multivariate count data regression models with individual panel data from an on site sample the purpose of this paper is to consider the problem of controlling for on site sampling in the context of a system or panel of demand equations specifically in the context of recreation demand we are concerned with the situation in which survey respondents are asked to provide information not only about the actual trips to a specific site observed behavior but also their anticipated trips either under current conditions or given price and quality changes a multivariate poisson log normal mpln model and a seemingly unrelated negative binomial sunb model are used to jointly model the observed and contingent behavior data and to correct for on site sampling

learning and wage dynamics we develop a dynamic model of learning about worker ability in a competitive labor market the model produces three testable implications regarding wage dynamics 1 although the role of schooling in the labor market s inference process declines as performance observations accumulate the estimated effect of schooling on the level of wages is independent of labor market experience 2 timeinvariant variables correlated with ability but unobserved by employers such as certain test scores are increasingly correlated with wages as experience increases and 3 wage residuals are a martingale we present evidence from the nlsy that is broadly consistent with the model s predictions

two sided uncertainty and up or out contracts a bilateral moral hazard problem provides a rationale for up or out employment contracts the employer sets a wage higher than opportunity cost to induce the worker to invest in firm specific capital if the individual does not make the grade it is in the firm s interest ex post to fire him had the initial arrangement not included provisions for firing individuals the firm would underreport the value of the employee wrecking the incentive scheme the basic model permits both firm and worker to be risk neutral therefore it admits a straightforward multiperiod extension which we also investigate

slow boom sudden crash abstract many asset markets exhibit slow booms and sudden crashes this pattern is explained by an endogenous flow of information in the model agents undertake more economic activity in good times than in bad economic activity generates public information about the state of the economy if the economic state changes when times are good and information is abundant asset prices adjust quickly and a sudden crash occurs when times are bad scarce information and high uncertainty slow agents reactions as the economy improves a gradual boom ensues data from u s and emerging credit markets support the theory

a latent segmentation approach to a kuhn tucker model an application to recreation demand abstract in this paper we extend the latent segmentation approach to the kuhn tucker kt model the proposed approach models heterogeneity in preferences for recreational behavior using a utility theoretical framework to simultaneously model participation and site selection decisions estimation of the latent segmentation kt model with standard maximum likelihood techniques is numerically difficult because of the large number of parameters in the segment membership functions and the utility function for each latent segment to address this problem we propose the expectation maximization em algorithm to estimate the model in the empirical section we implement the em latent segmentation kt approach to analyze a southern california beach recreation data set our empirical analysis suggests that three groups exist in the sample using the model to analyze two hypothetical beach management policy scenarios illustrates different welfare impacts across groups

multiperiod wage contracts and productivity profiles when creditors do not honor human capital as collateral firms can mediate financially by offering workers long term wage contracts the optimal contract specifies a wage consisting of a spot general skill component plus a component equal to the expected time averaged value of the worker s specific skills with a competitor variations in the smoothed specific component are due only to changes in expectations about the likelihood of quitting a competing firm the theory also explains interindustry disparities in wage paths and statistical discrimination by firms

toward an economic model of the japanese firm i owe a great deal to professor moses abramovitz who suggested that i write this article i appreciate his constant encouragement and guidance which aided me throughout its preparation i am also indebted to three anonymous referees of the journal and to professors ryutaro komiya and michael riordan for their critical comments and helpful suggestions needless to say i am solely responsible for the views expressed in this paper

worth waiting for delayed compensation training and turnover in the united states and japan this article utilizes a rich data set on workers and their employers in the united states and japan to test several predictions of human capital theory the data set incorporates both prospective and retrospective measures of turnover includes multiple measures of training and provides a basis for calculating plant specific returns to tenure contrary to human capital theory there is no evidence that establishments with high levels of training have either high returns to tenure or low levels of turnover surprisingly establishments with high returns to tenure do not have low levels of turnover

promotion turnover and discretionary human capital acquisition this article explores human capital acquisition decisions when job placement helps determine competition for a worker with asymmetric information workers may invest in firm specific capital without long term contracts specific investment increases promotion chances and hence wage competition shifting competition back to a time when firms are symmetrically uninformed if general human capital is the efficient output maximizing investment then an equivalent firm specific investment maximizes expected career wages this is a general result for sellers in second price auctions sellers of labor invest to maximize the expected second highest bidder valuation wage not the winner s expected valuation

