These are the sessions for January 3, 1998 Econometric Society Winter Meeting




Session: Arbitrage and Bubbles

Date and Time: January 3, 1998 -- 8:00 a.m.

Place: Hyatt Hotel -- DuSable Room

Presiding: Fernando Zapatero, ITAM, Mexico City

Papers:

Ho-Mou Wu, and Wen-Chung Guo, National Taiwan University, "Speculation with Rational Beliefs"

Jan Werner and Xiaodong Huang, University of Minnesota, "Valuation Bubbles and Sequential Bubbles"

Frank H. Page, University of Alabama, and Myrna H. Wooders, University of Toronto, "Inconsequential Arbitrage and Equilibrium in Economies with Short Selling and Price Dependent Preferences"

Discussants:

Manuel S. Santos, ITAM, Mexico City

Fernando Zapatero, ITAM, Mexico City





Session: Credit Markets and Macroeconomic Dynamics

Date and Time: January 3, 1998 -- 8:00 a.m.

Place: Hyatt Hotel -- Field Room

Presiding: Russell Cooper, Boston University

Papers:

Thomas Cooley, University of Rochester, and Vincenzo Quadrini, Universitat Pompeu Fabra, Barcelona, "Financial Market and Firm Dynamics"

Stafan Krieger, Yale University, "The Distributional Dynamics of Debt: A Business Cycle Model with Heterogeneous Debt-Constrained Firms"

Ben S. Bernanke, Princeton University, Mark Gertler, New York University, and Simon Gilchrist, Boston University, "Credit-Market Frictions and Cyclical Fluctuations"

Discussants:

Russell Cooper, Boston University

Anthony Smith, Carnegie-Mellon University

Timothy Fuerst, Bowling Green State University





Session: Asymmetric Information in Markets

Date and Time: January 3, 1998 -- 8:00 a.m.

Place: Hyatt Hotel -- McCormick Room

Presiding: John Leahy, Boston University

Papers:

Josef Perktold, University of Chicago, "Information Aggregation in an Adverse Selection Model with Heterogeneously Informed Buyers"

In-Uck Park, University of Bristol, "Obsolescence and Competition"

Marteen Janssen and Santanu Roy, Erasmus University, "The Market for Lemons: Does the Possibility of Dynamic Trading Improve Market Performance?"

Rahul Guha, Cornerstone Research, and Michael Waldman, Cornell University, "Leasing Solves the Lemons Problem"

Discussants:

John Leahy, Boston University

Juuso T. Valimaki, Northwestern University





Session: Optimal Taxation in Dynamic Models

Date and Time: January 3, 1998 -- 8:00 a.m.

Place: Hyatt Hotel -- Burnham Room

Presiding: Larry Christiano, Northwestern University

Papers:

Andrew Scott, London Business School, "Does Tax Smoothing Imply Smooth Taxes?"

Huw Lloyd-Ellis and Xiaodong Zhu, University of Toronto, "Fiscal Response to Shocks and Rising Public Debt"

Michelle Garfinkel and Jaewoo Lee, University of California - Irvine, "Political Discipline and the Dynamic Consistency of Policy"

Steven Cassou, Kansas State University, and Kevin Lansing, Federal Reserve Bank of Cleveland and Hoover Institution, Stanford University, "The Flat Tax and Investments in Physical versus Human Capital: A Study of Optimal Policy"

Discussants:

Larry Christiano, Northwestern University

Kevin Lansing, Federal Reserve Bank of Cleveland and Hoover Institution, Stanford University

Xiaodong Zhu, University of Toronto





Session: Productivity, R & D, Workers, and Firms

Date and Time: January 3, 1998 -- 8:00 a.m.

Place: Hyatt Hotel -- Wright Room

Presiding: Steven Berry, Yale University

Papers:

Lilyan E. Fulginiti and Richard K. Perrin, University of Nebraska, "Technical Change, Productivity, and Welfare under Distorted Prices"

Joachim Inkmann, University of Konstanz, "Horizontal and Vertical R & D Cooperation

Scott E. Atkinson, University of Georgia, and Daniel Primont, Southern Illinois University, "Stochastic Estimation of Firm Technology, Inefficiency, and Productivity Growth Using Distance Functions"

John Abowd, Cornell University, Francis Kramarz, INSEE-CREST, and David Margolis, CNRS, "High-Wage Workers and High-Wage Firms"

Discussants:

Gautam Gowrisankaran, University of Minnesota

Stefan Hochguertel, Tilburg University

Steven Stern, University of Virginia





Session: Nonlinear Time Series with Macroeconomic Applications

Date: January 3, 1998 -- 8:00 a.m.

