Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ...

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...

We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ...

Do the Revelation and Taxation Principles hold for multi-person householDo the Revelation and Taxation Principles hold for multi-person households? We provide a positive answer to the former and a negative to the latter ...

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...

We study optimal labor income taxation in non-competitive labor markets. Firms offer screening contracts to workers who have private information about their productivity. A planner endowed with a Paretian social welfare ...

An important feature of life-cycle models is the presence of uncertainty regarding one’s labor income. Yet this issue, long recognized in different areas, has not received enough attention in the optimal taxation literature. ...

In a static setting, whether consumption or labor income is progressively taxed is irrelevant for household choices and welfare. In a dynamic setting, however, these two forms of progressivity have markedly di erent ...

How should search frictions in the labor market affect distributive policies? Can we assess current real-world policies? After building a framework for answering these questions we show that any constrained efficient ...