Habit Formation in an Overlapping Generations Model with Borrowing Constraints

We introduce habit‐formation in the three‐period OLG borrowing‐constrained framework of Constantinides et al. (2002) by allowing the utility of the middle‐aged (old) to depend on consumption when young (middle‐aged). This specification enables us to separate the effect of the two habit parameters (middle‐aged and old) since each representative age‐group can face different levels of habit persistence. The two‐habit setup underlines some important issues with regards to savings and security returns which do not always conform to the standard findings in the literature. In addition, the model produces equity premium consistent with US data for relatively small levels of risk aversion.     

“最优秀企业”假说？

“木桶理论”也失效了？ 如果把某些事物的各个环节都比做木板，是不是选择那些最长的粘合在一起就可以装足够多的水？ 未必。因为有些木板可能永远无法好好地咬合在一起，无论用什么样强力的胶水。那些勉强贴在一起的个性鲜明的木板，又或者成了彼此最大的败笔。     

Reinforced urn processes for credit risk models

We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the number of bankruptcies, with the only assumption of exchangeability within rating classes. The Polya urn construction of the transition matrix justifies a Beta distributed de Finetti measure. Dependence among the processes is introduced through the dependence among the default probabilities, with the Bivariate Beta Distribution proposed in Olkin and Liu (2003) and its multivariate generalization.     

An empirical approach to the organisational determinants of spin-off creation in European universities

Given the importance in recent years of the phenomenon of academic entrepreneurship in European universities, knowledge about determinants and performance of this technology transfer mechanism may have important managerial and policy implications. Applying the resource-based view at universities, we have tested the influence of five bundles of resources and capabilities on spin-off activity rates as well as on the performance of new spin-offs in a sample of seven European universities. These five bundles are: technology transfer policies and strategies; human capital; stock of technology; resources and capabilities of technology transfer offices; and support measures for academic entrepreneurship. Our results show that excellence of human capital and the presence of university-based financial support measures are strongly associated with both spin-off activity and performance. Another interesting finding is related to the availability of university-based non-economic support measures (training, counselling, etc.), which have no influence on spin-off activity but are significantly associated with performance of new spin-offs. We also discuss some interesting relationships between explanatory variables.     

Age‐Dependent Increasing Risk Aversion and the Equity Premium Puzzle

We introduce a new preference structure—age‐dependent increasing risk aversion (IRA)—in a three‐period overlapping generations model with borrowing constraints, and examine the behavior of equity premium in this framework. We find that IRA preferences generate results that are more consistent with U.S. data for the equity premium, level of savings and portfolio shares, without assuming unreasonable levels of risk aversion. We find that the relative difference between the two risk aversions (how much more risk‐averse old agents are relative to the middle‐aged) matters more than the average risk aversion in the economy (how much more risk‐averse both cohorts are). Our findings are robust with respect to a number of model generalizations.     

The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases

A new high frequency data set is used to estimate the impact of the Fed on the level and volatility of stock prices while accounting for endogeneity and omitted variable biases and potential asymmetries. Results show that after addressing these issues, the effect of policy shocks on the level and volatility of stock returns is higher than previously reported. GARCH findings indicate that the volatility impact is tent-shaped, spiking during policy announcements and declining before and after the release. The level and conditional volatility of stock returns is found to respond asymmetrically to the type of policy shocks (timing versus future path of monetary policy) and the type of policy action (easing versus tightening).     

A dynamic model of contraceptive choice of Spanish couples

We propose a simple dynamic stochastic model of sterilization and contraceptive use and we estimate its structural parameters using a sample of married couples from the 1995 Spanish Family and Fertility Survey. The estimated structural model improves on previous studies in terms of its ability to rationalize observed behaviour. Allowing for simple forms of permanent unobserved heterogeneity across couples in their ability to conceive has important implications for estimates of utility and cost parameters. Estimates of child valuation parameters imply that most Spanish couples would have two children, but significant deviations from this goal are brought about by imperfect and costly fertility control. We perform simulations to quantify the impact on fertility of the availability of sterilization and other technologies which improve fertility control. Copyright © 2006 John Wiley & Sons, Ltd.