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Risk-sharing in heterogenous agent models with incomplete markets
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The optimal Chapter 7 exemption level in a life-cycle model with asset portfolios
Full text linkI develop a heterogenous agent life-cycle model that examines the effects of the US personal bankruptcy law on bankruptcy filings and welfare. In addition to facing uncertainty over their labor income, agents also face wealth shocks that stem from unexpected changes in family composition or from unexpected medical expenses. I allow agents to borrow and save simultaneously. Some households borrow at high interest rates while simultaneously saving at low interest rate because of the option value of defaulting. This is consistent data on household assets. Under chapter 7 of the US bankruptcy law, consumers can keep all wealth up to an exemption level. I show that introducing exemption levels is of particular importance in the presence of wealth shocks. My quantitative evaluations show that changes in the exemption level have an impact only for very low exemption levels. Thus, ignoring them biases welfare results. But this impact fades out rather quickly. The reason is that almost no household is affected by medium to high exemption levels because those households who might default do not have much wealth. The welfare results of changes in the exemption level are rather small, less than 0.1% of annual consumption. In contrast to the earlier literature, but consistent with the data, I do not find a strong positive relationship between the exemption level and default rates
Risk-sharing in heterogenous agent models with incomplete markets.
Full text linkThis thesis examines the impact of different risk sharing arrangements under incomplete financial markets on macroeconomic outcomes. The first two chapters are joint work with Giacomo Rodano. In the first chapter, we examine the effects of Chapter 7 of the US bankruptcy law on entrepreneurs. The latter are subject to production risk. They can borrow and in case they fail they can default on their debt. We examine the optimal wealth exemption level and the optimal credit market exclusion duration in this environment. In addition to unsecured credit, entrepreneurs can also obtain secured credit in the second chapter. Secured credit lowers the cost of a generous bankruptcy regime because agents who are rationed out of the unsecured credit market can still obtain secured credit. Therefore, the optimal exemption level is relatively high. In the third chapter, I investigate the effects of wealth exemptions on interest rates if entrepreneurs can choose the riskiness of their project. The default possibility leads to a kink in the value function which makes agents locally risk-loving. In the fourth chapter, I focus on consumers only. In particular, I show that wealth exemptions are of particular importance in a model with expense shocks. Wealth exemptions encourage people to save more so that aggregate savings rise. The model is also consistent with the fact that consumer bankruptcy cases are not correlated with wealth exemption levels. The fifth chapter is joint work with Rigas Oikonomou. We compare two environments: on the one hand the standard one in which a household consists of one member and, on the other hand, one in which a household consists of two members who share their risks perfectly. We investigate the differences between the two models in labor market flows and volatilities of labor market statistics in response to productivity shocks
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Joint Search and Aggregate Fluctuations
Full text linkWe develop a theory of incomplete markets where households that consist of two ex ante identical, and ex post heterogeneous agents can provide mutual insurance though adjustments in labor supply. We do so by taking stock from the vast literature of search models of the labor market and trace the differences between bachelor and couples household economies. Our main goal is to address whether joint search within the household unit can help reconcile the suggestive business cycle properties of aggregate employment, unemployment and labor force participation. We use data from the CPS on labor market transitions of married couples and we show that joint insurance is important factor in explaining why the labor force is nearly acyclical. When we turn to the model however we find that these predictions are not entirely consistent with our theory. We then go on to explore what important additions need to be made to our benchmark framework to bring the model closer to the data
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Sovereign risk and bank fragility
No full textWe develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects and purchase government bonds. While an increase in bond purchases crowds out profitable investments, it improves the government's incentives to repay and therefore lowers its borrowing costs. For low levels of government debt, banks influence their default risks through purchases of bonds. But, for high debt levels, this influence is lost since bank and government default are perfectly correlated. Banks fail to account for how their bond purchases influence the government's default incentives. This leads to socially inefficient levels of bond holdings
The rise of the added worker effect
No full textWe document that the added worker effect (AWE) has increased over the last three decades. We develop a search model with two earner households and we illustrate that the increase in the AWE from the 1980s to the 2000s can be explained through (i) the narrowing of the gender pay gap, (ii) changes in the frictions in the labor market and (iii) changes in the labor force participation costs of married women
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