bank loan portfolios and the monetary transmission mechanism abstract we study the portfolio behavior of bank loans following a monetary tightening and find that real estate and consumer loans sharply decrease while commercial and industrial c i loans increase these responses are compared with responses following non monetary shocks which also reduce output but keep interest rates roughly unchanged during such a non monetary downturn c i loans sharply decrease while real estate and consumer loans show no substantial response these responses together with the responses of relevant lending rates are hard to reconcile with a decline in the supply of c i bank loans during a monetary downturn as stressed by the bank lending channel several arguments are presented explaining why the supply of c i loans may actually increase after a monetary contraction

a positive theory of social security based on reputation we construct a general equilibrium model in which a pay as you go social security system can be adopted and sustained as a political and economic equilibrium we alalyze the welfare implictions of this system and compare general equilibrium welfare measure to the commonly used notion of actuarial fairness

the effects of asymmetric information between borrowers and lenders in an open economy abstract this paper assesses the effects of asymmetric information between borrowers and lenders in an open economy with access to international capital markets information asymmetry and agency costs arise because only borrowers can costlessly observe actual returns from production agency costs increase the cost of external finance and lower steady state investment capital and output they also affect the business cycle and the central bank s response to shocks the long run effects of agency costs are exacerbated in an open economy and their impact is influenced by the degree of access to international capital markets the results thus highlight the importance of incorporating credit market interactions into open economy macroeconomic models

spatial boundaries and choice set definition in a random utility model of recreation demand we are concerned with the definition of choice set used in random utility models of recreation demand in particular we are concerned with the spatial boundaries used to define choice sets in this paper using a model of day trip fishing in maine we examine the sensitivity of parameter and welfare estimates to changes in the spatial boundary we find that there exists some threshold distance beyond which adding more sites to the choice set has negligible effects on the estimation results

credit frictions and the cleansing effect of recessions recessions are conventionally considered as times when the least productive firms are driven out of the market how do credit frictions affect this cleansing effect of recessions we build and calibrate a model of firm dynamics with credit frictions and endogenous entry and exit to investigate this question we find that there is a cleansing effect of recessions in the presence of credit frictions despite their effect on the selection of exiting and entering firms this result holds true regardless of the nature of the recession average firm level productivity rises following a negative aggregate productivity shock as well as following a negative financial shock

a repeated nested logit model of atlantic salmon fishing participation and site choice for atlantic salmon fishing are modeled in the context of a repeated three level nested logit model consumer s surplus measures are derived for different levels of species availability in the penobscot river the most important salmon river in new england for comparison six other travel cost models are estimated these include restrictive cases of the nested logit model a partial demand model and two single site demand models comparisons across these models indicate the importance of modeling the participation decision including income effects and of adopting a nested logit structure rather than a single level logit structure

nonlinear income effects in random utility models random utility models rums are used in the literature to model consumer choices from among a discrete set of alternatives and they typically impose a constant marginal utility of income on individual preferences this assumption is driven partially by the difficulty of constructing welfare estimates in models with nonlinear income effects recently mcfadden 1995 developed an algorithm for computing these welfare impacts using a monte carlo markov chain simulator for generalized extreme value variates this paper investigates the empirical consequences of nonlinear rums in the case of sportfishing modal choice while refining and contrasting the available methods for welfare estimation

the distributional impacts of recreational fees a discrete choice model with incomplete data in this manuscript we explore the consequences to different income groups of various policies to reduce overfishing in the gulf marine recreational fishery to do so we estimate a discrete choice model of marine recreational fishing demand allowing for incomplete data and a non constant marginal utility of income by allowing the marginal utility of income to vary across three categorical income groups our model allows us to explore the distributional consequences of various fee schemes and other policy programs that would change catch in the fishery we find that flat fees have a strong proportional effect on the participation of shore fishermen where low income anglers predominate and a relatively small impact on the expensive charter fishing mode we also find that the welfare consequences of declining catch rates would fall disproportionately on low income anglers jel q51 q22

a simple method of incorporating income effects into logit and nested logit models theory and application substantive income effects are incorporated in a logit or nested logit model by assuming that utility is a piece wise linear spline function of residual income specific income data are not require

market concentration macroeconomic uncertainty and monetary policy abstract this paper studies the effect of market structure and macroeconomic uncertainty on the transmission of monetary policy we motivate our analysis with a simple model which predicts that 1 investment and production in more concentrated sectors are more affected by demand shocks and 2 high uncertainty makes investment and production more sensitive to demand shocks the empirical analysis estimates the effect of monetary shocks on sectoral output for different sectors in the us using a structural vector autoregressive var approach the results are generally consistent with the theoretical predictions

