Life Cycle Responses to Health Insurance Status
|
|
- Gabriella Newman
- 5 years ago
- Views:
Transcription
1 Life Cycle Responses to Health Insurance Status Florian Pelgrin 1, and Pascal St-Amour,3 1 EDHEC Business School University of Lausanne, Faculty of Business and Economics (HEC Lausanne) 3 Swiss Finance Institute January 5, 16 Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 1 / 9
2 Introduction Motivation Outline Exogenous changes in health insurance status: Termination of employer-provided plans at retirement. Medicare (prior to PPACA) provides guaranteed access to subsidized health insurance for 65+. Patient Protection and Affordable Care Act (PPACA, a.k.a. Obamacare). Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 / 9
3 Introduction Motivation Question asked What are life cycle effects of exogenous changes in insurance status at given point in life: on allocations (consumption, leisure, health expenditures)? on status (wealth, health)? on welfare? Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 3 / 9
4 Introduction Motivation Health insurance over the life cycle Should affect decisions at other periods of life: Health is durable good. Decisions when young have long lasting effects on future exposition to morbidity, mortality risks [Smith, 1999, Long Reach of Childhood]. Backward induction: Status and consequences of insurance when old need to be internalized when young. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 4 / 9
5 Introduction Motivation Timing of coverage important Employer-provided insurance ending at retirement: Accelerate current expenses before termination. Alters health levels longevity, sickness risks. Post-retirement coverage (e.g. Medicare): Postpone health care until coverage begins (Stockpiling). Alters health levels longevity, sickness risks. Implications: 1 Timing of coverage affects allocations, health and wealth statuses throughout life cycle. Decomposition of effects not trivial. 3 Important to understand life cycle effects of health insurance as Medicare costly, PPACA becomes operational. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 5 / 9
6 Model Economic environment Notation Timing Calendar year: y N, with y =, base year, Cohort: κ N, : t = y κ {, 1,..., T }, bounded horizon. Mortality (k = m) and morbidity (k = s) shocks generalized Bernoulli: { ɛ k with prob. exp[ λ k (H t )] t+1 = 1 with prob. 1 exp[ λ k (Shocks) (H t )] T m [, T ] = min{t : ɛ m t = 1} (Death) λ k ( ) >, falling, convex in H: Endo. mortality/morbidity risks. Diminishing returns to health-related risks control. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 6 / 9
7 Model Economic environment Health dynamics H t+1 = ( 1 δ t φ t ɛ s t+1) Ht + A t I g (H t, I t, l t ) (Health) d t = d exp[g d t], d {δ, φ} (Depreciation) A t = A exp[g A (t + κ)]. (TFP health) I g ( ) increasing, concave, health-dependent. Account for healthy leisure (moral hazard) Leibowitz [4], Sickles and Yazbeck [1998], Ehrlich and Becker [197]. Sickness ɛ s t+1 = 1 additional depreciation. -increasing deterministic and stochastic depreciation. Exogenous technological progress in A t [e.g. Hall and Jones, 7]. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 7 / 9
8 Model Economic environment Health expenditures insurance P I I OOP(I ) D ψ OOP(I ) 45 D (1 ψ) P I I Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 8 / 9
9 Model Economic environment Health expenditures insurance Notation: 1 X = 1 x=p,m (Insured), 1 M = 1 x=m (Medicare), 1 D = 1 P I t I t D t (Deductible reached), 1 R = 1 t 65 (Retired). OOPt x (I t ) = Pt I I t 1 X 1 D (1 ψ)(pt I I t D t ) Π x t = 1 X Π [1 1 M 1 R (1 π)] Pt I = P I exp[g P (t + κ)], D t = D exp[g D (t + κ)] (OOP) (Premia) (Prices) (Deduct.) Cohort effects: TFP Health production A t, Health care prices P I t Deductible D t Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 9 / 9
10 Model Economic environment Budget constraint Y x t (l t ) = 1 R Y R + (1 1 M τ)w t (1 l t ) W t+1 = [W t + Y x t (l t ) C t OOP x t (I t ) Π x t ] R f (Income) (Wealth) Conditionally deterministic. Pension income Y R (Social Security). Medicare tax τ, when applicable. Post-retirement labour income. Single risk-free asset. -dependent wages w t. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 1 / 9
11 Model Preferences and optimality Preferences Within-period utility with bequest motive: U t U(C t, l t ) + β (1 exp[ λ m (H t )]) U m (W t+1 ) = U(C t, l t ) + [β β m (H t )] U m (W t+1 ) = U t (C t, I t, l t, W t, H t ) (Preferences) where β m (H t ) β exp[ λ m (H t )] < β. Properties: U t > (strict preference for life), U m (W t+1 ) < (cost of dying), U m W U H >, (joy of giving), U CH > [Finkelstein et al., 13]. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
12 Model Preferences and optimality Preferences Value function V t = V x (W t, H t, t): V t = max {C t,i t,l t} T m t = max {C t,i t,l t} T t { T m U t + E t U t + E t s=t+1 T s=t+1 j=t β s t U s H t } = max C t,i t,l t U t + β m (H t )E t {V t+1 H t }, s 1 β m (H j ) U s H t,, (Bellman) Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 1 / 9
