the federal funds market under bank deregulation the introduction of competitive interest rates on deposits is shown to effect the optimal decisions of banks by altering their optimal forecast of the federal funds rate the movement toward co mpetitive deposit rates increases the size of the monetary base neces sary for the fed to maintain its deposit targets when deposits and the monetary base are substitutes in addition there is less uncertainty in the federal funds market under competitive deposit rates when deposits and the monetary base are substitutes and the source of uncertainty is not from the supply of deposits copyright 1987 by ohio state university press

interpreting the macroeconomic time series facts the effects of monetary policy existing theory and evidence on the effects of monetary policy are reviewed substantial room for disagreement among economists remains new evidence based on multivariate time series studies of several countries is presented while certain patterns in the data consistent with effective monetary policy are strikingly similar across countries others particularly the tendency of interest rate increases to predict high inflation are harder to reconcile with effective monetary policy

unemployment insurance and male unemployment duration in canada a model of unemployment duration is estimated with weekly micro data on canadian men entitlement provisions in the unemployment insurance program and demand conditions are found to have a significant effect on the probability of leaving unemployment the probability of a worker leaving unemployment declines with the duration of unemployment holding unemployment insurance entitlement constant when entitlement is allowed to vary the probability of leaving first falls and then generally rises with unemployment duration these results are robust with respect to allowing for person specific unobserved heterogeneity and alternative specifications of duration dependence

a bivariate duration model for job mobility of two earner households abstract in recent years we have observed an increasing interest in the job mobility patterns of employed persons a new issue in this context is the mutual dependence of job mobility choice of workers who belong to the same household in the present paper we focus on bivariate duration models of stock sampled data in which dependence is induced through mixing we apply the estimation method on the basis of an empirical study on the mutual dependence of job mobility of workers belonging to a two earner household in the netherlands an interesting empirical result is that the marginal willingness to pay for a reduction in commuting time in a two wage earner household is higher than that usually found for single earner workers

the decline in male labor force participation comment in an article in thisjournal parsons 1980a analyzes the doubling in the rate of nonparticipation in the labor force of older men since 1946 using cross sectional data from the national longitudinal survey parnes et al 1970 in an index function model of the labor force participation decision he tests the assertion that the withdrawal of older males is attributable to the rapid expansion of alternatives to work provided by the social security disability insurance ssdi program he reports an elasticity of nonparticipation with respect to the replacement rate of ssdi benefits of 631 and concludes that the recent decline in labor force participation can be largely explained by the increased generosity of social welfare transfers particularly social security disability payments p 130 the magnitude of parsons s estimate and its impact on the public debate over disability transfer policy require careful scrutiny of its basis in section i we describe parsons s econometric model and construction of variables in section ii we provide a critique in section iii we test the robustness of parsons s elasticity estimate by presenting alternative estimates based on corrections and extensions of his basic model section iv concludes

the banking industry under uncertain monetary policy abstract the optimal loan decisions of banks are shown to be dependent on the banks rational forecast of the future federal funds rate which in turn is related to the policy rule used by the fed consequently a change in the policy of the fed will alter the reduced form model of the banking industry this result brings into question the fed s ability to predict and control the money stock under the procedure adopted by the fed between october 1979 and september 1982

liquidity models in open economies theory and empirical evidence abstract this paper presents an overview of recent theoretical and empirical research on liquidity models in open economies this is a class of optimizing models where money has effects on real asset prices and economic activity without relying on the ad hoc assumption of price wage stickiness the non neutrality of money derives from a temporary segmentation between goods and asset markets after surveying the theoretical literature on liquidity models we present empirical evidence based on var econometric techniques for the seven major industrial countries such evidence is shown to be consistent with the main implications of the liquidity models

the determinants of full time versus part time reemployment following job displacement this article explores the determinants of full time and part time reemployment following job displacement in canada among those who lose full time jobs women are found to have both longer median joblessness durations and higher probabilities of part time reemployment than men with little of this difference explained by gender differences in worker characteristics unemployment insurance receipt is associated with longer median joblesness durations and among those who find a job within 1 year of displacement an increased probability of part time reemployment for both men and women

