Consumer Bankruptcy: A Fresh Start
|
|
- Lawrence Carter
- 5 years ago
- Views:
Transcription
1 Consumer Bankruptcy: A Fresh Start Igor Livshits, James MacGee, Michèle Tertilt (2007) presented by Nawid Siassi January 23, 2013 January 23, / 15
2 Motivation United States vs. Europe: very different consumer bankruptcy rules
3 Motivation United States vs. Europe: very different consumer bankruptcy rules Fresh Start system (United States): Chapter 7 of U.S. bankruptcy code allows debtors to completely discharge their liabilities
4 Motivation United States vs. Europe: very different consumer bankruptcy rules Fresh Start system (United States): Chapter 7 of U.S. bankruptcy code allows debtors to completely discharge their liabilities No Fresh Start system (continental Europe): life-long liability, bankruptcy effectively restructures debt payments, partial garnishment of earnings
5 Motivation United States vs. Europe: very different consumer bankruptcy rules Fresh Start system (United States): Chapter 7 of U.S. bankruptcy code allows debtors to completely discharge their liabilities No Fresh Start system (continental Europe): life-long liability, bankruptcy effectively restructures debt payments, partial garnishment of earnings Aim: Quantitatively analyze these two bankruptcy arrangements!
6 Two opposing forces. The possibility of filing for bankruptcy... 1 limits agents ability to commit to future debt repayment tighter borrowing limits make it harder to smooth consumption over time!
7 Two opposing forces. The possibility of filing for bankruptcy... 1 limits agents ability to commit to future debt repayment tighter borrowing limits make it harder to smooth consumption over time! 2 introduces a contingency in case of bad luck (divorce, job loss, medical problems) easier to smooth consumption across states!
8 Two opposing forces. The possibility of filing for bankruptcy... 1 limits agents ability to commit to future debt repayment tighter borrowing limits make it harder to smooth consumption over time! 2 introduces a contingency in case of bad luck (divorce, job loss, medical problems) easier to smooth consumption across states! This paper: Evaluate this trade-off using an incomplete-markets life-cycle model with income and expense shocks. Calibrate to U.S. economy and Fresh Start system. Assess counterfactual.
9 The OLG Model households maximize J β j 1 u(c j /n j ) j=1 where c j is total consumption and n j is the household size at age j in equivalence scale units (deterministic)
10 The OLG Model households maximize J β j 1 u(c j /n j ) j=1 where c j is total consumption and n j is the household size at age j in equivalence scale units (deterministic) labor income of household i is given by y i j = a i j ē j a i j = z i j η i j where ē j is the age-dependent deterministic component, z i j and η i j is a transitory shock is a persistent shock
11 i.i.d. expense shock (directly changes net asset position): κ 0, κ K where K is a finite set; probability of κ i is denoted by π i risk-free savings interest rate r s
12 i.i.d. expense shock (directly changes net asset position): κ 0, κ K where K is a finite set; probability of κ i is denoted by π i risk-free savings interest rate r s loans are one-period uncontingent bond contracts; bond market competitive; intermediaries observe loan size, earnings and age denote: loan size d and bond price q b (d, z, j)
13 Bankruptcy Costs of declaring bankruptcy: 1 temporary exclusion from credit markets no borrowing/saving 2 partial garnishment of income consider linear garnishment: Γ = γy
14 Bankruptcy Costs of declaring bankruptcy: 1 temporary exclusion from credit markets no borrowing/saving 2 partial garnishment of income consider linear garnishment: Γ = γy Two bankruptcy systems: 1 Fresh Start (FS): full discharge of all debt, no seizure of future income, waiting period of 6 years