13 Model Preferences and optimality Optimality U C,t = Value bequeathed wealth {}}{ [β β m (H t )] R f U m W,t+1 +βm (H t )E t {U C,t+1 H t } R f, U C,t OOP x I,t = βm (H t )E t {V H,t+1 H t } A t I g I,t, (1 1 M τ)w t = U l,t U C,t + I g l,t I g I,t OOP x I,t, }{{} Value OOP reduction (Consumption) (Investment) (Leisure) Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
14 Model Preferences and optimality Marginal value health Solves recursion: Mortality control value Morbidity control value {}}{ V H,t = βh,t m E { t Vt+1 Ut+1 m } {}}{ H t + β m (H t )E H,t {V t+1 H t } { ] } + β m (H t )E t V H,t+1 [1 δ t φ t ɛ s t+1 + A t I g H,t H t, }{{} Durability and productive capacity value (Value health) where E H,t {V t+1 H t } = λ s H,t exp[ λ s (H t )]E t { V (Wt+1, H + t+1 ) V (W t+1, H t+1 )} H + t+1 (1 δ t) H t + A t I g (H t, I t, l t ) H t+1 H+ t+1 φ th t (1) Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
15 Empirical strategy Functional forms and insurance plans Functional forms Parametrizing the model: λ m (H) = λ m + λ m 1 H ξm, (Death intensity) λ s (H) = λ s λs λs 1 + λ s 1 H ξs, (Sickness intensity) I g (H, I, l) = I η I l η l H 1 η I η l, η I, η l (, 1), (Gross investment) U(C, l) = [ µ C C 1 γ + µ l l 1 γ] 1 1 γ, µ C, µ l (, 1), (Utility) ( ) W U m 1 γ (W ) = µ m. (Bequest function) 1 γ Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
16 Empirical strategy Functional forms and insurance plans Insurance plans Exogenous insurance plans x = (x y, x o ) X = {PM, PN, NM, NN}. Diffs-in-diffs approach to identify marginal effects insurance status: Table: Insurance plans, net effects and restrictions Status: old Status: young Insured Uninsured Net effects Insured PM PN Uninsured NM NN Net effects Insured young Insured old Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
17 Empirical strategy Simulated Method of Moments Empirical strategy No analytical solutions Kinks in OOP function. Time-varying wages, productivity, prices deductibles, deterministic and stochastic depreciaiton Endogenous discounting Need numerical methods Conditional upon parametrization, parameter Θ = (Θ c, Θ e ), three phases: 1 Iteration: Solve by backward induction on value function. Simulation: Life cycle trajectories along optimal path. 3 Estimation: Iterate on parameter set Θ e Θ. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
18 Empirical strategy Data Variables Table: Data sources Data (1, 11), and explanations W Survey of Consumer Finances (SCF), Federal Reserve Bank. Financial assets held. H National Health Interview Survey (NHIS), Center for Disease Control. Selfreported health status (phstat) where Poor=.1, Fair=.85, Good=1.55, Very good=.75, Excellent=3.. S National Vital Statistics System (NVSS), Center for Disease Control. Survival rates I Medical Expenditures Survey (MEPS), ncy for Health Research and Quality. Total health services mean expenses per person with expense and distribution of expenses by source of payment. OOP Medical Expenditures Survey (MEPS), ncy for Health Research and Quality. Out-of-pocket health services mean expenses per person with expense and distribution of expenses by source of payment. l American Time Use Survey (ATUS), Bureau of Labor Statistics. Share of usual hours not worked per week, 1-uhrsworkt/4 C Consumer Expenditures Survey (CEX), Bureau of Labor Statistics. Non-durables consumption, net of health expenditures and vehicle purchases = 4*(totex4pq - healthpq - vehicle) Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
19 Empirical strategy Parameters λ m λ m 1 ξ m (.1) (.6) λ s λ s 1 λ s ξ s (.161) (1.1) δ g δ φ g φ (.66) (.54) (.66) (.51) A g A η I η l µ C µ M β γ (1.85) Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, / 9
20 Empirical strategy Parameters.14 Depreciation rates /(t)?(t).45 Wage rates w(t) Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 / 9
21 Results Iterative results ($1,) A. Consumption between ages 6 and 65, plan PM.4. 4 Health 6 4 Wealth ($1,) C. Investment between ages 6 and 65, plan PM.1.5 B. Leisure between ages 6 and 65, plan PM Health Wealth ($1,) D. Welfare between ages 6 and 65, plan PM Health Wealth ($1,) Health E. OOP between ages 6 and 65, plan PM 6 4 Wealth ($1,).5 4 Health 6 4 Wealth ($1,) Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 1 / 9
22 Results Simulation results Population statistics Table: Data and simulated unconditional moments (age 8) Simulated Series Data PM PN NN NM Out-of-pocket, OOP Leisure, l Wealth, W Health, H Survival, S Welfare, V NaN Notes: : in 1,$, : in years. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 / 9
23 Results Simulation results Figure: Health and leisure.5 Simulated health PM Observed health A. Observed and simulated health A. Observed and simulated leisure 1 Simulated leisure PM Observed leisure B. Effects insured young..1 PM NM PN NN B. Effects insured young PM NM PN NN C. Effects insured old.4.3. PM PN NM NN C. Effects insured old.1.5 PM PN NM NN Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 3 / 9