attrition in panel survey data and the estimation of multi state labor market models in the analysis of labor market transitions spells that are incomplete due to panel survey attrition are treated as spells that are subject to independent right censoring it is likely however that the unobserved characteristics affecting individual transitions on the labor market are related to those affecting the attitude toward survey participation in that case the transition rate estimates are inconsistent in this paper we analyze the relation between durations spent in labor market states and the duration of panel survey participation by explicitly modeling and estimating both stochastic processes we use multi state multi spell models which allow for stochastically related unobserved determinants

the retirement health nexus a new measure of an old puzzle traditional empirical models of retirement which use a self assessed health measure have often found that the wage rate has a surprisingly small effect on retirement using both a self reported health measure and one not based on self report subsequent mortality experience in a more general reduced form joint demand framework we test the importance of the interaction effects of health and retirement our findings are consistent with a joint determination of health and retirement the wage elasticity using either health measure is about equal to that found in a single equation model when a mortality measure is used but all three elasticities are five times greater than one found using self reported health in a traditional single equation model

do the sick retire early chronic illness asset accumulation and early retirement our objective is to determine how chronic illness affects asset accumulation and retirement previous studies have found that poor health leads to early retirement but those studies failed to look at the indirect impact of chronic illness on retirement using data from the health and retirement study we define an illness as chronic if the individual reports having asthma cancer heart disease stroke or diabetes for four or more years we first estimate how a chronic illness influences asset accumulation we then estimate how asset accumulation and current poor health influence retirement we observe that the vast majority of the chronically ill population do not report their general health to be poor nor do they report functional limitations in activities of daily living nevertheless our results indicate that chronic illness leads these people to accumulate fewer assets during their working years and consequently retire later neither researchers nor policy makers discussing the many critical issues

stochastic reserve losses bank credit expansion and bayesian information abstract in standard bank credit expansion models the optimal amount of new demand deposits to create is derived for a given level of uncertainty of reserves losses in this paper i analyze in detail the microeconomics of bank credit expansion in which the degree of uncertainty is a decision variable for the bank to determine first the role of information in adjusting the bank s expected profit is established and its impact on demand deposit creation is discussed i then derive the optimal demand for information and its comparative static behavior is examined finally i discuss the major implications of considering the level of uncertainty as a decision variable in the bank credit expansion literature

asymmetric information ownership and quality of care an empirical analysis of nursing homes theoretically when asymmetric information exists nonprofit organizations due to the attenuation of the property right provide better quality of service than do the for profits despite extensive theoretical examination of the behavior of nonprofits there has been very little empirical testing of the plausibility of these theories this article addresses the effect of ownership type on the quality of service in the nursing home industry an environment particularly conducive to identifying the existence of asymmetric information the study shows that the differences between for profit and nonprofit homes do become manifest when asymmetric information is present

work and the accommodation of chronic illness a re examination of the health labour supply relationship this study uses a data set of over 14000 households from the state of new jersey in the usa to estimate the impact of specific chronic health conditions on the probability of employment and finds wide variation of employment impacts across chronic conditions additionally the elasticity of the employment response is generally greater for women and lower skilled workers most notable is the role of comorbidity individuals with multiple conditions have markedly lower probability of employment and chronic illness explains virtually all of the large gap in employment probability for those who have multiple conditions this is shown using a summary index of disease status that correlates closely with employment rates across age groups in the aggregate chronic disease striking in adulthood explains about 10 of the total non employment in the new jersey among those aged 35 74 finally cross sectional evidence gives little support for health as a primary determinant of the aggregate age employment profile

work and health after retirement a competing risks model with semiparametric unobserved heterogeneity competing risks models recognize that there may be more than one exit from a given state but they make the strong assumption that there is no correlation between unobserved heterogeneity components in each state here a competing risks model that uses a semiparametric method of estimation and controls for the correlation between unobserved heterogeneity components in each state is compared with a traditional competing risks model of exit from retirement the unobservable heterogeneity components of the competing risks are insignificantly positively correlated and the effects of policy relevant variables are changed somewhat copyright 1989 by mit press

