On the role of labor supply for the optimal size of Social Security

The paper studies the welfare effects of a Social Security system in a stylized overlapping generations economy with random production and capital accumulation. Different welfare concepts including long run optimality, social optimality, and time consistency are employed to determine the optimal size of the system. When labor supply is exogenous, a unique contribution level can be identified which is optimal according to all three concepts. When labor supply is endogenous, however, this result generically fails to hold and the long-run optimal solution is only constrained socially optimal while the time-consistent policy may even lead to an inefficient equilibrium.     

Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks

This paper concerns the properties of the Quasi Maximum Likelihood Estimator (QMLE) of the Logarithmic Autoregressive Conditional Duration (Log-ACD) model. Proofs of consistency and asymptotic normality of QMLE for the Log-ACD model with log-normal density are presented. This is an important issue as the Log-ACD is used widely for testing various market microstructure models and effects. Knowledge of the distribution of the QMLE is crucial for purposes of valid inference and diagnostic checking. The theoretical results developed in the paper are evaluated using Monte Carlo experiments. The experimental results also provide insights into the finite sample properties of the Log-ACD model under different distributional assumptions. Finally, this paper presents two extensions to the Log-ACD model to accommodate asymmetric effects. The usefulness of these novel models will be evaluated empirically using data from Australian stocks.