24 Results Simulation results Figure: Investment and OOP s Simulated PM A. Simulated health investment Observed investment A. Observed and simulated OOP Simulated OOP PM Observed OOP PM NM PN NN B. Effects insured young. PM NM PN NN B. Effects insured young PM PN NM NN C. Effects insured old x C. Effects insured old PM PN NM NN Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 4 / 9
25 Results Simulation results Figure: Wealth and welfare Simulated wealth PM Observed wealth A. Observed and simulated wealth A. Simulated welfare 14 Simulated welfare PM B. Effects insured young.8.6 PM NM PN NN B. Effects insured young PM NM PN NN PM PN NM NN C. Effects insured old.8.6 PM PN NM NN C. Effects insured old Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 5 / 9
26 Results Simulation results Figure: Cohort effects.6 A. Simulated health per cohort 5 B. Simulated wealth per cohort C. Simulated leisure per cohort D. Simulated health expenditures per cohort E. Simulated welfare per cohort Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 6 / 9
27 Conclusion Conclusion Complex dynamic effects of health insurance when morbidity/mortality risks exposition is endogenous: Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 7 / 9
28 Conclusion Conclusion Can keep track with (relatively) parsimonious framework Health as human capital. Leisure and investment as inputs. Endogenous exposition to mortality/morbidity risks. Very good empirical properties: Health, wealth, OOP s, leisure, longevity. Population statistics. Life cycle statistics. Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 8 / 9
29 Conclusion Conclusion Marginal effect of insurance status: When young, conditional upon old status. When old, conditional upon young status. Main findings: Substitution: Static (leisure vs investment). Dynamic (stockpiling, leisure over life cycle,... ) Adjustment risk exposition (through precautionary health, wealth balances). Pelgrin & St-Amour (EDHEC and UNIL) Life Cycle Responses to Health Insurance January 5, 16 9 / 9
INTERTEMPORAL ASSET ALLOCATION: THEORY
INTERTEMPORAL ASSET ALLOCATION: THEORY Multi-Period Model The agent acts as a price-taker in asset markets and then chooses today s consumption and asset shares to maximise lifetime utility. This multi-period
More informationOptimal portfolio choice with health-contingent income products: The value of life care annuities
Optimal portfolio choice with health-contingent income products: The value of life care annuities Shang Wu, Hazel Bateman and Ralph Stevens CEPAR and School of Risk and Actuarial Studies University of
More informationThe Macroeconomics of Universal Health Insurance Vouchers
The Macroeconomics of Universal Health Insurance Vouchers Juergen Jung Towson University Chung Tran University of New South Wales Jul-Aug 2009 Jung and Tran (TU and UNSW) Health Vouchers 2009 1 / 29 Dysfunctional
More informationState Dependency of Monetary Policy: The Refinancing Channel
State Dependency of Monetary Policy: The Refinancing Channel Martin Eichenbaum, Sergio Rebelo, and Arlene Wong May 2018 Motivation In the US, bulk of household borrowing is in fixed rate mortgages with
More informationSang-Wook (Stanley) Cho
Beggar-thy-parents? A Lifecycle Model of Intergenerational Altruism Sang-Wook (Stanley) Cho University of New South Wales March 2009 Motivation & Question Since Becker (1974), several studies analyzing
More informationHealth Care Reform or Labor Market Reform? A Quantitative Analysis of the Affordable Care Act
Health Care Reform or Labor Market Reform? A Quantitative Analysis of the Affordable Care Act Makoto Nakajima 1 Didem Tüzemen 2 1 Federal Reserve Bank of Philadelphia 2 Federal Reserve Bank of Kansas City
More informationDoes the Social Safety Net Improve Welfare? A Dynamic General Equilibrium Analysis
Does the Social Safety Net Improve Welfare? A Dynamic General Equilibrium Analysis University of Western Ontario February 2013 Question Main Question: what is the welfare cost/gain of US social safety
More informationCredit Crises, Precautionary Savings and the Liquidity Trap October (R&R Quarterly 31, 2016Journal 1 / of19
Credit Crises, Precautionary Savings and the Liquidity Trap (R&R Quarterly Journal of nomics) October 31, 2016 Credit Crises, Precautionary Savings and the Liquidity Trap October (R&R Quarterly 31, 2016Journal
More informationAchieving Actuarial Balance in Social Security: Measuring the Welfare Effects on Individuals
Achieving Actuarial Balance in Social Security: Measuring the Welfare Effects on Individuals Selahattin İmrohoroğlu 1 Shinichi Nishiyama 2 1 University of Southern California (selo@marshall.usc.edu) 2
More informationA simple wealth model
Quantitative Macroeconomics Raül Santaeulàlia-Llopis, MOVE-UAB and Barcelona GSE Homework 5, due Thu Nov 1 I A simple wealth model Consider the sequential problem of a household that maximizes over streams
More informationReallocation of Intangible Capital and Secular Stagnation
Reallocation of Intangible Capital and Secular Stagnation Ander Perez-Orive Federal Reserve Board (joint with Andrea Caggese - Pompeu Fabra & CREI) Workshop on Finance, Investment and Productivity BoE,
More informationRetirement Financing: An Optimal Reform Approach. QSPS Summer Workshop 2016 May 19-21