Place: Hyatt Hotel -- Ogden Room

Presiding: Francis X. Diebold, University of Pennsylvania

Papers:

Pok-sang Lam, Ohio State University, "A Markov Switching Model of GNP growth with Duration Dependence"

Yongmiao Hong, Cornell University, Jung Lu, York University, and Tom McCurdy, University of Toronto, "Unemployment Hysteresis as a Long-Memory Process"

A. Ronald Gallant, University of North Carolina, and George Tauchen, Duke University, "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions"

Simon M. Potter, University of California - Los Angeles, "Second Order Properties of Generalized Impulse Response Functions"

Discussants:

Simon M. Potter, University of California - Los Angeles

Masao Ogaki, Ohio State University

Mark Watson, Princeton University

Harold Zhang, Carnegie Mellon University





Session: Markets and Contracts in Development

Date and Time: January 3, 1998 -- 8:00 a.m.

Place: Hyatt Hotel -- Horner Room

Presiding: Debraj Ray, Boston University

Papers:

Abhijit Banerjee, Massachusetts Institute of Technology and Maitreesh Ghatak, Harvard University, "Empowerment and Efficiency: The Economics of Tenancy Reform"

Lien H. Tran, Rand Corporation, "Formal vs. Informal Lending: How Significant is Information Asymmetry in Credit Markets in Vietnam?

Suzanne Gleason, Federal Trade Commission, "Public Goods and Intrafamily Resource Allocation: Female Child Survival in India"

Anjini Kochar, Stanford University, "The Effects of Adult Ill-Health and Income Uncertainty on Household Savings: Empirical Evidence from Rural Pakistan"

Discussants:

Debraj Ray, Boston University

Giorgio Topa, New York, University

Jonathan Morduch, Harvard University





Session: Computational Methods in Finance

Date and Time: January 3, 1998 -- 10:15 a.m.

Place: Hyatt Hotel -- DuSable Room

Presiding: Darrell Duffie, Stanford University

Papers:

Phelim Boyle, University of Waterloo, "Applications of Low Discrepancy Sequences to Finance Problems

Mark Broadie and Paul Glasserman, Columbia University, "A Stochastic Mesh Method for Pricing High-Dimensional American Options"

Paul Glasserman, Columbia University, and Steve Kou, University of Michigan, "Continuity Corrections for Discrete Path-Dependent Options"

Fernando Zapatero, ITAM, "Delta Hedging with Monte Carlo Simulation"

Discussants:

John Rust, University of Wisconsin - Madison

Patrick Jaillet, University of Texas - Austin

Darrell Duffie, Stanford University




Session: Derivative Pricing

Date and Time: January 3, 1998 -- 10:15 a.m.

Place: Hyatt Hotel -- Field Room

Presiding: Robert McDonald, Northwestern University

Yacine Ait-Sahalia, Yubo Wang, and Francis Yared, University of Chicago, "Does the S&P500 Option Market Correctly Assess the Probabilities of S&P500 Index Movements?"

Alexander David, Federal Reserve Board, "Fluctuating Confidence in the Estimation of the Drift: Implications for Option Pricing, Risk Management and Implied Uncertainty Analysis"

Lin Chen, Nanyang Technological University, Singapore, "Interest Rate Dynamics and Derivatives Pricing"

Discussants:

Robert McDonald, Northwestern University

David Bates, University of Iowa

Ming Huang, Stanford University





Session: Firm and Industry Dynamics

Date and Time: January 3, 1998 -- 10:15 a.m.

Place: Hyatt -- McCormick Room

Presiding: Glenn MacDonald, University of Rochester

Papers:

Jonas Fisher, Federal Reserve Bank of Chicago, and Jeffrey Campbell, University of Rochester, "Technology Choice and Employment Variability at Small and Large Manufacturing Plants"

Matthew Mitchell, University of Minnesota, "Information and the Adoption of New Projects"

Wenli Li, University of Minnesota, "Entrepreneurship and Government Subsidies under Capital Constraints: A General Equilibrium Analysis"

Luis Cabral, London Business School, "Entry Mistakes Happen"

Discussants:

Boyan Jovanovic, New York University

Glenn MacDonald, University of Rochester





Session: Measuring Productivity and Its Effects

Date and Time: January 3, 1998 -- 10:15 a.m.

Place: Hyatt Hotel -- Burnham Room

Presiding: Dan Sullivan, Federal Reserve Bank of Chicago

Papers:

Tim Conley, Northwestern University, and Bill Dupor, University of Pennsylvania, "A Spatial Econometric Analysis of Sectoral Productivity Growth"

Susantu Basu, Miles Kimball University of Michigan, and John Fernald, Federal Reserve Board, "Are Technology Improvements Expansionary?"

Marcello Estevao, Federal Reserve Board, and Saul Lach, Hebrew University, "Temporary Help Supply and Measurement Biases in Manufacturing Labor Productivity"

Discussants:

Michael Horvath, Stanford University

Jordi Gali, New York University

Dan Sullivan, Federal Reserve Bank of Chicago





Session: The Provision of Public Education

Date and Time: January 3 -- 10:15 a.m.