15 Bankruptcy Costs of declaring bankruptcy: 1 temporary exclusion from credit markets no borrowing/saving 2 partial garnishment of income consider linear garnishment: Γ = γy Two bankruptcy systems: 1 Fresh Start (FS): full discharge of all debt, no seizure of future income, waiting period of 6 years 2 No Fresh Start (NFS): life-long liability for debt, no discharge of debt possible, outstanding debt is rolled over at specified interest rate r (lower than market rate), linear garnishment of income
16 Consumer Problem: Fresh Start system [ ] V j (d, z, η, κ) = max u(c/n j ) + βe max{v j+1 (d, z, η, κ ), V j+1 (z, η )} c,d s.t. c + d + κ ē j zη + q b (d, z, j)d V : value of repaying debt; V : value of declaring bankruptcy; W : value of not repaying expense shock in period following bankruptcy
17 Consumer Problem: Fresh Start system [ ] V j (d, z, η, κ) = max u(c/n j ) + βe max{v j+1 (d, z, η, κ ), V j+1 (z, η )} c,d s.t. c + d + κ ē j zη + q b (d, z, j)d V j (z, η) =u(c/n j ) + βe max{v j+1 (0, z, η, κ ), W j+1 (z, η, κ)} s.t. c = (1 γ)ē j zη V : value of repaying debt; V : value of declaring bankruptcy; W : value of not repaying expense shock in period following bankruptcy
18 Consumer Problem: Fresh Start system [ ] V j (d, z, η, κ) = max u(c/n j ) + βe max{v j+1 (d, z, η, κ ), V j+1 (z, η )} c,d s.t. c + d + κ ē j zη + q b (d, z, j)d V j (z, η) =u(c/n j ) + βe max{v j+1 (0, z, η, κ ), W j+1 (z, η, κ)} s.t. c = (1 γ)ē j zη W j (z, η, κ) =u(c/n j ) + βe max{v j+1 (d, z, η, κ ), V j+1 (z, η )} s.t. c = (1 γ)ē j zη, d = (κ γē j zη)(1 + r) V : value of repaying debt; V : value of declaring bankruptcy; W : value of not repaying expense shock in period following bankruptcy
19 Consumer Problem: No Fresh Start system [ ] Vj NFS (d, z, η, κ) = max u(c/n j ) + βev NFS c,d j+1 (d, z, η, κ),i s.t. c + d + κ ē j zη + q b (d, z, j)d if I = 0 c = (1 γ)ē j zη if I = 1 d = max{d + κ γē j zη, 0}(1 + r) if I = 1 where I j (d + κ, z, η) denotes the decison to declare bankruptcy
20 Bond Prices // Calibration competitive market for financial intermediaries zero expected profits on each loan! bond price determined by default probability
21 Bond Prices // Calibration competitive market for financial intermediaries zero expected profits on each loan! bond price determined by default probability period length 3 years, age 20 onwards, retirement at age 65 income process: estimates from the literature
22 Bond Prices // Calibration competitive market for financial intermediaries zero expected profits on each loan! bond price determined by default probability period length 3 years, age 20 onwards, retirement at age 65 income process: estimates from the literature no uncertainty during retirement: version of Social Security γ = to match debt-to-income ratio; rollover rate r = 0.20
23 Expense Shocks main cause to file for bankruptcy: 67.5% job loss, 22.1% family issues (e.g. divorce), 19.3% medical expenses (multiple responses permitted) assume that κ {κ 1, κ 2 }; calibrate using data on out-of-pocket medical bills, divorces, unplanned pregnancies Table 1. Expense Shocks Shock Magnitude Fraction of avg income Probability κ 1 $32, % κ 2 $102, %
24 Benchmark Results Table 2. Benchmark Model versus Data Results Rule Debt/Earnings Defaults Avg r b Benchmark FS 8.4% 0.71% 11.6% US data, avg FS 8.4% 0.84%
25 Benchmark Results Table 2. Benchmark Model versus Data Results Rule Debt/Earnings Defaults Avg r b Benchmark FS 8.4% 0.71% 11.6% US data, avg FS 8.4% 0.84%
26 Benchmark Results
27 Benchmark Results
28 Fresh Start vs. No Fresh Start Table 4. Benchmark FS versus NFS Results Rule Debt/Earnings Defaults Welfare (ECV) Benchmark FS 8.4% 0.71% % NFS 14.8% 0.53%
