Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

Author: Dirk Krueger

Publisher:

Published: 2007

Total Pages: 28

ISBN-13:

DOWNLOAD EBOOK

We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints. These unconstrained households have lower consumption growth rates than all other households in the economy. We use household data on consumption growth from the U.S. Consumer Expenditure Survey to identify unconstrained households, to estimate the pricing kernel implied by these models and evaluate their performance in pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement pricing kernel generates a market price of risk that is substantially closer to the data than the one obtained using the standard complete markets asset pricing kernel.


Chronicles from the Field

Chronicles from the Field

Author: Robert M. Townsend

Publisher: MIT Press

Published: 2013-04-12

Total Pages: 163

ISBN-13: 0262019078

DOWNLOAD EBOOK

Lessons learned in the process of designing and implementing one of the longest-running panel data surveys in development economics.


Optimal Macroprudential Policy and Asset Price Bubbles

Optimal Macroprudential Policy and Asset Price Bubbles

Author: Nina Biljanovska

Publisher: International Monetary Fund

Published: 2019-08-30

Total Pages: 51

ISBN-13: 1513512668

DOWNLOAD EBOOK

An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond to building asset price bubbles non-monotonically depending on the underlying level of indebtedness. If the level of debt is moderate, policy should accommodate the bubble to reduce the incidence of a binding collateral constraint. If debt is elevated, policy should lean against the bubble more aggressively to mitigate the pecuniary externalities from a deflating bubble when constraints bind.


The Green Book

The Green Book

Author: Great Britain. Treasury

Publisher: Stationery Office

Published: 2003

Total Pages: 114

ISBN-13: 9780115601071

DOWNLOAD EBOOK

This new edition incorporates revised guidance from H.M Treasury which is designed to promote efficient policy development and resource allocation across government through the use of a thorough, long-term and analytically robust approach to the appraisal and evaluation of public service projects before significant funds are committed. It is the first edition to have been aided by a consultation process in order to ensure the guidance is clearer and more closely tailored to suit the needs of users.


School Meals, Educational Achievement, and School Competition

School Meals, Educational Achievement, and School Competition

Author: Christel Vermeersch

Publisher: World Bank Publications

Published: 2005

Total Pages: 52

ISBN-13:

DOWNLOAD EBOOK

Vermeersch and Kremer examine the effects of subsidized school meals on school participation, educational achievement, and school finance in a developing country setting. They use data from a program that was implemented in 25 randomly chosen preschools in a pool of 50. Children's school participation was 30 percent higher in the treatment group than in the comparison group. The meals program led to higher curriculum test scores, but only in schools where the teacher was relatively experienced prior to the program. The school meals displaced teaching time and led to larger class sizes. Despite improved incentives, teacher absenteeism remained at a high level of 30 percent. Treatment schools raised their fees, and comparison schools close to treatment schools decreased their fees. Some of the price effects are caused by a combination of capacity constraints and pupil transfers that would not happen if the school meals were ordered in all schools. The intention-to-treat estimator of the effect of the randomized program incorporates those price effects, and therefore it should be considered a lower bound on the effect of generalized school meals. This insight on price effects generalizes to other randomized program evaluations. This paper--a product of the Poverty Reduction and Economic Management 2, Africa Technical Families--is part of a larger effort in the region to increase our understanding of the impact of programs aimed at reaching the Millennium Development Goals.


Handbook on Impact Evaluation

Handbook on Impact Evaluation

Author: Shahidur R. Khandker

Publisher: World Bank Publications

Published: 2009-10-13

Total Pages: 262

ISBN-13: 082138029X

DOWNLOAD EBOOK

Public programs are designed to reach certain goals and beneficiaries. Methods to understand whether such programs actually work, as well as the level and nature of impacts on intended beneficiaries, are main themes of this book.


Financial Markets and the Real Economy

Financial Markets and the Real Economy

Author: John H. Cochrane

Publisher: Now Publishers Inc

Published: 2005

Total Pages: 117

ISBN-13: 1933019158

DOWNLOAD EBOOK

Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.


Guidelines for Public Expenditure Management

Guidelines for Public Expenditure Management

Author: Mr.Jack Diamond

Publisher: International Monetary Fund

Published: 1999-07-01

Total Pages: 84

ISBN-13: 9781557757876

DOWNLOAD EBOOK

Traditionally, economics training in public finances has focused more on tax than public expenditure issues, and within expenditure, more on policy considerations than the more mundane matters of public expenditure management. For many years, the IMF's Public Expenditure Management Division has answered specific questions raised by fiscal economists on such missions. Based on this experience, these guidelines arose from the need to provide a general overview of the principles and practices observed in three key aspects of public expenditure management: budget preparation, budget execution, and cash planning. For each aspect of public expenditure management, the guidelines identify separately the differing practices in four groups of countries - the francophone systems, the Commonwealth systems, Latin America, and those in the transition economies. Edited by Barry H. Potter and Jack Diamond, this publication is intended for a general fiscal, or a general budget, advisor interested in the macroeconomic dimension of public expenditure management.