2009:
Morris A. Davis
2008:
Kenji Wada
Hernan Moscosco Boedo
Yoonsoo Lee
Roman Sustek
Eric Young
Jose de Anchorena
Bryan Engelhardt
Igor Livshits
Christian Zimmerman
2007:
Stefania Albanesi
Claudia Olivetti
Espen Henriksen
Roman Sustek
Eric Young
José de Anchorena
2006:
Espen Henriksen

Morris A. Davis is an Assistant Professor in the Department of Real Estate and Urban Land Economics at the University of Wisconsin-Madison, School of Business.  He spent the last week of January 2009 in residence at LAEF as a visiting scholar.  Widely regarded as an expert on U.S. housing markets and land price issues, Dr. Davis is frequently quoted on NPR Marketplace, and often cited in the Wall Street Journal, the Economist, and other major news venues.  He testified last December before the U.S. Senate Finance Committee on the future of house prices and the macroeconomy.

Dr. Davis holds a Ph.D. in Economics from the University of Pennsylvania, and is currently on the Academic Advisory Council of the Federal Reserve Bank of Chicago.  In 2007 he was a Research Associate at the Federal Reserve Bank of Cleveland.  From August 2002 through August 2006, he served as an Economist, at the Federal Reserve Board working in Macroeconomics and Quantitative Studies, and Flow of Funds Groups.  In this capacity, he frequently briefed Fed Chairman Greenspan on the state of housing markets.

While at LAEF, Dr. Davis gave a public lecture on the current state of the U.S housing market.  The lecture began with an overview of housing prices in the U. S. and an examination of evidence available as of 2005 that housing was “overvalued.”  He discussed the decline in housing prices and how this led to the collapse of almost all of our largest financial intermediaries.  The presentation concluded with a discussion of the impact of declining housing prices and subsequent collapse of financial intermediaries on GDP.  He addressed questions from the audience at the end of the presentation.  The lecture was attended by members of the campus community and from the broader Santa Barbara area.

In addition to his public lecture, Dr. Davis gave a presentation at the Economics Department Seminar Series entitled “Agglomeration and Productivity: New Estimates and Macroeconomic Implications.”

Kenji Wada, a professor at the Graduate School of Business Administration at Keio University, spent a week as a visiting scholar at LAEF in February 2008.  Wada received his Ph.D. from the University of Chicago in 1999.  His current research interests include:

While in residence at LAEF, Wada presented a paper in the Economics Department seminar series related to the last topic.  The title of his presentation was “Cop and the Anthem: How could Soapy have avoided being jailed?”  In this paper, Wada considers what type of job-training program will lower the probability of re-entry into jail and lengthen the period between release from and re-entry into jail.

Hernan Moscoso Boedo Hernan Moscoso Boedo, an Assistant Professor at the University of Virginia, was a visitor at LAEF for one week in March 2008. Boedo received his Ph.D. from the University of Wisconsin – Madison in 2006. His current research interests include:

  • Income differences across countries
  • Endogenous technology adoption
  • The effects of institutions on income levels
  • The income distribution implication of endogenous technology adoption

While at LAEF, Boedo presented a seminar in the UCSB Department of Economics Seminar Series entitled “Irreversible Investment, Informal Sectors and International Income Differences.” The paper, joint with Toshihiko Mukoyama, analyzes the effects of observed entry and exit regulations on aggregate total factor productivity by looking at an industry dynamics model.

Yoonsoo Lee, an Economist at the Federal Reserve Bank of Cleveland, was a visitor at LAEF for one week in April 2008. Lee received his Ph.D. from the University of Rochester in 2005. His research focuses on the implication of dynamic behaviors of heterogeneous firms for the aggregate economy. His current research interests include the investigation of:

While at LAEF, Lee presented a seminar to the UCSB Department of Economics professors and graduate students, entitled “Entry, Exit, and Plant-level Dynamics over the Business Cycle.” The paper, which is joint work with Toshihiko Mukoyama of University of Virginia, develops a dynamic general equilibrium model to explain a new finding about the patterns of entry and exit over the business cycle. Using plant-level data from the U.S. Census Bureau, this paper finds that plants entering the marketplace during recessions are very different in terms of employment and productivity from those that enter during booms, whereas exiting plants are rather similar in both phases of the business cycle. On average, plants that enter during recessions are larger (for example, they hire more workers) and are more productive than plants that enter during booms. Such differences are relatively small for plants exiting in booms or recessions. In the model, plants enter and exit endogenously, and the size and productivity of entering and exiting plants are also determined endogenously.