29 Fresh Start vs. No Fresh Start Table 4. Benchmark FS versus NFS Results Rule Debt/Earnings Defaults Welfare (ECV) Benchmark FS 8.4% 0.71% % NFS 14.8% 0.53%
30 Importance of Uncertainty evaluation of bankruptcy regimes sensitive to nature and magnitude of idiosyncratic uncertainty NFS better if expense shocks are proportional to persistent earnings
Consumer Bankruptcy: A Fresh Start By Igor Livshits and James MacGee University of Western Ontario and Michele Tertilt Stanford University
This work is distributed as a Discussion Paper by the STANFORD INSTITUTE FOR ECONOMIC POLICY RESEARCH SIEPR Discussion Paper No. 04-11 Consumer Bankruptcy: A Fresh Start By Igor Livshits and James MacGee
More informationConsumer Bankruptcy: A Fresh Start
Consumer Bankruptcy: A Fresh Start Igor Livshits and James MacGee University of Western Ontario and Michèle Tertilt Stanford University March 9, 2006 Abstract There has been considerable public debate
More informationConsumer Bankruptcy: A Fresh Start
Federal Reserve Bank of Minneapolis Research Department Consumer Bankruptcy: A Fresh Start Igor Livshits, James MacGee, and Michele Tertilt Working Paper 617 Revised January 2003 ABSTRACT American consumer
More informationConsumer Bankruptcy: A Fresh Start
Consumer Bankruptcy: A Fresh Start Igor Livshits and James MacGee University of Western Ontario and Michele Tertilt University of Minnesota May 20, 2004 Abstract American consumer bankruptcy provides for
More informationConsumer Debt and Default
Consumer Debt and Default Michèle Tertilt (University of Mannheim) YJ Award Lecture, December 2017 Debt and Default over Time 10 9 8 7 filings per 1000 revolving credit credit card charge-off rate 6 5
More informationThe Impact of Personal Bankruptcy Law on Entrepreneurship
The Impact of Personal Bankruptcy Law on Entrepreneurship Ye (George) Jia University of Prince Edward Island Small Business, Entrepreneurship and Economic Recovery Conference at Federal Reserve Bank of
More informationRegulating Consumer Credit with Over-Optimistic Borrowers
Regulating Consumer Credit with Over-Optimistic Borrowers Florian Exler University of Vienna James MacGee Igor Livshits Federal Reserve Bank of Philadelphia and BEROC Michèle Tertilt University of Western
More informationUnsecured Borrowing and the Credit Card Market
Unsecured Borrowing and the Credit Card Market Lukasz A. Drozd The Wharton School Jaromir B. Nosal Columbia University This Paper Build new theory of unsecured borrowing via credit cards Motivation emergence
More informationAccounting for the Rise in Consumer Bankruptcies
Western University Scholarship@Western Economic Policy Research Institute. EPRI Working Papers Economics Working Papers Archive 2006 2006-6 Accounting for the Rise in Consumer Bankruptcies Igor D. Livshits
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 informationModeling the Credit Card Revolution: The Role of IT Reconsidered
Modeling the Credit Card Revolution: The Role of IT Reconsidered Lukasz A. Drozd 1 Ricardo Serrano-Padial 2 1 Wharton School of the University of Pennsylvania 2 University of Wisconsin-Madison April, 2014
More informationDebt Covenants and the Macroeconomy: The Interest Coverage Channel
Debt Covenants and the Macroeconomy: The Interest Coverage Channel Daniel L. Greenwald MIT Sloan EFA Lunch, April 19 Daniel L. Greenwald Debt Covenants and the Macroeconomy EFA Lunch, April 19 1 / 6 Introduction
More informationOptimal External Debt and Default
Discussion on Optimal External Debt and Default Bernardo Guimaraes Alberto Martin CREI and Universitat Pompeu Fabra May 2007 This paper Analyzes whether sovereign can be interpreted as a contingency of
