2003, the Brazilian Congress passed a law that led to a natural personal lending experiment. The law allows banks to offer loans with repayment through automatic payroll deduction, which, in effect, turns future income into collateral. We estimate the impact of the new law using auto loans as a control group. The law has caused a reduction in interest rates and an increase in the volume of personal credit.
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作者：Giannone, Domenico; Henry, Jerome; Lalik, Magdalena; Modugno, Michele
作者单位：Universite Libre de Bruxelles; European Central Bank; European Central Bank
摘要：This paper describes how we constructed a real-time database for the euro area. The database covers more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available to the Governing Council members for their first monthly meeting. We study the properties of the real-time data flow and data revisions in the euro area, also providing comparisons with the United States and Japan. We illustrate how revisions contribute to the uncertainty surrounding key mac...
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作者：Komunjer, Ivana; Owyang, Michael T.
作者单位：University of California System; University of California San Diego; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and Timmerman (2008). Following their methodology, we derive a GMM test for multivariate forecast rationality that allows the forecaster's loss to be nonseparable across variables and takes into account for...
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作者：Conley, Timothy G.; Hansen, Christian B.; Rossi, Peter E.
作者单位：University of Chicago
摘要：Instrumental variable (IV) methods are widely used to identify causal effects in models with endogenous explanatory variables. Often the instrument exclusion restriction that underlies the validity of the usual IV inference is suspect; that is, instruments are only plausibly exogenous. We present practical methods for performing inference while relaxing the exclusion restriction. We illustrate the approaches with empirical examples that examine the effect of 401(k) participation on asset accum...
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作者：Nevo, Aviv; Rosen, Adam M.
作者单位：Northwestern University; National Bureau of Economic Research
摘要：Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead allow the instrumental variable to be correlated with the error term, but we assume the correlation between the instrumental variable and the error term has the same sign as the correlation between the endogenous regressor and the error term and that the instrumental variable is less correlated w...
