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Substitution and Risk Aversion: Is Risk Aversion Important for Understanding Asset Prices?
(Vanderbilt University, 2004)
This paper uses a recursive time-non-separable expected utility function to separate between the intertemporal elasticity of substitution (IES) and a measure of relative risk aversion to bets in terms of money (RAM). Risk ...
International Seigniorage Payments
(Vanderbilt University, 2006)
What are the "liquidity services" provided by ìover-pricedî assets? How do international seigniorage payments affect the choice of monetary policies? Does a country gain when other hold its ìover-pricedî ...
Consumption smoothing and the equity premium
(Vanderbilt University, 2010)
Abstract: The paper investigates the role of the Intertemporal Elasticity of Substitution () in determining the equity premium. This is done in an overlapping generations economy populated by agents that live for 2 periods ...
Price Rigidity and Price Dispersion: Evidence from Micro Data
(Vanderbilt University, 2003)
We use large unpublished data set about the prices by store of 381 products collected by the Israeli bureau of statistics during 1991-92 in the process of computing the CPI. On average 24% of the stores changed their price ...
Inefficient Trade Patterns: Excessive Trade, Cross-Hauling, and Dumping
(Vanderbilt University, 2005)
I study an example of a competitive environment in which trade occurs in a sequential manner. In this example, a country with a stable demand may suffer from trade with a country with unstable demand, there may be too much ...
The Friedman Rule in an Overlapping Generations Model:Social Security in Reverse
(Vanderbilt University, 2007)
The welfare gains from adopting a zero nominal interest policy depend on the implementation details. Here I focus on a government loan program that crowds out lending and borrowing and other money substitutes. Since money ...
Efficient Barriers to Trade: A Sequential Trade Model with Heterogeneous Agents
(Vanderbilt University, 2007)
This paper studies a flexible price version of the Prescott (1975) hotels model. Unlike rigid price versions of the model, here the equilibrium outcome is efficient if potential buyers have the same downward sloping demand ...
Liquidity, Equity Premium and Participation'
(Vanderbilt University, 2007)
I use price dispersion to model liquidity. Buyers may be rationed at the low price. An asset is more liquid if it is used relatively more in low price transactions and the probability that it will buy at the low price is ...
The Role of Government in the Credit Market
(Vanderbilt University, 2009)
The paper assumes a government advantage in collecting income contingent payments and develop a proposal for a government loan program that is an integral part of the tax system. The focus is on administrative costs and ...
Rigidity, Dispersion and Discreteness in Chain Prices
(Vanderbilt University, 2009)
This paper studies price setting within a chain of grocery stores, using a scanner database that contains observations of retail prices for 435 products within 75 stores over 121 weeks. We find price dispersion within the ...