Retirement Financing: An Optimal Reform Approach Roozbeh Hosseini University of Georgia Ali Shourideh Wharton School QSPS Summer Workshop 2016 May 19-21 Roozbeh Hosseini(UGA) 0 of 34 Background and Motivation
More informationAging, Social Security Reform and Factor Price in a Transition Economy
Aging, Social Security Reform and Factor Price in a Transition Economy Tomoaki Yamada Rissho University 2, December 2007 Motivation Objectives Introduction: Motivation Rapid aging of the population combined
More informationSang-Wook (Stanley) Cho
Beggar-thy-parents? A Lifecycle Model of Intergenerational Altruism Sang-Wook (Stanley) Cho University of New South Wales, Sydney July 2009, CEF Conference Motivation & Question Since Becker (1974), several
More informationHousing Prices and Growth
Housing Prices and Growth James A. Kahn June 2007 Motivation Housing market boom-bust has prompted talk of bubbles. But what are fundamentals? What is the right benchmark? Motivation Housing market boom-bust
More informationSTATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics. Ph. D. Comprehensive Examination: Macroeconomics Fall, 2016
STATE UNIVERSITY OF NEW YORK AT ALBANY Department of Economics Ph. D. Comprehensive Examination: Macroeconomics Fall, 2016 Section 1. (Suggested Time: 45 Minutes) For 3 of the following 6 statements, state
More informationThe Transmission of Monetary Policy through Redistributions and Durable Purchases
The Transmission of Monetary Policy through Redistributions and Durable Purchases Vincent Sterk and Silvana Tenreyro UCL, LSE September 2015 Sterk and Tenreyro (UCL, LSE) OMO September 2015 1 / 28 The
More informationDynamic Portfolio Choice II
Dynamic Portfolio Choice II Dynamic Programming Leonid Kogan MIT, Sloan 15.450, Fall 2010 c Leonid Kogan ( MIT, Sloan ) Dynamic Portfolio Choice II 15.450, Fall 2010 1 / 35 Outline 1 Introduction to Dynamic
More informationThe Implications of a Greying Japan for Public Policy.
The Implications of a for Public Policy. R. Anton Braun Federal Reserve Bank of Atlanta Douglas Joines University of Southern California 1 Canon Institute for Global Studies August 19, 2011 1 The views
More informationFinancial Amplification, Regulation and Long-term Lending
Financial Amplification, Regulation and Long-term Lending Michael Reiter 1 Leopold Zessner 2 1 Instiute for Advances Studies, Vienna 2 Vienna Graduate School of Economics Barcelona GSE Summer Forum ADEMU,
More informationUNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS
UNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS Postponed exam: ECON4310 Macroeconomic Theory Date of exam: Monday, December 14, 2015 Time for exam: 09:00 a.m. 12:00 noon The problem set covers 13 pages (incl.
More informationHeterogeneous Firm, Financial Market Integration and International Risk Sharing
Heterogeneous Firm, Financial Market Integration and International Risk Sharing Ming-Jen Chang, Shikuan Chen and Yen-Chen Wu National DongHwa University Thursday 22 nd November 2018 Department of Economics,
More informationConsumption and Portfolio Decisions When Expected Returns A
Consumption and Portfolio Decisions When Expected Returns Are Time Varying September 10, 2007 Introduction In the recent literature of empirical asset pricing there has been considerable evidence of time-varying
More informationConvergence of Life Expectancy and Living Standards in the World
Convergence of Life Expectancy and Living Standards in the World Kenichi Ueda* *The University of Tokyo PRI-ADBI Joint Workshop January 13, 2017 The views are those of the author and should not be attributed
More informationFinancing National Health Insurance and Challenge of Fast Population Aging: The Case of Taiwan
Financing National Health Insurance and Challenge of Fast Population Aging: The Case of Taiwan Minchung Hsu Pei-Ju Liao GRIPS Academia Sinica October 15, 2010 Abstract This paper aims to discover the impacts
More informationHousehold Debt, Financial Intermediation, and Monetary Policy
Household Debt, Financial Intermediation, and Monetary Policy Shutao Cao 1 Yahong Zhang 2 1 Bank of Canada 2 Western University October 21, 2014 Motivation The US experience suggests that the collapse
More informationDisaster risk and its implications for asset pricing Online appendix
Disaster risk and its implications for asset pricing Online appendix Jerry Tsai University of Oxford Jessica A. Wachter University of Pennsylvania December 12, 2014 and NBER A The iid model This section
More informationReserve Accumulation, Macroeconomic Stabilization and Sovereign Risk
Reserve Accumulation, Macroeconomic Stabilization and Sovereign Risk Javier Bianchi 1 César Sosa-Padilla 2 2018 SED Annual Meeting 1 Minneapolis Fed & NBER 2 University of Notre Dame Motivation EMEs with
More informationDirectory. The Value of Life and the Rise in Health Spending p.1/34
Directory Introduction Related Papers Outline Figure 1. The Health Share Figure 2. Life Expectancy Basic Model Environment Optimal Allocation Alternative characterization General utility Discussion The
More informationWealth Accumulation in the US: Do Inheritances and Bequests Play a Significant Role
