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We examine the econometric performance of regime switching models for interest rate data from the US, Germany and the UK. Regime switching models forecast better out-of-sample than single regime models, including an affine multi-factor model, but do not always match moments very well. Regime switching models incorporating international short rate and term(More)
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the definition of the riskless curve. We also find that the nondefault(More)
In this article, I explicitly solve dynamic portfolio choice problems, up to the solution of an ordinary differential equation (ODE), when the asset returns are quadratic and the agent has a constant relative risk aversion (CRRA) coefficient. My solution includes as special cases many existing explicit solutions of dynamic portfolio choice problems. I also(More)
The constitutive androstane receptor (CAR, NR1I3) is a central regulator of xenobiotic metabolism. CAR activation induces hepatic expression of detoxification enzymes and transporters and increases liver size. Here we show that CAR-mediated hepatomegaly is a transient, adaptive response to acute xenobiotic stress. In contrast, chronic CAR activation results(More)
We propose that stock-market participation is influenced by social interaction. In our model, any given “social” investor finds the market more attractive when more of his peers participate. We test this theory using data from the Health and Retirement Study, and find that social households—those who interact with their neighbors, or attend church—are(More)
We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate(More)
Liver mass depends on one or more unidentified humoral signals that drive regeneration when liver functional capacity is diminished. Bile acids are important liver products, and their levels are tightly regulated. Here, we identify a role for nuclear receptor-dependent bile acid signaling in normal liver regeneration. Elevated bile acid levels accelerate(More)
We analyze a general equilibrium exchange economy with a continuum of agents who have “catching up with the Joneses” preferences and differ only with respect to the curvature of their utility functions. While individual risk aversion does not change over time, dynamic redistribution of wealth among the agents leads to countercyclical time variation in the(More)
We develop a simple framework for analyzing a finite-horizon investor’s asset allocation problem under inflation when only nominal assets are available. The investor’s optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor’s horizon and risk aversion and on the maturities of the bonds included(More)