Roman Sustek (Bank of England) and Eric Young (University of Virginia) made a return visit to LAEF in May. While at LAEF, Sustek and Young worked on a project that explores whether a model with heterogeneous agents can be simultaneously made consistent with aggregate business cycle facts (volatility and comovement of output, consumption, investment, and hours) and asset pricing regularities (mean and variance of equity and bond returns).

Roman Sustek presented a paper in the Economics Department seminar series entitled “The High Correlations of Prices and Interest Rates across Nations,” on which he has been working with Espen Henriksen (University of Oslo) and Finn Kydland since his last visit to LAEF. The authors document that, at business cycle frequencies, fluctuations in nominal variables, such as aggregate price levels and nominal interest rates, are substantially more synchronized than are fluctuations in real output. To the extent that domestic nominal variables are determined by domestic monetary policy, and central banks generally attempt to keep the domestic nominal environment stable, this may seem surprising. The authors ask if a prototypical international business cycle model can account for this aspect of cross-country aggregate fluctuations. It can. Due to spillovers (even modest ones) of technology shocks across nations, expected future responses of national central banks to fluctuations in domestic output and inflation generate movements in current prices and interest rates that are synchronized across countries even when output is not.

Eric Young presented the paper “Information Heterogeneity in the Macroeconomy,” which is joint work with his graduate student Ponpoje Porapakkarm. The authors study a model of business cycles in which households experience aggregate productivity shocks as well as uninsurable idiosyncratic shocks to wages and asset returns. Households do not know whether a given movement in their wage (or their asset return) is due to an aggregate or an idiosyncratic shock, leading each individual to infer different values for aggregate productivity and aggregate capital. That is, they have different beliefs about future asset returns. Young and Porapakkarm show that a model with belief heterogeneity delivers more volatile investment relative to a benchmark economy with full information. Their main contribution is methodological – they show how to write down a coherent model in which agents can (and do) disagree about the expected returns to saving. Ongoing work is extending this model to allow for elastic labor supply and additional asset choices to determine the role of higher-order expectations – my expectation of the average expectation of productivity – in pricing assets.

Jose de Anchorena spent part of June 2008 as a research visitor at LAEF. Dr. de Anchorena received his Ph.D. from Carnegie Mellon University in 2008, and is currently a Researcher at the University of Oslo. While in residence at LAEF, de Anchorena presented a paper at the Economics Department Seminar Series entitled “Social Ties and Economic Development,” a joint work with Fernando Anjos. The paper’s central idea is to incorporate social ties as a consumer commodity, as well as an input for transaction of other commodities. The model clarifies some aspects of the so-called social capital, and provides predictions about the behavior of both sociological and economic variables in the process of economic development. Those predictions are compared with actual data, both in a cross-section of countries and in a time series for the United States.

Bryan Engelhardt of the College of the Holy Cross was a visitor at LAEF for one week in August, 2008. Professor Engelhardt received his Ph.D. from the University of Iowa in 2008. His current research interests include:

While at LAEF, Engelhardt worked with Peter Rupert on ideas related to directed and random search. In addition, he presented a paper on “Efficient Labor Force Participation with Search and Bargaining” at the LAEF Summer Workshop. The paper, joint work with Professor David L. Fuller from Carnegie Mellon University, focused on estimating the type of contract observed in the labor market, and if inefficient, what the gains would be in moving to an efficient contract.

Igor Livshits is an Associate Professor of Economics at the University of Western Ontario.  He obtained his Ph.D. in Economics from the University of Minnesota in 2002.  Igor is a Scholar in the Institutions, Organizations and Growth program of the Canadian Institute for Advanced Research.  He is also currently serving as an off-site academic director of the Belarus Economics Outreach and Research Center.

Igor Livshits’s research interests include consumer credit and consumer bankruptcy; foreign debt and sovereign default; political economy; sources of cross-country income differences; investment in human capital and productivity.  His recent work includes constructing quantitative models of consumer bankruptcy for the purpose of policy analysis, accounting for the rise in consumer bankruptcies, study of prudential regulation in the presence of sovereign default risk, and studying the sources and implications of cross-country differences in labor market institutions.  Livshits’s research has been supported by SSHRC grants and Arts, Humanities and Social Sciences Fund at the University of Western Ontario, and has been published in the American Economic Review, the Journal of Economic Theory, the Journal of Monetary Economics, and the Economics Letters.