Wealth Accumulation in the US: Do Inheritances and Bequests Play a Significant Role John Laitner January 26, 2015 The author gratefully acknowledges support from the U.S. Social Security Administration
More informationThe Risky Steady State and the Interest Rate Lower Bound
The Risky Steady State and the Interest Rate Lower Bound Timothy Hills Taisuke Nakata Sebastian Schmidt New York University Federal Reserve Board European Central Bank 1 September 2016 1 The views expressed
More informationHousehold income risk, nominal frictions, and incomplete markets 1
Household income risk, nominal frictions, and incomplete markets 1 2013 North American Summer Meeting Ralph Lütticke 13.06.2013 1 Joint-work with Christian Bayer, Lien Pham, and Volker Tjaden 1 / 30 Research
More informationASSET PRICING WITH LIMITED RISK SHARING AND HETEROGENOUS AGENTS
ASSET PRICING WITH LIMITED RISK SHARING AND HETEROGENOUS AGENTS Francisco Gomes and Alexander Michaelides Roine Vestman, New York University November 27, 2007 OVERVIEW OF THE PAPER The aim of the paper
More informationRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
: A Potential Resolution of Asset Pricing Puzzles, JF (2004) Presented by: Esben Hedegaard NYUStern October 12, 2009 Outline 1 Introduction 2 The Long-Run Risk Solving the 3 Data and Calibration Results
More informationCapital Misallocation and Secular Stagnation
Capital Misallocation and Secular Stagnation Ander Perez-Orive Federal Reserve Board (joint with Andrea Caggese - Pompeu Fabra, CREI & BGSE) AEA Session on "Interest Rates and Real Activity" January 5,
More informationHousehold Finance in China
Household Finance in China Russell Cooper 1 and Guozhong Zhu 2 October 22, 2016 1 Department of Economics, the Pennsylvania State University and NBER, russellcoop@gmail.com 2 School of Business, University
More informationTax Benefit Linkages in Pension Systems (a note) Monika Bütler DEEP Université de Lausanne, CentER Tilburg University & CEPR Λ July 27, 2000 Abstract
Tax Benefit Linkages in Pension Systems (a note) Monika Bütler DEEP Université de Lausanne, CentER Tilburg University & CEPR Λ July 27, 2000 Abstract This note shows that a public pension system with a
More informationThe Budgetary and Welfare Effects of. Tax-Deferred Retirement Saving Accounts
The Budgetary and Welfare Effects of Tax-Deferred Retirement Saving Accounts Shinichi Nishiyama Department of Risk Management and Insurance Georgia State University March 22, 2010 Abstract We extend a
More informationRisky Mortgages in a DSGE Model
1 / 29 Risky Mortgages in a DSGE Model Chiara Forlati 1 Luisa Lambertini 1 1 École Polytechnique Fédérale de Lausanne CMSG November 6, 21 2 / 29 Motivation The global financial crisis started with an increase
More informationHome Production and Social Security Reform
Home Production and Social Security Reform Michael Dotsey Wenli Li Fang Yang Federal Reserve Bank of Philadelphia SUNY-Albany October 17, 2012 Dotsey, Li, Yang () Home Production October 17, 2012 1 / 29
More informationDebt Constraints and Employment. Patrick Kehoe, Virgiliu Midrigan and Elena Pastorino
Debt Constraints and Employment Patrick Kehoe, Virgiliu Midrigan and Elena Pastorino Motivation: U.S. Great Recession Large, persistent drop in employment U.S. Employment-Population, aged 25-54 82 Employment
More informationEstimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach Gianluca Benigno 1 Andrew Foerster 2 Christopher Otrok 3 Alessandro Rebucci 4 1 London School of Economics and
More informationFrequency of Price Adjustment and Pass-through
Frequency of Price Adjustment and Pass-through Gita Gopinath Harvard and NBER Oleg Itskhoki Harvard CEFIR/NES March 11, 2009 1 / 39 Motivation Micro-level studies document significant heterogeneity in
More information. Social Security Actuarial Balance in General Equilibrium. S. İmrohoroğlu (USC) and S. Nishiyama (CBO)
....... Social Security Actuarial Balance in General Equilibrium S. İmrohoroğlu (USC) and S. Nishiyama (CBO) Rapid Aging and Chinese Pension Reform, June 3, 2014 SHUFE, Shanghai ..... The results in this
More informationSocial Security, Life Insurance and Annuities for Families
Social Security, Life Insurance and Annuities for Families Jay H. Hong José-Víctor Ríos-Rull University of Pennsylvania University of Pennsylvania CAERP, CEPR, NBER Carnegie-Rochester Conference on Public
More informationSaving During Retirement
Saving During Retirement Mariacristina De Nardi 1 1 UCL, Federal Reserve Bank of Chicago, IFS, CEPR, and NBER January 26, 2017 Assets held after retirement are large More than one-third of total wealth
More informationHousehold finance in Europe 1
IFC-National Bank of Belgium Workshop on "Data needs and Statistics compilation for macroprudential analysis" Brussels, Belgium, 18-19 May 2017 Household finance in Europe 1 Miguel Ampudia, European Central
More informationTransactions and Money Demand Walsh Chapter 3
Transactions and Money Demand Walsh Chapter 3 1 Shopping time models 1.1 Assumptions Purchases require transactions services ψ = ψ (m, n s ) = c where ψ n s 0, ψ m 0, ψ n s n s 0, ψ mm 0 positive but diminishing
