Departamento de Economíahttp://hdl.handle.net/10016/92016-09-26T22:29:47Z2016-09-26T22:29:47ZLong-term optimal portfolio allocation under dynamic horizon-specific risk aversionGonzalo, JesúsOlmo, Joséhttp://hdl.handle.net/10016/235992016-09-20T09:28:40Z2016-09-01T00:00:00ZLong-term optimal portfolio allocation under dynamic horizon-specific risk aversion
Gonzalo, Jesús; Olmo, José
Universidad Carlos III de Madrid. Departamento de Economía
This paper studies the long-term asset allocation problem of an individual with risk aversion
coefficient that i) varies with economic conditions, and ii) exhibits different risk attitudes
towards the short and the long term. To do this, we propose a parametric linear portfolio
policy that accommodates an arbitrarily large number of assets in the portfolio and a
piecewise linear risk aversion coefficient. These specifications of the optimal portfolio policy
and individual's risk aversion allow us to apply GMM methods for parameter estimation and
testing. Our empirical results provide statistical evidence of the existence of a short-term and
a long-term regime in the individual's risk aversion. Long-term risk aversion is always higher
than short-term risk aversion, and it is more statistically significant as the investment horizon
increases. The analysis of the optimal portfolio weights also suggests that the allocation to
stocks and bonds is strongly negatively correlated, with the magnitude of the portfolio weights
and risk aversion coefficients increasing as the investment horizon expands.
2016-09-01T00:00:00ZCompetitive Search Equilibrium with Multidimensional Heterogeneity and Two-Sided Ex-ante InvestmentsJerez, Belénhttp://hdl.handle.net/10016/235662016-09-14T15:42:31Z2016-09-01T00:00:00ZCompetitive Search Equilibrium with Multidimensional Heterogeneity and Two-Sided Ex-ante Investments
Jerez, Belén
Universidad Carlos III de Madrid. Departamento de Economía
We analyze a competitive search environment where heterogeneous workers and firms make costly investments (e.g. in education and physical capital, respectively) before they enter the labor market. A key novelty with respect to existing work is that we allow for multidimensional heterogeneity on both sides of the market. Our environment features transferable utility and symmetric information. As in classical hedonic models, wages depend both on the job's and on the worker's match-relevant characteristics. Yet the presence of search frictions implies that (unlike in those models) markets do not clear. The hedonic wage function and probabilities of finding and filling different jobs are determined endogenously in a competitive search equilibrium. We show that constrained efficient allocations can be determined as optimal solutions to a linear programming problem, whereas the wage function supporting these allocations and associated expected payoffs for workers and firms correspond to the solutions of the `dual' of that linear program. We use this characterization to show that a competitive search equilibrium exist and is constrained efficient under very general conditions. Jerez (2014) makes a similar point in the context of a model where all the match-relevant characteristics of the traders are exogenous. Here we extend the analysis to allow for two-sided ex-ante investments which are potentially multidimensional. The fact that linear programming techniques have been used for the structural estimation of frictionless matching models suggests that our framework is potentially useful for empirical studies of labor markets and other hedonic markets (like that for housing) where search frictions are prevalent
2016-09-01T00:00:00ZThe gender productivity gap : some evidence for a set of highly productive academic economistsCarrasco, RaquelRuiz-Castillo, Javierhttp://hdl.handle.net/10016/235252016-09-07T11:50:43Z2016-09-01T00:00:00ZThe gender productivity gap : some evidence for a set of highly productive academic economists
Carrasco, Raquel; Ruiz-Castillo, Javier
Universidad Carlos III de Madrid. Departamento de Economía
This paper compares the average productivity of males and females in a set of 2,530 highly productive economists that work in 2007 in a selection of the top 81 Economics departments worldwide. The main findings are the following. Firstly, after controlling for age and cohort effects, as well as for the effect of four career variables and a variable on geographic mobility, the productivity of females is, on average, 54% lower than the productivity of males. Secondly, the gender productivity gap decreases as we move up from the departments outside the U.S. towards the top ten U.S. departments. Thirdly, when we restrict our attention to the 833 economists with above average productivity, the proportion of females decreases from 14.0% to 5.4% and, after controlling for demographic and career variables, the gender productivity gap decreases to 15.8%.
2016-09-01T00:00:00ZScore-driven dynamic patent count panel data modelsBlazsek, SzabolcsEscribano, Álvarohttp://hdl.handle.net/10016/234582016-08-02T08:20:38Z2016-07-01T00:00:00ZScore-driven dynamic patent count panel data models
Blazsek, Szabolcs; Escribano, Álvaro
Universidad Carlos III de Madrid. Departamento de Economía
This paper suggests new Dynamic Conditional Score (DCS) count panel data models. We compare the statistical performance of static model, finite distributed lag model, exponential feedback model and different DCS count panel data models. For DCS we consider random walk and quasi-autoregressive formulations of dynamics. We use panel data for a large cross section of United States firms for period 1979 to 2000. We estimate models by using the Poisson quasi-maximum likelihood estimator with fixed effects. The estimation results and diagnostics tests suggest that the statistical performance of DCS-QAR is superior to that of alternative models.
2016-07-01T00:00:00Z