CEMFI

About: CEMFI is a based out in . It is known for research contribution in the topics: Unemployment & Estimator. The organization has 71 authors who have published 499 publications receiving 46553 citations. The organization is also known as: Center for Monetary and Financial Studies.

Capital Requirements, Market Power and Risk-Taking in Banking

Abstract: This Paper presents a dynamic model of imperfect competition in banking where banks can invest in a prudent or a gambling asset. We show that if intermediation margins are small, the banks' franchise values will be small, and in the absence of regulation only a gambling equilibrium will exist. In this case, either flat-rate capital requirements or binding deposit rate ceilings can ensure the existence of a prudent equilibrium, although both have a negative impact on deposit rates. Such impact does not obtain with either risk-based capital requirements or non-binding deposit rate ceilings, but only the former are always effective in controlling risk-shifting incentives.

Quadratic ARCH Models

Abstract: We introduce a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models, but avoids some of their criticisms. In univariate applications to daily U.S. and monthly U.K. stock market returns, QARCH adequately represents volatility and risk premia. QARCH is easy to incorporate in multivariate models to capture dynamic asymmetries that GARCH rules out. Such asymmetries are found in an empirical application of a conditional factor model to 26 U.K. sectorial stock returns.

A note on the changing relationship between fertility and female employment rates in developed countries

Abstract: In this paper we look at a panel of OECD aggregate fertility and labor market data between 1970 and 1995 and we report some striking recent developments Total Fertility Rates (TFR) were falling and Female Participation Rates (FPR) were increasing, conforming to a well known long-run trend Along the cross-sectional dimension, the correlation between TFR and FPR was negative and significant during the 1970's and up to the early 1980's This seemed consistent with secular comovements However, by the late 1980's the correlation had become positive and equally significant We discuss our findings within the framework of standard neoclassical models of fertility and labor supply adapted to macro data, as in Butz and Ward (1979)

Sequential estimation of dynamic discrete games

Abstract: This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria, and the computational burden in the solution of the game. We propose a class of pseudo maximum likelihood (PML) estimators that deals with these problems and we study the asymptotic and finite sample properties of several estimators in this class. We first focus on two-step PML estimators which, though attractive for their computational simplicity, have some important limitations: they are seriously biased in small samples; they require consistent nonparametric estimators of players' choice probabilities in the first step, which are not always feasible for some models and data; and they are asymptotically inefficient. Second, we show that a recursive extension of the two-step PML, which we call nested pseudo likelihood (NPL), addresses those drawbacks at a relatively small additional computational cost. The NPL estimator is particularly useful in applications where consistent nonparametric estimates of choice probabilities are either not available or very imprecise, e.g., models with permanent unobserved heterogeneity. Finally, we illustrate these methods in Montecarlo experiments and in an empirical application to a model of firm entry and exit in oligopoly markets using Chilean data from several retail industries.