More informationSovereign Default and the Choice of Maturity
Sovereign Default and the Choice of Maturity Juan M. Sanchez Horacio Sapriza Emircan Yurdagul FRB of St. Louis Federal Reserve Board Washington U. St. Louis February 4, 204 Abstract This paper studies
More informationA Quantitative Theory of Unsecured Consumer Credit with Risk of Default
A Quantitative Theory of Unsecured Consumer Credit with Risk of Default Satyajit Chatterjee Federal Reserve Bank of Philadelphia Makoto Nakajima University of Pennsylvania Dean Corbae University of Pittsburgh
More informationAggregate Fluctuations, Consumer Credit and Bankruptcy. Preliminary and Incomplete
Aggregate Fluctuations, Consumer Credit and Bankruptcy Preliminary and Incomplete David Fieldhouse, Igor Livshits, James MacGee November 16, 2016 Abstract There are large countercyclical fluctuations in
More informationEquilibrium Default and Temptation
Equilibrium Default and Temptation Makoto Nakajima University of Illinois at Urbana-Champaign May 28 Very Preliminary Abstract In this paper I quantitatively investigate macroeconomic and welfare implications
More informationLabor Market Upheaval, Default Regulations, and Consumer Debt
Labor Market Upheaval, Default Regulations, and Consumer Debt Kartik Athreya Juan M. Sánchez Xuan S. Tam Eric R. Young FRB Richmond FRB St Louis City Univ of Hong Kong University of Virginia December 6,
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 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 informationAgency Costs, Net Worth and Business Fluctuations. Bernanke and Gertler (1989, AER)
Agency Costs, Net Worth and Business Fluctuations Bernanke and Gertler (1989, AER) 1 Introduction Many studies on the business cycles have suggested that financial factors, or more specifically the condition
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 informationFresh Start in Bankruptcy
Renuka Sane 29 July 2016 Fresh start The opportunity to begin a new financial chapter The term is used in the context of discharge how many years does an individual have to wait before being discharged
More informationWORKING PAPER NO A TALE OF TWO COMMITMENTS: EQUILIBRIUM DEFAULT AND TEMPTATION. Makoto Nakajima Federal Reserve Bank of Philadelphia
WORKING PAPER NO. 14-1 A TALE OF TWO COMMITMENTS: EQUILIBRIUM DEFAULT AND TEMPTATION Makoto Nakajima Federal Reserve Bank of Philadelphia This draft: December 11, 2013 First draft: May 23, 2008 A Tale
More informationEvaluating default policy: The business cycle matters
Quantitative Economics 6 (2015), 795 823 1759-7331/20150795 Evaluating default policy: The business cycle matters Grey Gordon Department of Economics, Indiana University More debt forgiveness directly
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 information1 Modelling borrowing constraints in Bewley models
1 Modelling borrowing constraints in Bewley models Consider the problem of a household who faces idiosyncratic productivity shocks, supplies labor inelastically and can save/borrow only through a risk-free
More informationCapital markets liberalization and global imbalances
Capital markets liberalization and global imbalances Vincenzo Quadrini University of Southern California, CEPR and NBER February 11, 2006 VERY PRELIMINARY AND INCOMPLETE Abstract This paper studies the
More informationFormal versus Informal Default in Consumer Credit
Formal versus Informal Default in Consumer Credit David Benjamin SUNY Buffalo and Xavier Mateos-Planas Queen Mary University of London October 9, 2013 Abstract This paper studies informal default (or delinquency)
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 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 informationHow Much Insurance in Bewley Models?