More informationOptimal monetary policy when asset markets are incomplete
Optimal monetary policy when asset markets are incomplete R. Anton Braun Tomoyuki Nakajima 2 University of Tokyo, and CREI 2 Kyoto University, and RIETI December 9, 28 Outline Introduction 2 Model Individuals
More informationThe Value of Unemployment Insurance
The Value of Unemployment Insurance Camille Landais (LSE) and Johannes Spinnewijn (LSE) September, 2018 Landais & Spinnewijn (LSE) Value of UI September, 2018 1 / 27 Motivation: Value of Insurance Key
More informationLecture 4. Extensions to the Open Economy. and. Emerging Market Crises
Lecture 4 Extensions to the Open Economy and Emerging Market Crises Mark Gertler NYU June 2009 0 Objectives Develop micro-founded open-economy quantitative macro model with real/financial interactions
More informationHome Ownership, Savings and Mobility Over The Life Cycle
Introduction Model Results Home Ownership, Savings and Mobility Over The Life Cycle Jonathan Halket Gopal Vasudev NYU January 28, 2009 Jonathan Halket, Gopal Vasudev To Rent or To Own Introduction 30 percent
More informationWill Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?
Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire? Andrew B. Abel The Wharton School of the University of Pennsylvania and National Bureau of Economic Research June
More informationProblem set Fall 2012.
Problem set 1. 14.461 Fall 2012. Ivan Werning September 13, 2012 References: 1. Ljungqvist L., and Thomas J. Sargent (2000), Recursive Macroeconomic Theory, sections 17.2 for Problem 1,2. 2. Werning Ivan
More informationRevisiting Tax on Top Income
Revisiting Tax on Top Income Ayşe İmhrohoğlu, Cagri Kumi and Arm Nakornthab, 2017 Presented by Johannes Fleck November 28, 2017 Structure of the paper (and today s presentation) 1. Research question 2.
More informationA Macroeconomic Model with Financial Panics
A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 March 218 1 The views expressed in this paper are those of the authors
More information14.05 Lecture Notes. Endogenous Growth
14.05 Lecture Notes Endogenous Growth George-Marios Angeletos MIT Department of Economics April 3, 2013 1 George-Marios Angeletos 1 The Simple AK Model In this section we consider the simplest version
More informationOil Price Uncertainty in a Small Open Economy
Yusuf Soner Başkaya Timur Hülagü Hande Küçük 6 April 212 Oil price volatility is high and it varies over time... 15 1 5 1985 199 1995 2 25 21 (a) Mean.4.35.3.25.2.15.1.5 1985 199 1995 2 25 21 (b) Coefficient
More informationThe effect of co-payments in Long Term Care on the distribution of payments, consumption, and risk. Bram Wouterse; Arjen Hussem and Albert Wong
HEDG HEALTH, ECONOMETRICS AND DATA GROUP WP 18/24 The effect of co-payments in Long Term Care on the distribution of payments, consumption, and risk. Bram Wouterse; Arjen Hussem and Albert Wong August
More informationModels of Directed Search - Labor Market Dynamics, Optimal UI, and Student Credit
Models of Directed Search - Labor Market Dynamics, Optimal UI, and Student Credit Florian Hoffmann, UBC June 4-6, 2012 Markets Workshop, Chicago Fed Why Equilibrium Search Theory of Labor Market? Theory
More informationFinal Exam II (Solutions) ECON 4310, Fall 2014
Final Exam II (Solutions) ECON 4310, Fall 2014 1. Do not write with pencil, please use a ball-pen instead. 2. Please answer in English. Solutions without traceable outlines, as well as those with unreadable
More informationBank Capital Requirements: A Quantitative Analysis
Bank Capital Requirements: A Quantitative Analysis Thiên T. Nguyễn Introduction Motivation Motivation Key regulatory reform: Bank capital requirements 1 Introduction Motivation Motivation Key regulatory
More informationAtkeson, Chari and Kehoe (1999), Taxing Capital Income: A Bad Idea, QR Fed Mpls
Lucas (1990), Supply Side Economics: an Analytical Review, Oxford Economic Papers When I left graduate school, in 1963, I believed that the single most desirable change in the U.S. structure would be the
More informationIncome Differences and Health Care Expenditures over the Life Cycle
Income Differences and Health Care Expenditures over the Life Cycle Serdar Ozkan Federal Reserve Board August 5, 2011 Motivation How do the low- and high-income households differ in the lifetime profile
More informationAccounting for the Rise of Health Spending and Longevity
Accounting for the Rise of Health Spending and Longevity Raquel Fonseca, Pierre-Carl Michaud, Arie Kapteyn, Titus Galama Revised version: September, 2013 Abstract We estimate a stochastic life-cycle model
More informationFiscal Cost of Demographic Transition in Japan
RIETI Discussion Paper Series 15-E-013 Fiscal Cost of Demographic Transition in Japan KITAO Sagiri RIETI The Research Institute of Economy, Trade and Industry http://www.rieti.go.jp/en/ RIETI Discussion
More informationFiscal Reform and Government Debt in Japan: A Neoclassical Perspective
Fiscal Reform and Government Debt in Japan: A Neoclassical Perspective Gary Hansen and Selo İmrohoroğlu UCLA Economics USC Marshall School June 1, 2012 06/01/2012 1 / 33 Basic Issue Japan faces two significant