While at LAEF, Professor Livshits presented the paper “Costly Contracts and Consumer Credit,” joint with J. MacGee and M. Tertilt.  The paper investigates the importance technological improvements in the credit markets for the recent changes in unsecured consumer credit and personal bankruptcy filings.  The paper combines a novel theoretical approach with interesting new data.

Christian Zimmermann is Associate Professor of Economics at the University of Connecticut.  He spent three weeks at LAEF in October 2008.  A 1994 Ph.D. graduate of Carnegie Mellon University, he is interested in applications of stochastic dynamic general equilibrium models, in particular

  • optimal generosity of unemployment insurance systems
  • the impact of bank capital regulation on entrepreneurial activity
  • access to health prevention in developing economies

    • While in residence at LAEF, Zimmermann made three presentations to professors and graduate students at the Economics Department Seminar series and the Macroeconomics Reading Group: one on the measurement of unemployment insurance generosity, one on the link between GDP and malaria, and one on RePEc, the Economics bibliography initiative.

    Stefania Albanesi is an associate professor of economics at Columbia University.  She is also a research fellow of the NBER and a research affiliate of the CEPR.  She received her Ph.D. from Northwestern University in 2001.

    Professor Albanesi has two main lines of research.  The first is on optimal dynamic taxation in economies with incentive problems due to private information.  In this work, she has dealt with optimal taxation of labor income, assets and entrepreneurial capital.  She is currently exploring the properties of optimal taxes in economies with occupational choice.  In addition, she is investigating the link between the process for family decision making and optimal taxes in economies where agents belong to households.  In her second line of work, she has analyzed the status of women in the labor market.  In a series of papers co-authored with Claudia Olivetti (Boston University), she has explored the impact of medical progress on the rise in the labor force participation of married women in the 20th century, the link between gender earnings differentials and incentive problems in the labor market, and the possible determinants in the difference in the structure of compensation by gender for top executives.

    While in residence at LAEF, Professor Albanesi presented a paper in the Economics Department seminar series related to her work on dynamic optimal taxation.  The title of her presentation was “Intertemporal Distortions in the Second Best.”  The paper, co-authored with Roc Armenter, an economist at the Federal Reserve Bank of New York, explores the fundamental differences between economies in which some form of capital income taxation is optimal in the long run and the ones in which the optimal capital income tax is zero.  The main result is that the government’s ability to intertemporally shift other distortions, such as labor income taxes, underlies the optimality of capital income taxes.

    Claudia OlivettiClaudia Olivetti, an Assistant Professor at Boston University,was a visitor at LAEF for one week in December 2007.  Olivetti received her Ph.D. from the University of Pennsylvania in 2001.  Her research focuses on exploring causes and consequences for the changing role of women in the family and in the workplace.  Her current research interests include the investigation of:

    While at LAEF, Olivetti presented a seminar to the UCSB Department of Economics professors and graduate students, entitled “Gender and Dynamic Agency: Theory and Evidence on the Compensation of Female Top Executives.”  Women top executives tend to be under-represented at the upper ranks of the corporate structure, tend to work in smaller firms, and receive lower overall compensation (earning about 30% less than their male counterparts - a gap comparable to the one observed for the overall population).  The paper presented by Olivetti, which is joint work with Stefania Albanesi of Columbia University, documents a new fact about the compensation of top executives: the presence of a substantial and highly significant gender difference in the structure of compensation. Specifically, the paper shows that the incentive component of executive pay is much smaller for female than for male executives.  The paper provides a theoretical rationalization for this finding based on a dynamic agency model of executive compensation, where it is assumed that female executives have higher cost of effort.  This assumption is motivated by survey and experimental work documenting the existence of gender asymmetries in the cost of career investment (in particular, family-career trade-offs), and attitudes towards competition and towards initiating negotiations.