How Much Insurance in Bewley Models? Greg Kaplan New York University Gianluca Violante New York University, CEPR, IFS and NBER Boston University Macroeconomics Seminar Lunch Kaplan-Violante, Insurance
More informationMaturity, Indebtedness and Default Risk 1
Maturity, Indebtedness and Default Risk 1 Satyajit Chatterjee Burcu Eyigungor Federal Reserve Bank of Philadelphia February 15, 2008 1 Corresponding Author: Satyajit Chatterjee, Research Dept., 10 Independence
More informationBargaining in the Shadow of Chapter 7: The Consequences of Separating Default and Bankruptcy (Preliminary Draft & Do not cite)
Bargaining in the Shadow of Chapter 7: The Consequences of Separating Default and Bankruptcy (Preliminary Draft & Do not cite) David Benjamin SUNY Buffalo and Xavier Mateos-Planas Queen Mary University
More informationSocial Insurance, Private Health Insurance and Individual Welfare
Social Insurance, Private Health Insurance and Individual Welfare Kai Zhao University of Connecticut February 15, 2017 Abstract This paper studies the impact of social insurance on individual choices and
More informationA Model of the Consumption Response to Fiscal Stimulus Payments
A Model of the Consumption Response to Fiscal Stimulus Payments Greg Kaplan University of Pennsylvania Gianluca Violante New York University Federal Reserve Board May 31, 2012 1/47 Fiscal stimulus payments
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 informationHeterogeneous borrowers in quantitative models of sovereign default
Heterogeneous borrowers in quantitative models of sovereign default J.C. Hatchondo, L. Martinez and H. Sapriza October, 2012 1 / 25 Elections and Sovereign Bond in Brasil 2 / 25 Stylized facts Declaration
More informationBank Capital Buffers in a Dynamic Model 1
Bank Capital Buffers in a Dynamic Model 1 Jochen Mankart 1 Alex Michaelides 2 Spyros Pagratis 3 1 Deutsche Bundesbank 2 Imperial College London 3 Athens University of Economics and Business November 217
More informationBernanke & Gertler (1989) - Agency Costs, Net Worth, & Business Fluctuations
Bernanke & Gertler (1989) - Agency Costs, Net Worth, & Business Fluctuations Robert Kirkby UC3M November 2010 The Idea Motivation Condition of firm & household often suggested as a determinant of macroeconomic
More informationForeign Competition and Banking Industry Dynamics: An Application to Mexico
Foreign Competition and Banking Industry Dynamics: An Application to Mexico Dean Corbae Pablo D Erasmo 1 Univ. of Wisconsin FRB Philadelphia June 12, 2014 1 The views expressed here do not necessarily
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 informationInsurance in Human Capital Models with Limited Enforcement
Insurance in Human Capital Models with Limited Enforcement Tom Krebs 1 Moritz Kuhn 2 Mark L. J. Wright 3 1 University of Mannheim 2 University of Bonn 3 Federal Reserve Bank of Chicago, and National Bureau
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 informationTax reform with endogenous borrowing limits and incomplete asset markets
ADEMU WORKING PAPER SERIES Tax reform with endogenous borrowing limits and incomplete asset markets Árpád Abrahám Eva Carceles Poveda June 2016 WP 2016/013 www.ademu-project.eu/publications/working-papers
More informationEquilibrium Default and Temptation
Equilibrium Default and Temptation Makoto Nakajima December 1, 2010 First draft: May 23, 2008 TBD Abstract JEL Classification: D91, E21, E44, G18, K35 Keywords: Consumer bankruptcy, Default, Hyperbolic
More informationThe Tail that Wags the Economy: Belief-driven Business Cycles and Persistent Stagnation
The Tail that Wags the Economy: Belief-driven Business Cycles and Persistent Stagnation Julian Kozlowski Laura Veldkamp Venky Venkateswaran NYU NYU Stern NYU Stern June 215 1 / 27 Introduction The Great
More informationOptimal Taxation Under Capital-Skill Complementarity
Optimal Taxation Under Capital-Skill Complementarity Ctirad Slavík, CERGE-EI, Prague (with Hakki Yazici, Sabanci University and Özlem Kina, EUI) January 4, 2019 ASSA in Atlanta 1 / 31 Motivation Optimal
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 informationThe Costs of Losing Monetary Independence: The Case of Mexico
The Costs of Losing Monetary Independence: The Case of Mexico Thomas F. Cooley New York University Vincenzo Quadrini Duke University and CEPR May 2, 2000 Abstract This paper develops a two-country monetary
More informationInternational Macroeconomic Comovement
International Macroeconomic Comovement Costas Arkolakis Teaching Fellow: Federico Esposito February 2014 Outline Business Cycle Fluctuations Trade and Macroeconomic Comovement What is the Cost of Business
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 informationMonetary Economics Final Exam
316-466 Monetary Economics Final Exam 1. Flexible-price monetary economics (90 marks). Consider a stochastic flexibleprice money in the utility function model. Time is discrete and denoted t =0, 1,...