credit market frictions and their direct effects on u s manufacturing fluctuations abstract in this paper we explore how informational frictions in credit markets directly affect u s manufacturing fluctuations within the context of a dynamic industry model we propose a strategy for identifying intermediation costs related to informational asymmetries between lenders and borrowers the analysis suggests that these costs have been steadily falling over the post war period we also present evidence that changes in the cost of intermediation should directly affect output as opposed to just propagating the effects of other shocks in particular we find that shocks to the cost of intermediation account for a larger share of manufacturing output fluctuations at long horizons than at short horizons

the travel cost model for lake recreation a comparison of two methods for incorporating site quality and substitution effects this paper empirically illustrates how different assumptions regarding recreationists decision making behavior affect the predicted changes in recreational activity given a water quality improvement a multinomial logit model which reallocates visits away from other sites to the improved site predicts a smaller outward shift of the recreationist s demand curve than the more traditional travel cost model which does not assume any reallocation of visits among sites

a comparison of welfare estimates from four models for linking seasonal recreational trips to multinomial logit models of site choice we compare four methods of linking a site choice random utility model to a seasonal trip model the four approaches are those proposed by morey et al 1993 am j agric econom 75 578 592 hausman et al 1995 j public econom 56 1 30 parsons and kealy 1995 j environ econom management29 357 367 and feather et al 1995 j environ econom management29 214 227 we estimate the alternative models using a common data set and calculate a change in welfare for two policy scenarios across the models we find that there is little practical difference between the approaches of morey et al and hausman et al they are nearly the same mathematically and the welfare estimates in our empirical example are quite close the approaches of parsons and kealy and feather et al generated welfare estimates that were substantially different from the previous two approaches as well as from each other they also generated results that reveal the inconsistencies between their site choice and season trip models

a discrete choice model of recreational participation site choice and activity valuation when complete trip data are not available abstract a discrete choice model of the demand for site specific recreational activities is developed and estimated it simultaneously predicts both how many trips the individual will take and which site will be chosen on each trip the model is formulated to estimate demand when the data set reports the total number of trips in a given time period but the actual destinations for only a subset of the total the model also includes a correction for sample selectivity bias the application is marine recreational fishing the consumer s surplus associated with any change in supply conditions is derived and used to assess the impact of changes in species availability

intergenerational risk shifting through social security and bailout politics abstract this paper adopts a stochastic overlapping generations framework to analyze the allocation of aggregate financial risks under different social security systems and a majority voting rule we study whether there will be switches between pay as you go payg and fully funded ff systems in such an economy we show that in case of a negative aggregate shock low income young individuals will form a political coalition with the elderly to implement a payg system payg scheme is shown to persist even after a good aggregate shock if the system is redistributive enough

uncertainty financial frictions and nominal rigidities a quantitative investigation are uncertainty shocks a major source of business cycle fluctuations this paper studies the effect of a mean preserving shock to the variance of aggregate total factor productivity macro uncertainty and to the dispersion of entrepreneurs idiosyncratic productivity micro uncertainty in a financial accelerator dynamic stochastic general equilibrium model with sticky prices it explores the different mechanisms through which uncertainty shocks are propagated and amplified the time series properties of macro and micro uncertainty are estimated using u s aggregate and firm level data respectively while surprise increases in micro uncertainty have a larger impact on total output than macro uncertainty these can only account for a small but nontrivial share of output volatility

credit market imperfections and the heterogeneous response of firms to monetary shocks this paper assesses the bank lending channel interpretation of evidence on the heterogeneous response of firms to monetary shocks to do so the author develops a quantitative general equilibrium model of the bank lending channel with imperfect credit markets the calibrated model s steady state supports a common identification strategy adopted in the literature small firms are credit constrained and large firms are not for some parameter values the model reproduces the cyclical observations viewed as supporting the lending view of the monetary transmission mechanism and for others it does not the parameter values consistent with the lending view appear to be implausible

bank loan portfolios and the canadian monetary transmission mechanism following a monetary tightening bank loans to consumers decrease this is true for both mortgage and non mortgage loans and it is true for a tightening by the bank of canada that is and is not a response to a tightening by the federal reserve system in contrast business loans increase following a monetary tightening the per verse response of business loans cannot be explained by an increase in the demand for funds due to a reduction in real activity these results are consistent with a change in bank portfolio behaviour in favour of business loans in response to a monetary tightening portefeuilles de prets bancaires et le mecanisme de transmission monetaire canadien a la suite d une restriction monetaire les prets bancaires aux consommateurs chutent c est vrai tant pour les prets hypothecaires que non hypothecaires et c est vrai pour une restric

entrepreneurial activity risk and the business cycle abstract this paper analyzes a model in which the risk associated with entrepreneurial activity implies that the amount of such activity is procyclical and results in amplification and intertemporal propagation of productivity shocks in the model risk averse agents choose between a riskless project and a risky project with higher expected output the entrepreneurial activity agents who become entrepreneurs need to bear part of the project specific risk for incentive reasons more agents become entrepreneurs when productivity is high because agents are more willing to bear risk and need to bear less risk for incentive reasons furthermore cross sectional heterogeneity can be countercyclical