More informationKeynesian Views On The Fiscal Multiplier
Faculty of Social Sciences Jeppe Druedahl (Ph.d. Student) Department of Economics 16th of December 2013 Slide 1/29 Outline 1 2 3 4 5 16th of December 2013 Slide 2/29 The For Today 1 Some 2 A Benchmark
More informationThe Role of Firm-Level Productivity Growth for the Optimal Rate of Inflation
The Role of Firm-Level Productivity Growth for the Optimal Rate of Inflation Henning Weber Kiel Institute for the World Economy Seminar at the Economic Institute of the National Bank of Poland November
More informationConcerted Efforts? Monetary Policy and Macro-Prudential Tools
Concerted Efforts? Monetary Policy and Macro-Prudential Tools Andrea Ferrero Richard Harrison Benjamin Nelson University of Oxford Bank of England Rokos Capital 20 th Central Bank Macroeconomic Modeling
More informationEfficient Bailouts? Javier Bianchi. Wisconsin & NYU
Efficient Bailouts? Javier Bianchi Wisconsin & NYU Motivation Large interventions in credit markets during financial crises Fierce debate about desirability of bailouts Supporters: salvation from a deeper
More informationCountry Spreads and Emerging Countries: Who Drives Whom? Martin Uribe and Vivian Yue (JIE, 2006)
Country Spreads and Emerging Countries: Who Drives Whom? Martin Uribe and Vivian Yue (JIE, 26) Country Interest Rates and Output in Seven Emerging Countries Argentina Brazil.5.5...5.5.5. 94 95 96 97 98
More informationEndogenous Trade Participation with Incomplete Exchange Rate Pass-Through
Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through Yuko Imura Bank of Canada June 28, 23 Disclaimer The views expressed in this presentation, or in my remarks, are my own, and do
More informationFinal Exam (Solutions) ECON 4310, Fall 2014
Final Exam (Solutions) ECON 4310, Fall 2014 1. Do not write with pencil, please use a ball-pen instead. 2. Please answer in English. Solutions without traceable outlines, as well as those with unreadable
More information1 Fiscal stimulus (Certification exam, 2009) Question (a) Question (b)... 6
Contents 1 Fiscal stimulus (Certification exam, 2009) 2 1.1 Question (a).................................................... 2 1.2 Question (b).................................................... 6 2 Countercyclical
More informationHousehold Saving, Financial Constraints, and the Current Account Balance in China
Household Saving, Financial Constraints, and the Current Account Balance in China Ayşe İmrohoroğlu USC Marshall Kai Zhao Univ. of Connecticut Facing Demographic Change in a Challenging Economic Environment-
More informationImplementing an Agent-Based General Equilibrium Model
Implementing an Agent-Based General Equilibrium Model 1 2 3 Pure Exchange General Equilibrium We shall take N dividend processes δ n (t) as exogenous with a distribution which is known to all agents There
More informationA Life-Cycle Overlapping-Generations Model of the Small Open Economy Ben J. Heijdra & Ward E. Romp
Mortality and Macroeconomics: Tilburg University 1 A Life-Cycle Overlapping-Generations Model of the Small Open Economy & Ward E. Romp Mortality and Macroeconomics Tilburg University Version 1. 7 December
More informationAdvanced Modern Macroeconomics
Advanced Modern Macroeconomics Analysis and Application Max Gillman UMSL 27 August 2014 Gillman (UMSL) Modern Macro 27 August 2014 1 / 23 Overview of Advanced Macroeconomics Chapter 1: Overview of the
More informationThe Measurement Procedure of AB2017 in a Simplified Version of McGrattan 2017
The Measurement Procedure of AB2017 in a Simplified Version of McGrattan 2017 Andrew Atkeson and Ariel Burstein 1 Introduction In this document we derive the main results Atkeson Burstein (Aggregate Implications
More informationConsumption and House Prices in the Great Recession: Model Meets Evidence
Consumption and House Prices in the Great Recession: Model Meets Evidence Greg Kaplan Kurt Mitman Gianluca Violante MFM 9-10 March, 2017 Outline 1. Overview 2. Model 3. Questions Q1: What shock(s) drove
More informationHealth Insurance Reform: The impact of a Medicare Buy-In
1/ 46 Motivation Life-Cycle Model Calibration Quantitative Analysis Health Insurance Reform: The impact of a Medicare Buy-In Gary Hansen (UCLA) Minchung Hsu (GRIPS) Junsang Lee (KDI) October 7, 2011 Macro-Labor
More informationToward A Term Structure of Macroeconomic Risk
Toward A Term Structure of Macroeconomic Risk Pricing Unexpected Growth Fluctuations Lars Peter Hansen 1 2007 Nemmers Lecture, Northwestern University 1 Based in part joint work with John Heaton, Nan Li,
More informationIdiosyncratic risk and the dynamics of aggregate consumption: a likelihood-based perspective
Idiosyncratic risk and the dynamics of aggregate consumption: a likelihood-based perspective Alisdair McKay Boston University March 2013 Idiosyncratic risk and the business cycle How much and what types
More informationHealth insurance and entrepreneurship
Health insurance and entrepreneurship Raquel Fonseca Université du Québec à Montréal, CIRANO and RAND Vincenzo Quadrini University of Southern California February 11, 2015 VERY PRELIMINARY AND INCOMPLETE.