up or out contracts a signaling perspective a firm will typically gather information concerning its own workers that is not available to other potential employers while other firms will attempt to reduce this information asymmetry by observing the actions of the initial employer i argue that this process can be important in environments characterized by up or out contracts in that the retention decision can serve as a signal of productivity the article investigates this argument in an environment where up or out contracts are employed because they provide workers with an incentive to accumulate general human capital and where learning takes place in a diffuse fashion

a framework for understanding differences in labor turnover and human capital investment abstract we analyze the causes and the welfare consequences of international differences in labor turnover and human capital investment the framework incorporates different views as special cases conditions are identified under which multiple equilibria or differences in deep economic parameters explain the observed differences in labor practices we show that when there is an informational problem regarding job changing workers quality general human capital like firm specific human capital can also affect labor turnover and that better job matching is obtained at the expense of lower human capital investment given multiple equilibria a high turnover equilibrium is found superior in the pareto sense to a low turnover equilibrium if matching uncertainty is large the reverse is true when matching uncertainty is small

risk preferences and the macroeconomic announcement premium this paper develops a revealed preference theory for the equity premium around macroeconomic announcements stock returns realized around pre scheduled macroeconomic announcements such as the employment report and the fomc statements account for 55 of the market equity premium we provide a characterization theorem for the set of intertemporal preferences that generates a nonnegative announcement premium our theory establishes that the announcement premium identifies a significant deviation from time separable expected utility and provides asset market based evidence for a large class of non expected utility models we also provide conditions under which asset prices may rise prior to some macroeconomic announcements and exhibit a pre announcement drift

multiskilling technical change and the japanese firm worker cooperation with technical change accounts for much of the success of large japanese firms the authors argue t hat this cooperative attitude is due in large part to multiskilling by training workers in more than one job a firm assures its workers th at they will not be made worse off by labor saving innovations in a simple model the authors show that multiskilling leads to an endoge nous distinction between permanent and temporary workers wages that are attached to the worker rather than the job and comparative advantage in process style innovations there is even a role for the company song copyright 1993 by royal economic society

optimal inattention to the stock market inattentive agents update their information sporadically and thus respond belatedly to news we generate optimally inattentive behavior by assuming that to observe the value of his investment portfolio the consumer must pay a cost that is proportional to the portfolio s contempo raneous value it is optimal for the consumer to check his investment portfolio at equally spaced points in time consuming from a riskless trans actions account in the interim the riskless transactions account that finances consump tion guarantees that funds are never unwittingly exhausted we show that the optimal interval of time between consecutive observations of the value of the portfolio is the unique positive solution to a nonlinear equation quantitatively even a small observation cost one basis point of wealth implies a substantial eight month decision interval under conventional parameter values

valuing the futures market clearinghouse s default exposure during the 1987 crash futures market clearinghouses are intermediaries that make large volume trading between anonymous parties feasible during the market crash in october 1987 rumors spread that a clearinghouse might fail this paper presents estimates of three measures of the default exposure the authors estimate the traditional summary statistic for risk exposure the tail probabilities they also estimate two economic measures the expected value of the payoffs in the tails and expected value of the payoffs in the tails conditional on landing in the tail the authors estimates indicate the market thought another crash was unlikely but that if one occurred it would be large

estimating social welfare using count data models an application to long run recreation demand under conditions of endogenous stratification and truncation this paper develops a negative binomial model of recreation demand that corrects for both truncation and endogenous stratification this approach recovers the demand associated with the general population not just the users of the site this model demonstrates the importance of the joint nature of the population s latent demand for trips and the consumer surplus associated with those trips the empirical results provide an estimate of the willingness to pay by washington state residents for hiking opportunities in the cascade mountain range these results are used to forecast total trips and willingness to pay over the next forty years copyright 1995 by mit press

the effect of job heterogeneity on reservation wages this paper develops a model of job search in which jobs differ in the amount of inspection and experience uncertainty under these circumstances reservation wages may not remain constant or decrease over an unemployment spell even if job offer rates are constant over an unemployment spell negative duration dependence of the reemployment hazard can occur when individuals search amongst a variety of jobs since this duration dependence is a result of time varying unobserved heterogeneity conventional methods for controlling for unobserved heterogeneity in reduced form hazard models are inappropriate copyright 1994 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

learning asymmetries in real business cycles when a boom ends the downturn is generally sharp and short when growth resumes the boom is more gradual our explanation rests on learning about productivity when agents believe productivity is high they work invest and produce more more production generates higher precision information when the boom ends precise estimates of the slowdown prompt decisive reactions investment and labor fall sharply when growth resumes low production yields noisy estimates of recovery noise impedes learning slows recovery and makes booms more gradual than downturns a calibrated model generates growth rate asymmetry similar to macroeconomic aggregates fluctuations in agents forecast precision match observed countercyclical errors of forecasters