firm specific learning and the investment behavior of large and small firms we examine a model of size distribution and growth of firms where firms learn about idiosyncratic productivity parameters through their production experience aggregate shocks by adding noise to learning at the firm level can produce different responses across firms in particular young firms which are smaller on average than older firms and more uncertain about their productivity can overreact to aggregate shocks such differences across firm sizes and ages which arise here in a model with perfect financial markets are often attributed to financial frictions that hit small and large firms differently

the effects of bank lending in an open economy this article assesses the effects of bank lending in a small open economy with a floating exchange rate and sticky prices a theoretical model with costly financial intermediation is developed for new zealand the results show that the long run and business cycle effects of bank lending are small whether firms borrow from financial intermediaries or public debt markets is unlikely to affect economic activity in other words the financial structure or degree to which a country s financial system is intermediary based or market based does not matter

recreation demand models with taste differences over people we estimate random parameter logit models of anglers choice of fishing site the models generalize logit by allowing coefficients to vary randomly over anglers rather than being fixed the models do not exhibit the restrictive independence from irrelevant alternatives property of logit and can represent any substitution pattern estimation explicitly accounts for the fact that the variation in coefficients over anglers induces correlation in unobserved utility over trips by the same angler willingness to pay for improved fish stock and the value to anglers of specific sites are calculated from the models and compared with the estimates obtained from a standard logit model

inflation risk premia and the expectations hypothesis abstract we study the properties of the nominal and real risk premia of the term structure of interest rates we develop and solve the bond pricing implications of a structural monetary version of a real business cycle model with taxes and endogenous monetary policy we show the relation of this model with the class of essentially affine models that incorporate an endogenous state dependent market price of risk we characterize and estimate the inflation risk premium and find that over the last 40 years the ten year inflation risk premium has been has averaged 70 basis points it is time varying ranging from 20 to 140 basis points over the business cycle and its term structure is sharply upward sloping the inflation risk premium explains 23 42 of the time variation in the five ten year forward risk premium and it plays an important role in help explain deviations from the expectations hypothesis of interest rates

inflation investment and economic performance the role of internal financing abstract this paper studies a link between inflation and economic activity that is built on two hypotheses first firms mitigate informational frictions in financial markets by accumulating retained earnings over a period of time second firms allocate earnings among three competing uses dividends current investment and the accumulation of internal funds and inflation directly distorts this allocation decision as well as the real value of accumulated internal funds the model predicts that the level of inflation both unanticipated and expected inflation as well as the variability of inflation distort firms internal financing decisions increases frictions in financial markets reduces the level and efficiency of investment and reduces aggregate output the marginal effects of inflation are increasing in the inflation rate

modeling overnight recreation trip choice application of a repeated nested multinomial logit model in this paper we apply the repeated nested multinomial logit model a version of a random utility model rum to estimate the choice of an overnight versus single day recreation trip along with the other usual choice of which of the sites to visit and less typically the choice of whether to participate in our application to fish at all we also find statistically significant income effects in the empirical results the application is to atlantic salmon fishing and the data set is for maine resident angler s fishing trips to rivers in maine and canada

the dynamic effects of firm level borrowing constraints in this paper i develop a detailed dynamic model of firm behavior in order to see whether financial constraints and endogenous exit are important propagation mechanisms to do this i construct an economy where firms face financial constraints fixed costs and persistent idiosyncratic shocks using numerical methods i analyzehowa large collection of these firmsresponds to aggregate productivity shocks a common result is that financial constraints tend to dampen the economy s initial response to aggregate productivity shocks but equity accumulation and exit dynamics amplify the longer term response the relative sizes of these two effects however are sensitive to firms environments

towards a credit network based early warning indicator for crises this paper presents an agent based model which underlines the importance of credit network and leverage dynamics in determining the resilience of the system defining an early warning indicator for crises the model reproduces macroeconomic dynamics emerging from the interactions of heterogeneous banks and firms in an endogenous credit network banks and firms are linked through multiple credit relations which derive from individual target leverage choices agents choose the more convenient leverage level according to a basic reinforcement learning algorithm simulations are calibrated on balance sheet data of banks and firms quoted in the japanese stock exchange markets from 1980 to 2012

financial fragility patterns of firms entry and exit and aggregate dynamics abstract we model the entry exit process of industrial dynamics within a theoretical framework in which the financial conditions of firms affect capital accumulation the patterns of entry and exit affect the dynamics of the distribution of firms which are differentiated by the equity ratio i e the ratio of net worth to the capital stock we perform numerical simulations to study the interactions among changes in financial fragility industrial dynamics and the macroeconomic performance