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 informationTowards a General Equilibrium Foundation for the Observed Term Structure and Design in Sovereign Bonds
1 / 34 Towards a General Equilibrium Foundation for the Observed Term Structure and Design in Sovereign Bonds K. Wada 1 1 Graduate School of Economics, Hitotsubashi University November 4, 2017 @HIAS. IER,
More informationCredit Frictions and Optimal Monetary Policy. Vasco Curdia (FRB New York) Michael Woodford (Columbia University)
MACRO-LINKAGES, OIL PRICES AND DEFLATION WORKSHOP JANUARY 6 9, 2009 Credit Frictions and Optimal Monetary Policy Vasco Curdia (FRB New York) Michael Woodford (Columbia University) Credit Frictions and
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 informationFormal versus Informal Default in Consumer Credit
Formal versus Informal Default in Consumer Credit David Benjamin SUNY Buffalo and Xavier Mateos-Planas Queen Mary University of London (First draft January 2011) November 14, 2011 Abstract This paper studies
More informationSlides III - Complete Markets
Slides III - Complete Markets Julio Garín University of Georgia Macroeconomic Theory II (Ph.D.) Spring 2017 Macroeconomic Theory II Slides III - Complete Markets Spring 2017 1 / 33 Outline 1. Risk, Uncertainty,
More informationBank Capital Buffers in a Dynamic Model 1
Bank Capital Buffers in a Dynamic Model 1 Jochen Mankart 1 Alex Michaelides 2 Spyros Pagratis 3 1 Deutsche Bundesbank 2 Imperial College London 3 Athens University of Economics and Business CRESSE 216,
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 informationMacroeconomics 2. Lecture 12 - Idiosyncratic Risk and Incomplete Markets Equilibrium April. Sciences Po
Macroeconomics 2 Lecture 12 - Idiosyncratic Risk and Incomplete Markets Equilibrium Zsófia L. Bárány Sciences Po 2014 April Last week two benchmarks: autarky and complete markets non-state contingent bonds:
More informationA QUANTITATIVE THEORY OF UNSECURED CONSUMER CREDIT WITH RISK OF DEFAULT
A QUANTITATIVE THEORY OF UNSECURED CONSUMER CREDIT WITH RISK OF DEFAULT (in pills) SATYAJIT CHATTERJEE, DEAN CORBAE, MAKOTO NAKAJIMA and (uncle) JOSE -VICTOR RIOS-RULL Presenter: Alessandro Peri University
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 informationA Model with Costly-State Verification
A Model with Costly-State Verification Jesús Fernández-Villaverde University of Pennsylvania December 19, 2012 Jesús Fernández-Villaverde (PENN) Costly-State December 19, 2012 1 / 47 A Model with Costly-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 informationEndogenous trading constraints with incomplete asset markets
Journal of Economic Theory 145 (2010) 974 1004 www.elsevier.com/locate/jet Endogenous trading constraints with incomplete asset markets Árpád Ábrahám a,, Eva Cárceles-Poveda b a Department of Economics,
More informationRegulating Small Dollar Loans: The Role of Delinquency
Regulating Small Dollar Loans: The Role of Delinquency Florian Exler This version: April 10, 2017 Abstract This paper analyzes whether and how to regulate small dollar lending in the United States. To
More informationLecture 23 The New Keynesian Model Labor Flows and Unemployment. Noah Williams
Lecture 23 The New Keynesian Model Labor Flows and Unemployment Noah Williams University of Wisconsin - Madison Economics 312/702 Basic New Keynesian Model of Transmission Can be derived from primitives:
More informationThe Costs and Benefits of Employer Credit Checks
The Costs and Benefits of Employer Credit Checks Dean Corbae University of Wisconsin at Madison Andrew Glover University of Texas at Austin February 13, 217 Abstract Credit agencies sell credit reports
