Estimation Methods for Duration Models

This paper is a selected overview of econometric methods for duration models and will appear in the forthcoming book The Economics of Search by the authors. The focus of the paper is on martingale methods for continuous time data and general methods for the analysis of discretetime data including multi-spell models and general life-history models.

An operational measure of liquidity

Economists' view of liquidity is askin to Supreme Court Justice Stewart's View of hard-core pornography: I shall not ... attempt further to define (it) .... But I know it when I see it. Embedding the process of selling an asset in a search environment enables us to provide an exact definition of liquidity: an asset's liquidity is the expected time until it is sold while pursuing an optimal (in the sense of maximization of expected discounted net proceeds) policy. Our analysis reveals that this definition is compatible with most other notions of liquidity and, in particular, with those of Keynes1 , impatience, the discount associated with a quick sale, and predictability

A Regulatory Framework for Strengthening Defined Benefit Pensions

Recent financial market and plan termination experiences have exposed the shortcomings of existing funding, disclosure, and premium rules governing private single-employer defined benefit pension plans in the United States. These rules were designed to provide predictability for plan sponsors and administrators, by insulating pension plans from the realities of economic and financial market fluctuations. Unfortunately current practice often overlooks key financial principles that arguably should inform a responsible set of pension rules and the insurance system backing the plans. We outline the key characteristics of pension plans needed to beneficially guide rule-making and offer examples drawn from proposed funding and premium rule