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.

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach

Abstract: We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centered or uncentered mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are asymptotically equivalent to the existing spanning tests under the null and sequences of local alternatives, and analyze their asymptotic relative efficiency. We also extend the theory of optimal GMM inference to deal with the singularities that arise in some spanning tests. Finally, we include an empirical application to money markets in Europe.

The role of distance in the peer-to-peer market for tourist accommodation

Abstract: This article provides evidence on the concentration of peer-to-peer tourist accommodations in the center of cities and the role of distance. On that basis, an explanatory model is proposed to understand the locating decisions of the different agents involved. The model is empirically implemented through a two-stage least squares regression, which allows estimating the elasticity of demand with respect to price and distance. Results for the Spanish cities of Barcelona and Madrid confirm similar price elasticity of demand in both (2.2 and 2.4, respectively) but greater sensibility of demand with respect to distance to the center in the former.

The Ins and Outs of Unemployment: An Analysis Conditional on Technology Shocks ∗

Abstract: We analyze how unemployment, job finding and job separation rates react to neutral and investment-specific technology shocks. Neutral shocks increase unemployment and explain a substantial portion of it volatility; investmentspecific shocks expand employment and hours worked and contribute to hours worked volatility. Movements in the job separation rates are responsible for the impact response of unemployment while job finding rates for movements along its adjustment path. The evidence warns against using models with exogenous separation rates and challenges the conventional way of modelling technology shocks in search and sticky price models.

A Theory of Endogenous Commitment

Abstract: Commitment is typically modeled by giving one of the players the opportunity to take an initial binding action. The drawback to this approach is that the fundamental question of who has the opportunity to commit is driven by a modeling decision. This paper presents a framework in which commitment power arises naturally from the fundamentals of the model. We construct a finite dynamic game in which players are given the option to change their minds as often as they want, but pay a switching cost if they do so. We show that for two-player games there is a unique subgame perfect equilibrium with a simple structure. This equilibrium is independent of the order of moves and robust to other protocol specifications. Moreover, despite the perfect information nature of the model and the costly switches, strategic delays may arise in equilibrium. The flexibility of the model allows us to apply it to many different environments. In particular, we study an entry-deterrence situation and a bargaining setting. The predictions for these are intuitive and illustrate how commitment power is endogenously determined.