a bayesian semiparametric competing risk model with unobserved heterogeneity this paper generalizes existing econometric models for censored competing risks by introducing a new flexible specification based on a piecewise linear baseline hazard time varying regressors and unobserved individual heterogeneity distributed as an infinite mixture of generalized inverse gaussian gig densities nesting the gamma kernel as a special case a common correlated latent time effect induces dependence among risks our model is based on underlying latent exit decisions in continuous time while only a time interval containing the exit time is observed as is common in economic data we do not make the simplifying assumption of discretizing exit decisions our competing risk model setup allows for latent exit times of different risk types to be realized within the same time period in this setting we derive a tractable likelihood based on scaled gig laplace transforms and their higher order derivatives we apply our approach to analyzing the determinants of unemployment duration with exits to jobs in the same industry or a different industry among unemployment insurance recipients on nationally representative individual level survey data from the us department of labor our approach allows us to conduct a counterfactual policy experiment by changing the replacement rate we find that the impact of its change on the probability of exit from unemployment is inelastic copyright 2014 john wiley sons ltd

attrition in longitudinal panel data and the empirical analysis of dynamic labour market behaviour in the empirical analysis of unemployment durations and job durations it is generally assumed that the stochastic processes underlying labour market behaviour and the behaviour concerning participation in a panel survey are independent however there are reasons to believe that the probability of dropping out of the panel is related to the rate at which a different job is found if there is such a relation and if it is ignored then the estimator of the rate at which individuals become employed or change jobs will generally be inconsistent in this paper we analyse the relation between the duration spent in a particular labour market state and the duration of panel survey participation by explicitly modelling and estimating the joint distribution of both durations the emphasis will be on models allowing for stochastically related unobserved determinants of both types of duration we estimate models both for unemployment durations and for job durations copyright 1994 john wiley sons ltd

health a source of bias in labor supply models the inconsistency of the labor supply estimates using nonexperimental data has led to the costly income maintenance experiments that have taken place in various parts of the country in addition to being costly the analyses of experimental data also have their share of econometric problems 1 both experimental and nonexperimental studies face the problems of sample selection model specification and variable measurement in order to determine what effects the variables of interest have on labor supply all relevant factors must be included one of these control variables namely health is often included in a form which results in biased estimates in this paper we hope to show that the analysis of experimental and nonexperimental labor supply data must carefully address the health variable problem before meaningful estimates can be obtained in general three treatments emerge in the literature no control for health is used a binary variable which we shall call a disability variable is included in the model as an exogenous variable or the disability variable is used as a partitioning criterion to obtain a sample of able bodied men or women the disability variable is often the response to the question does your health prevent you from working altogether or does your health limit the kind or amount of work you could do this study will examine the bias created by each of these approaches and will suggest a method of measurement for health which does not produce biased estimates 2 health and labor supply

stochastic dependence in competing risks spells may terminate via multiple outcomes the term of a cabinet for example may end with or without an election wars persist until the loss or victory of the aggressor analysts typically assume stochastic independence among risks the duration modeling equivalent of independence of irrelevant alternatives however many political examples violate this assumption i review competing risks as a latent variables approach after discussing methods for modeling dependence that place restrictions on the nature of association i introduce a parametric generalized dependent risks model in which inter risk correla

occupational pensions and job mobility in britain estimation of a random effects competing risks model we analyse transitions between pensionable jobs non pensionable jobs and other labour market states using the 1988 9 uk retirement survey we focus on the positive association between length of job tenure and pensionable status allowing for the possibility that pension scheme members are less mobile than other workers because they have persistent unobserved characteristics that predispose them towards a high degree of security in both employment and retirement we use a competing risks model with state specific random effects the model is estimated by simulated maximum likelihood