More informationReverse Mortgage Design
Netspar International Pension Workshop Amsterdam, 28-30 January 2015 Reverse Mortgage Design Joao F. Cocco London Business School Paula Lopes London School of Economics Increasing concerns about the sustainability
More informationGraduate Labor Economics The Neoclassical Model of Labor Supply - Dynamics COPYRIGHT: Florian Hoffmann Please do not Circulate
Graduate Labor Economics The Neoclassical Model of Labor Supply - Dynamics COPYRIGHT: Florian Hoffmann Please do not Circulate Florian Hoffmann Vancouver School of Economics University of British Columbia
More informationWolpin s Model of Fertility Responses to Infant/Child Mortality Economics 623
Wolpin s Model of Fertility Responses to Infant/Child Mortality Economics 623 J.R.Walker March 20, 2012 Suppose that births are biological feasible in the first two periods of a family s life cycle, but
More information1 Dynamic programming
1 Dynamic programming A country has just discovered a natural resource which yields an income per period R measured in terms of traded goods. The cost of exploitation is negligible. The government wants
More informationRisk and Mortality-adjusted Annuities
Risk and Mortality-adjusted Annuities Justin van de Ven and Martin Weale National Institute of Economic and Social Research 2, Dean Trench Street, London SW1P 3HE National Institute Disucssion Paper No
More informationInflation & Welfare 1
1 INFLATION & WELFARE ROBERT E. LUCAS 2 Introduction In a monetary economy, private interest is to hold not non-interest bearing cash. Individual efforts due to this incentive must cancel out, because
More information1. Borrowing Constraints on Firms The Financial Accelerator
Part 7 1. Borrowing Constraints on Firms The Financial Accelerator The model presented is a modifed version of Jermann-Quadrini (27). Earlier papers: Kiyotaki and Moore (1997), Bernanke, Gertler and Gilchrist
More informationSimple Analytics of the Government Expenditure Multiplier
Simple Analytics of the Government Expenditure Multiplier Michael Woodford Columbia University New Approaches to Fiscal Policy FRB Atlanta, January 8-9, 2010 Woodford (Columbia) Analytics of Multiplier
More informationLong-Run Market Configurations in a Dynamic Quality-Ladder Model with Externalities. June 2, 2018
Long-Run Market Configurations in a Dynamic Quality-Ladder Model with Externalities Mario Samano HEC Montreal Marc Santugini University of Virginia June, 8 Introduction Motivation: A firm may decide to
More information1 Consumption and saving under uncertainty
1 Consumption and saving under uncertainty 1.1 Modelling uncertainty As in the deterministic case, we keep assuming that agents live for two periods. The novelty here is that their earnings in the second
More informationON THE ASSET ALLOCATION OF A DEFAULT PENSION FUND
ON THE ASSET ALLOCATION OF A DEFAULT PENSION FUND Magnus Dahlquist 1 Ofer Setty 2 Roine Vestman 3 1 Stockholm School of Economics and CEPR 2 Tel Aviv University 3 Stockholm University and Swedish House
More informationThe Saving Rate in Japan: Why It Has Fallen and Why It Will Remain Low
CIRJE-F-535 The Saving Rate in Japan: Why It Has Fallen and Why It Will Remain Low R.Anton Braun University of Tokyo Daisuke Ikeda Northwestern University and Bank of Japan Douglas H. Joines University
More informationSharing the Burden: Monetary and Fiscal Responses to a World Liquidity Trap David Cook and Michael B. Devereux
Sharing the Burden: Monetary and Fiscal Responses to a World Liquidity Trap David Cook and Michael B. Devereux Online Appendix: Non-cooperative Loss Function Section 7 of the text reports the results for
More informationThe effect of co-payments in Long Term Care on the distribution of income and risk. First Draft.
The effect of co-payments in Long Term Care on the distribution of income and risk. First Draft. Bram Wouterse 1,2,5, Arjen Hussem 1,3,5, and Albert Wong 4,5 1 CPB Netherlands Bureau for Economic Policy
More informationIntergenerational Policy and the Measurement of the Tax Incidence of Unfunded Liabilities
Intergenerational Policy and the Measurement of the Tax Incidence of Unfunded Liabilities Juan Carlos Conesa, Universitat Autònoma de Barcelona Carlos Garriga, Federal Reserve Bank of St. Louis May 26th,
More information