transactions costs and portfolio choice in a discrete continuous time setting abstract this paper makes the following observation concerning a new formulation of the consumption and portfolio choice model of merton 1971 with transaction costs suppose an investor observes his or her current wealth only when making a transaction that transactions are costly and that decisions to transact can be made at any time based on all current information if at each transaction the agent is charged a fixed fraction of current portfolio value an optimal policy exists and the optimal interval of time between transactions is fixed independent of time and current wealth

information quality and long run risk asset pricing implications i study the asset pricing implications of the quality of public information about persistent productivity shocks in a general equilibrium model with kreps porteus preferences low information quality is associated with a high equity premium a low volatility of consumption growth and a low volatility of the risk free interest rate the relationship between information quality and the equity premium differs from that in endowment economies my calibration improves substantially upon the bansal yaron model in terms of the moments of the wealth consumption ratio and the return on aggregate wealth in this paper i introduce learning into a production based long run risk model learning improves the asset pricing implications of the model along three dimensions it increases the equilibrium equity premium reduces the volatility of consumption growth and reduces the volatility of the risk free interest rate i show that because of the production economy setting the relationship between information quality and the equity premium differs from that found in pure exchange economies see e g veronesi 2000 quantitatively my model improves substantially upon the bansal and yaron 2004 model in terms of its predictions about the volatility of the return on aggregate wealth and the wealth consumption ratio compared to bansal and yaron 2004 i use a lower relative risk aversion rra parameter two and a higher intertemporal elasticity of substitution ies parameter two my model generates a lower risk premium on the market portfolio 5 06 per year but does roughly as well as the bansal and yaron 2004 model according to other measures commonly used to assess the performance of consumption based asset pricing models such as the key moments of the risk free interest rate and the consumption growth rate more specifically i consider a general equilibrium model with a linear production technology and kreps porteus preferences kreps and porteus 1978 hengjie ai is at the fuqua school of business duke university this paper is based on chap

uncertainty in labor productivity and specific human capital investment uncertainty in labor productivity ulp is affected by many factors such as worker employer matching technology and macroeconomic conditions not surprisingly ulp varies across firms industries and economies how do variations in ulp affect specific human capital shc investment wage and labor turnover a fixed wage model is used to show that the answer depends critically on the initial level of ulp the model is also used to show that wage and shc are always positively correlated but shc investment and labor turnover do not have a monotonic relationship these results have implications for empirical studies and public policies affecting ulp

the crash of ʼ87 was it expected the evidence from options markets transactions prices of s p 500 futures options over 1985 1987 are examined for evidence of expectations prior to october 1987 of an impending stock market crash first it is shown that out of the money puts became unusually expensive during the year preceding the crash second a model is derived for pricing american options on jump diffusion processes with systematic jump risk the jump diffusion parameters implicit in options prices indicate that a crash was expected and that implicit distributions were negatively skewed during october 1986 to august 1987 both approaches indicate no strong crash fears during the 2 months immediately preceding the crash attempts to explain what caused the stock market crashes around the world in october 1987 have suffered from the paucity of major economic developments occurring around that time that could have triggered the crashes shifting expectations regarding monetary policy foreign investors fears of a dollar decline increasing riskiness of assets none of these appeared major enough if present at all to explain the magnitude of the crashes and although portfolio insurance strategies could conceivably magnify the effects of a jump in fundamentals the initiating jump in fundamentals appears to be lacking

learning and asset price jumps w e develop a general equilibrium model in which income and dividends are smooth but asset prices contain large moves jumps these large price jumps are triggered by optimal decisions of investors to learn the unobserved state we show that learning choice is determined by preference parameters and the conditional volatility of income process an important model prediction is that income volatility predicts future jump periods while income growth does not consistent with the model large moves in returns in the data are predicted by consumption volatility but not by consumption growth the model quantitatively captures these novel features of the data jel g00 g12 g14 d83 a prominent feature of financial markets is infrequent but large price movements jumps 1 in this article we develop a model in which income and dividends have smooth gaussian dynamics however asset prices are subject to large infrequent jumps in our model large moves in asset prices obtain from the actions of the representative agent to acquire more information about the unobserved state of the economy for a cost we show that the optimal decision to incur a cost and learn the true economic state is directly related to the level of uncertainty in the economy this implies that aggregate economic volatility as well as market volatility should predict jumps in returns we show that indeed in the data consistent with the model return jumps are predicted by consumption volatility market volatility further the implied asset price implications from our model are consistent with the key findings from parametric models about frequency and predictability of jumps as well as nonparametric jump detection analysis of barndorff nielsen and shephard 2006 based on

