Suchergebnisse

This paper investigates the problem of optimal intertemporal consumption in the CCAPM from a new perspective. We present three estimators for the stochastic discount factor, obtained without the need to make a parametric assumption about preferences, and use them to aggregate the available information about asset returns in the economy. Our dataset covers income, aggregate consumption and return on financial assets, in the last case obtained from the BM&FBovespa database, in the quarterly period from 1996:1 to 2016:4. We also consider the existence of a portion of households subject to credit restriction (rule of thumb consumers), who consume all their current income. The results suggest that the preferences that exhibit the formation of consumption habits combined with the stochastic discount factor originating from the hypotheses of Brownian motion are those that most closely correspond to the hypotheses related to the behavior of aggregate consumption. ; Since education is publicly provided in most countries, thepolitical system typically determines the level of educationexpenditures. Thus, it is essential to understand politicians'incentives to allocate resources to education. This paper providescausal evidence that voters reward politicians for educationalexpenditures by estimating the impact of a change in publiceducation spending on mayors' reelection chances. To do so, weuse an exogenous source of variation in education expendituresbrought about by a federal reform, FUNDEF, in Brazil. We showthat increases in education expenditures caused by FUNDEFled to a significant increase in the mayors' reelection chances.One percent increase in per capita education expenditures dueto FUNDEF led to a 1.45 percent increase in mayors' reelectionchances.

"When linear asset pricing models are estimated using excess return data, a normalization of the model must be selected. Several normalizations are equivalent when the model is correctly specified, but the identification conditions differ across normalizations. In practice, some or all of these identification conditions fail statistically when conventional consumption-based models are estimated, and inference is not robust across normalizations. Using asymptotic theory and Monte Carlo simulations, I present evidence that the lack of robustness in qualitative inference across normalizations can be attributed to model misspecification and lack of identification. I propose the use of tests for failure of the rank conditions. Using a calibrated model, I show that these tests are effective in detecting non-identified models"--National Bureau of Economic Research web site