    (Roman Sustek, Eric Young and Espen Henriksen)

    Professor Espen Henriksen of the University of Oslo made a return visit to LAEF in October, 2007.  He previously visited our department in May of 2006.  Professor Henriksen received his Ph.D. from Carnegie Mellon University in 2005.  His current research interests include:

    While at LAEF, Henriksen worked on a joint paper with Finn Kydland and Roman Sustek, entitled “The High Correlations of Prices and Interest Rates across Nations.”  He also presented a seminar to the UCSB Department of Economics professors and graduate students.  The title of his presentation was “Taxes and the Global Allocation of Capital.”

    Roman Sustek, a research economist at the Bank of England, spent the month of October 2007 as a visiting scholar at LAEF.  Sustek received his Ph.D. from Carnegie Mellon University in 2005.  His current research interests include:

    While in residence at LAEF, Sustek presented a paper in the Economics Department seminar series related to the last topic.  The title of his presentation was “Business Cycle Accounting for Monetary Economies.”  In this paper, Sustek extends the business cycle accounting method of Chari, Kehoe and McGratten to an important class of monetary business cycle models to investigate the quantitative importance of various classes of frictions for the joint dynamics of real and nominal variables over the business cycle.

    Professor Eric Young of the University of Virginia was a visitor at LAEF for one week in October 2007.  Professor Young received his Ph.D. from Carnegie Mellon University in 2001.  His current research interests include:

    While at LAEF, Young presented a seminar to the UCSB Department of Economics professors and graduate students, entitled “A Quantitative Model of Information and Unsecured Credit.”  This paper focuses on the trends in the market for credit card borrowing – namely, that households are borrowing more and using bankruptcy to default on more debt than they used to, while at the same time credit terms are becoming more sensitive to measures of default risk.  The paper, joint work with Richmond Fed economist Kartik Athreya and UVa graduate student Xuan Tam, argues that changes in the information available to lenders can account for all of these trends.  A key innovation is an algorithm to compute competitive equilibria with individualized loan pricing and asymmetric information between borrowers and lenders regarding default risk.

    José de Anchorena, an advanced Ph.D. student at Carnegie Mellon University, spent the month of February 2007 as a visiting scholar at LAEF. Anchorena is currently working on three papers, all concerned with growth and development, and, in particular, with technology improvement.

    One of Anchorena's papers is related to the experience of Argentina's economy in the last 30 years. In particular, it ties the investment-productivity puzzle, uncovered by Kydland and Zarazaga (2001, 2002), with the hypothesis of misalignment of the real exchange rate. The main innovation of the paper is to measure separately technology improvement in traded and non-traded goods, and to incorporate those measures into a general dynamic equilibrium framework.

    Anchorena became interested in endogenous technology change due to the huge and volatile annual changes in measured technology levels. In his second paper, he attempts to explain simultaneously the time series of population growth rate and income per capita level for England between 1700 and 2000. The main innovations are to simulate numerically a model proposed by Lucas (2002) and to propose modifications to the model in order to match better the evidence.

    The goal of Anchorena's third paper is to relate aggregate productivity levels with demographic variables. In particular, it asks how much of an incentive to increase productivity has been the reduction in household size. On the supply side, the reduction in household size has implied the substitution of market for home production (say, more lunch outside and less at home). On the demand side, the reduction in household size has implied the substitution of market for home consumption (say, more marketed entertainment). Both effects increased the market size of old and new goods and services, and the increased scale created a higher demand for technology improvement. The goal is to model these effects into an endogenous growth process and to determine if the evidence supports it or not. This paper was the main focus of Anchorena's research while in residence at LAEF.

    While at LAEF, Anchorena presented a paper in the Economics Department seminar series, "Can We Replicate an Industrial Revolution?" This is the second of the papers described above.

    Professor Espen Henriksen of the University of Oslo, Norway, was a visitor at LAEF for two weeks in May 2006. Professor Henriksen received his Ph.D. from Carnegie Mellon University in 2005. His current research interests include:

    • Low- and medium-frequency movements in the current account, and net foreign asset positions.
    • Macroeconomic implications of international demographic dynamics.
    • Portfolio choice over the life cycle in a production economy; restrictions on the macro production function.
    • Co-movements of domestic and international monetary aggregates at business cycle frequencies.
    While at LAEF, Espen participated in the “Macroeconomics of Imperfect Risk Sharing” conference. He also presented a seminar to the UCSB Department of Economics professors and graduate students. The title of his presentation was “Post-War Capital Restrictions, Demographics and Welfare Costs.”