More informationThe Real Business Cycle Model
The Real Business Cycle Model Economics 3307 - Intermediate Macroeconomics Aaron Hedlund Baylor University Fall 2013 Econ 3307 (Baylor University) The Real Business Cycle Model Fall 2013 1 / 23 Business
More informationMenu Costs and Phillips Curve by Mikhail Golosov and Robert Lucas. JPE (2007)
Menu Costs and Phillips Curve by Mikhail Golosov and Robert Lucas. JPE (2007) Virginia Olivella and Jose Ignacio Lopez October 2008 Motivation Menu costs and repricing decisions Micro foundation of sticky
More informationEssays on Consumer Default
University of Pennsylvania ScholarlyCommons Publicly Accessible Penn Dissertations 1-1-2012 Essays on Consumer Default Richard Grey Gordon University of Pennsylvania, greygordon@gmail.com Follow this and
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 informationConsumer Debt and Default
Consumer Debt and Default Inauguraldissertation zur Erlangung des akademischen Grades eines Doktors der Wirtschaftswissenschaften der Universität Mannheim Florian Exler Frühjahrssemester 2017 Abteilungssprecher:
More informationA Theory of Credit Scoring and Competitive Pricing of Default Risk
A Theory of Credit Scoring and Competitive Pricing of Default Risk Satyajit Chatterjee Dean Corbae José Víctor Ríos-Rull Philly Fed, University of Wisconsin, University of Minnesota Mpls Fed, CAERP, CEPR,
More informationMacroeconomic and Distributional Effects of Mortgage Guarantee Programs for the Poor
Macroeconomic and Distributional Effects of Mortgage Guarantee Programs for the Poor Jiseob Kim Yonsei University Yicheng Wang University of Oslo April 6, 2017 Abstract Government-driven mortgage guarantee
More informationHousehold Heterogeneity in Macroeconomics
Household Heterogeneity in Macroeconomics Department of Economics HKUST August 7, 2018 Household Heterogeneity in Macroeconomics 1 / 48 Reference Krueger, Dirk, Kurt Mitman, and Fabrizio Perri. Macroeconomics
More informationOld, Sick Alone, and Poor: A Welfare Analysis of Old-Age Social Insurance Programs
Old, Sick Alone, and Poor: A Welfare Analysis of Old-Age Social Insurance Programs R. Anton Braun Federal Reserve Bank of Atlanta Karen A. Kopecky Federal Reserve Bank of Atlanta Tatyana Koreshkova Concordia
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 informationDiscussion of Optimal Monetary Policy and Fiscal Policy Interaction in a Non-Ricardian Economy
Discussion of Optimal Monetary Policy and Fiscal Policy Interaction in a Non-Ricardian Economy Johannes Wieland University of California, San Diego and NBER 1. Introduction Markets are incomplete. In recent
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 informationTax Smoothing, Learning and Debt Volatility
Tax Smoothing, Learning and Debt Volatility Francesco Caprioli 1 1 Universitat Pompeu Fabra Conference - November 2008 Caprioli (UPF) Tax Smoothing, Learning and Debt Volatility Conference 2008 1 / 42
More informationCAEPR Working Paper # Optimal Bankruptcy Code: A Fresh Start for Some. Grey Gordon. Indiana University. September 8, 2014
CAEPR Working Paper #2014-002 Optimal Bankruptcy Code: A Fresh Start for Some Grey Gordon Indiana University September 8, 2014 This paper can be downloaded without charge from the Social Science Research
More informationAsset Pricing with Heterogeneous Consumers
, JPE 1996 Presented by: Rustom Irani, NYU Stern November 16, 2009 Outline Introduction 1 Introduction Motivation Contribution 2 Assumptions Equilibrium 3 Mechanism Empirical Implications of Idiosyncratic
More informationHow Much Consumption Insurance in Bewley Models with Endogenous Family Labor Supply?
