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作者：Alessie, R; Hochguertel, S; van Soest, A
作者单位：Utrecht University; Vrije Universiteit Amsterdam; RAND Corporation; Tilburg University
摘要：This paper analyzes the ownership dynamics of stocks and mutual funds, using representative household panel data, the Dutch CentER Savings Survey 1993-1998. A bivariate dynamic binary-choice model is introduced, allowing for interactions between the two types of assets. We find that unobserved heterogeneity and state dependence play a large role for both types of assets. The positive relation between ownership of one type in one period and the other type in the next period is explained by corr...
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作者：Yogo, M
作者单位：Harvard University
摘要：In the instrumental variables (IV) regression model, weak instruments can lead to bias in estimators and size distortion in hypothesis tests. This paper examines how weak instruments affect the identification of the elasticity of intertemporal substitution (EIS) through the linearized Euler equation. Conventional IV methods result in an empirical puzzle that the EIS is significantly less than I but its reciprocal is not different from 1. This paper shows that weak instruments can explain the p...
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作者：Edison, HJ; Warnock, FE
作者单位：International Monetary Fund; Federal Reserve System - USA
摘要：We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document that at a point in time U.S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U.S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented under-weighting of for...
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作者：Karolyi, GA
作者单位：University System of Ohio; Ohio State University
摘要：This paper finds that the growth and expansion of U.S. cross-listings by firms from emerging markets around the world facilitated an expansion of cross-border equity flows and overall development of their stock markets during the 1990s. However, these benefits have negative spillover effects; the capitalization and turnover ratios of local-market firms that do not pursue overseas listings decline as U.S. cross-listings in the form of American depositary receipts (ADRs) increase in size and sco...
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作者：Card, D; Shore-Sheppard, LD
作者单位：University of California System; University of California Berkeley; Williams College
摘要：Despite intensive scrutiny, the effects of Medicaid expansions on the health insurance status of low-income children remain controversial. We reexamine the effects of the two largest federally mandated expansions which offered Medicaid coverage to low-income children in specific age ranges and birth cohorts. We use a regression discontinuity approach, comparing Medicaid enrollment, private insurance coverage, and overall insurance coverage on either side of the age limits of the laws. We concl...
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作者：Griffin, JM; Nardari, F; Stulz, RM
作者单位：University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe; University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：We investigate the conditions under which an intertemporal equilibrium model based on investors' portfolio decisions can explain the dynamics of high-frequency equity flows. Our model shows that, when there are barriers to international investment and when the expectations of foreign investors are more extrapolative than those of domestic investors (either due to foreigners being less informed or for behavioral reasons), unexpectedly high worldwide or local stock returns lead to net equity inf...
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作者：Imbs, J
作者单位：University of London; London Business School; Princeton University; Centre for Economic Policy Research - UK
摘要：I investigate the determinants of business cycle synchronization across regions. The linkages between trade in goods, financial openness, specialization, and business cycle synchronization are evaluated in the context of a system of simultaneous equations. The main results are as follows. (i) Specialization patterns have a sizable effect on business cycles. Most of this effect is independent of trade or financial policy, but directly reflects differences in GDP per capita. (ii) A variety of me...
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作者：Ahmed, S; Levin, A; Wilson, BA
作者单位：Federal Reserve System - USA
摘要：The volatility of U.S. real GDP growth since 1984 has been markedly lower than over the previous quarter century. We utilize frequency-domain and VAR methods to distinguish among competing explanations for this reduction: improvements in monetary policy, better business practices, and a fortuitous reduction in exogenous disturbances. We find that reduced innovation variances account for much of the decline in aggregate output volatility, suggesting that good luck is the most likely explanation...