employee buyout in a bargaining game with asymmetric information why are some firms purchased by their employees this paper explores this question theoretically suggesting that employees may attempt to overcome their informational handicap regarding firm profitability by making simultaneous offers on wages and a purchase price for the firm owners of relatively unprofitable firms will tend to sell out for low prices instead of paying high wages whereas owners of profitable firms will prefer to pay high wages over receiving low firm prices the buyout serves as a screening mechanism the probability of an employee buyout decreases with the employees outside options and increases with owners outside options copyright 1996 by american economic association

asset prices and real exchange rates with deep habits i introduce an external habit for each consumption good known as deep habits into an otherwise standard international equilibrium model with multiple consumption goods and multiple countries i show that deep habits coupled with consumption home bias account for a wide range of asset pricing and exchange rate moments calibrated to a set of ten countries the model reproduces the cross sectional evidence on currency risk premiums when sorting on interest rates interest rate volatility innovations to global exchange rate volatility and value hence the model provides an equilibrium interpretation of these empirical regularities

from high school to work market and institutional mechanisms in japan market models posit that institutional linkages interfere with efficient labor markets many japanese high schools have agreements with employers to hire their students and this article examines the ties between japanese schools and employers the reasons they make these ties and the criteria they use to select students interviews with teachers and recruiters indicate that the japanese system shifts the competition for jobs from the labor market into schools and among schools and employers also compete for dependable sources of labor multivariate analyses of surveys of 1 408 high schools and 964 seniors indicate that desirable jobs are allocated more on the basis of academic than nonacademic criteria contrary to the predictions of some models moreover contrary to a hypothesis that institutional linkages reduce achievement effects achievement has greater effects on jobs with linked employers than on jobs with nonlinked employers institutional linkages differ from both economic market models and f

a random parameter model with onsite sampling for recreation site choice an application to southern california shoreline sportfishing estimation of consistent parameter estimates for recreational demand models faces challenges arising from the choice based nature of the data collected primarily for resource management purposes as an alternative to randomized respondent based sampling choice based onsite sampling can provide information on actual choices made by a subset of the population where participation has a low incidence while the literature has shown that under specific restrictions the estimation of choice models from onsite sampling data yields unbiased fixed parameter estimates for the conditional logit model this result does not carry over to estimation of the random parameter logit model we propose an estimator for the unbiased estimation of the random parameter model using choice based data our estimator uses weights based on information about the level of sampling effort an empirical application of the standard and weighted discrete choice rum models to onsite sample data on recreational fishing illustrates the advantages of the proposed estimator the estimation results indicate the compensating variation associated with an decrease or increase of 50 in expected catch rates for a recreational shoreline sportfishing trip to a man made structure in southern california is 2 80 or 3 54 per trip respectively

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

general equilibrium pricing of options on the market portfolio with discontinuous returns when the price process for a long lived asset is of a mixed jump diffusion type pricing of options on that asset by arbitrage is not possible if trading is allowed only in the underlaying asset and a risk less bond using a general equilibrium framework we derive and analyze option prices when the underlying asset is the market portfolio with discontinuous returns the premium for the risk of jumps and the diffusion risks forms a significant part of the prices of the options in this economy an attempted replication of call and put options by the black scholes type of trading strategies may require substantial infusion of funds when jumps occur we study the cost and risk implications of such dynamic hedging plans article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

implications of rational inattention abstract a constraint that actions can depend on observations only through a communication channel with finite shannon capacity is shown to be able to play a role very similar to that of a signal extraction problem or an adjustment cost in standard control problems the resulting theory looks enough like familiar dynamic rational expectations theories to suggest that it might be useful and practical while the implications for policy are different enough to be interesting

job matching and occupational choice this paper presents a model of job matching the generalizes the existing literature by allowing for different jobs types or occupations such differences affect the value of job specific experience inducing a career profile where certain types are sampled before others more specifically the analysis shows that it is optimal for the young and inexperienced to gravitate toward jobs exhibiting a certain kind of risk then after deriving the equilibrium job turnover rate for an economy in which people do not switch occupations panel data are used to estimate its underlying parameters the hypothesis that people do not switch occupations is rejected against the alternative that they do thus providing empirical support for the theoretical extension undertaken here