How Much Consumption Insurance in Bewley Models with Endogenous Family Labor Supply? Chunzan Wu University of Miami Dirk Krueger University of Pennsylvania, CEPR, CFS, NBER and Netspar March 26, 2018 Abstract
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 informationCredit and hiring. Vincenzo Quadrini University of Southern California, visiting EIEF Qi Sun University of Southern California.
Credit and hiring Vincenzo Quadrini University of Southern California, visiting EIEF Qi Sun University of Southern California November 14, 2013 CREDIT AND EMPLOYMENT LINKS When credit is tight, employers
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 informationAggregate Implications of Lumpy Adjustment
Aggregate Implications of Lumpy Adjustment Eduardo Engel Cowles Lunch. March 3rd, 2010 Eduardo Engel 1 1. Motivation Micro adjustment is lumpy for many aggregates of interest: stock of durable good nominal
More informationReturn to Capital in a Real Business Cycle Model
Return to Capital in a Real Business Cycle Model Paul Gomme, B. Ravikumar, and Peter Rupert Can the neoclassical growth model generate fluctuations in the return to capital similar to those observed in
More informationCredit Frictions and Optimal Monetary Policy
Credit Frictions and Optimal Monetary Policy Vasco Cúrdia FRB New York Michael Woodford Columbia University Conference on Monetary Policy and Financial Frictions Cúrdia and Woodford () Credit Frictions
More informationPublic Investment, Debt, and Welfare: A Quantitative Analysis
Public Investment, Debt, and Welfare: A Quantitative Analysis Santanu Chatterjee University of Georgia Felix Rioja Georgia State University October 31, 2017 John Gibson Georgia State University Abstract
More informationSluggish responses of prices and inflation to monetary shocks in an inventory model of money demand
Federal Reserve Bank of Minneapolis Research Department Staff Report 417 November 2008 Sluggish responses of prices and inflation to monetary shocks in an inventory model of money demand Fernando Alvarez
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 informationRisky Human Capital and Alternative Bankruptcy Regimes for Student Loans
Risky Human Capital and Alternative Bankruptcy Regimes for Student Loans Felicia Ionescu November 2009 Department of Economics, Colgate University, 13 Oak Dr, Hamilton, NY, 13346, USA. Abstract I study
More informationFinancing Medicare: A General Equilibrium Analysis
Financing Medicare: A General Equilibrium Analysis Orazio Attanasio University College London, CEPR, IFS and NBER Sagiri Kitao University of Southern California Gianluca Violante New York University, CEPR
More informationBernanke and Gertler [1989]
Bernanke and Gertler [1989] Econ 235, Spring 2013 1 Background: Townsend [1979] An entrepreneur requires x to produce output y f with Ey > x but does not have money, so he needs a lender Once y is realized,
More informationUnconventional Monetary Policy
Unconventional Monetary Policy Mark Gertler (based on joint work with Peter Karadi) NYU October 29 Old Macro Analyzes pre versus post 1984:Q4. 1 New Macro Analyzes pre versus post August 27 Post August
More information