Place: Hyatt Hotel -- Wright Room

Presiding: Requel Fernandez, New York University

Papers:

Elizabeth Caucutt, University of Rochester, "Educational Financing when There Are Peer Group Effects"

Peter Bearse, University of Tennessee, Gerhard Glomm, Michigan State University, and B. Ravikumar, University of Iowa, "Education Finance in a Multi-District Economy"

Thomas Downes, Tufts University, and David Figlio, University of Oregon, "School Finance Reforms, Tax Limits and Student Performance: Do Reforms Level Up or Dumb Down?"

Discussants:

Requel Fernandez, New York University

Richard Rogerson, University of Minnesota

Elizabeth Caucutt, University of Rochester





Session: Finances of the Family

Date and Time: January 3, 1998 -- 10:15 a.m.

Place: Hyatt Hotel -- Ogden Room

Presiding: Richard Blundell, University College London

Papers:

Stefan Hochguertel, Tilburg University, "The Impact of Background Uncertainty on Households' Portfolios"

Michelle White, University of Michigan, "Personal Bankruptcy: Who Files and Why?"

Ian Domowitz, Northwestern University, and Robert L. Sartain, Abt Associates Inc., "Determinants of the Choice between Chapter 7 Liquidation and Chapter 13 Rehabilitation at the Household Level"

Discussants:

Francis Kramarz, INSEE-CREST

Steve Cameron, Columbia University

Shiferaw Gurmu, University of Virginia




Session: Dynamic Private Information Economies

Date and Time: January 3, 1998 -- 10:15 a.m.

Place: Hyatt Hotel -- Horner Room

Presiding: Andrew Atkeson, University of Minnesota and University of Pennsylvania

Papers:

Harold Cole and Narayana Kocherlakota, Federal Reserve Bank of Minneapolis, "A Microfoundation for Incomplete Security Markets"

Cheng Wang, Carnegie-Mellon University and Bruce Smith, Federal Reserve Bank of Minneapolis and University of Texas - Austin, "Dynamic Risk Sharing with Costly State Verification"

Roberto Chang, Federal Reserve Bank of Atlanta, "Recursive Analysis of Optimal and Time Consistent Policy"

Christopher Phelan, Northwestern University, and Ennio Stacchetti, University of Michigan, "Subgame Perfect Equilibria in a Ramsey Taxes Model"

Discussants:

Fernando Alvarez, University of Chicago

Andrew Atkeson, University of Minnesota





Session: Competition in Health Care Markets

Date and Time: January 3 -- 2:30 p.m.

Place: Hyatt Hotel -- DuSable Room

Presiding: Martin Gaynor, Carnegie Mellon University

Papers:

William Vogt, Carnegie Mellon University, "Preemptive Technology Adoption: The Example of Magnetic Resonance Imaging"

Daniel Kessler and Mark McClellan, Stanford University, "Is Hospital Competition Socially Wasteful?"

Barton Hamilton and Vivian Hamilton, Washington University - St. Louis, "The Impact of Hospital Mergers and Acquisitions on the Quality and Cost of Patient Care"

David Dranove, Carol Simon, and William White, Northwestern University, "Determinants of Managed Care Penetration"

Discussants:

Scott Stern, Massachusetts Institute of Technology

Martin Gaynor, Carnegie Mellon University




Session: Wages and Employment (J2, E2)

Date and Time: January 3, 1998 -- 2:30 p.m.

Place: Hyatt Hotel -- Field Room

Presiding: Andrew Oswald, University of Warwick, U.K.

Michael Lettau, U.S. Bureau of Labor Statistics, "Compensation Per Hour and the Business Cycle: Evidence from a Panel of Jobs"

Lars Ljungqvist, Stockholm School of Economics, "How Do Layoff Costs Affect Employment?"

Melvyn Coles and Adrian Masters, University of Essex, "Retraining and Long-Term Unemployment in a Model of Unlearning by Not Doing"

Daron Acemoglu and Jorn-Steffen Pischke, Massachusetts Institute of Technology, "The Structure of Wages and Investment in General Training"

Discussants:

James P. Ziliak, University of Oregon

Andrew Oswald, University of Warwick





Session: Optimal Monetary Policy

Date and Time: January 3, 1998 -- 2:30 p.m.

Place: Hyatt Hotel -- McCormick Room

Presiding: Lars E.O. Svensson, Institute for International Economic Studies, Stockholm

Papers:

Athanasios Orphanides and Volker Wieland, Federal Reserve Board, "Price Stability and Monetary Policy Effectiveness when Nominal Interest Rates are Bounded at Zero"

Valerie Bencivenga, Bruce Smith, University of Texas - Austin, and Elisabeth Huybens, ITAM - Mexico, "What to Stabilize in the Open Economy: Some Notes on a Problem of Keynes"

Peter Clark, International Monetary Fund, Charles Goodhart and Hiazhou Huang, London School of Economics, "Optimal Monetary Policy Rules in a Rational Expectations Model of the Phillips Curve"

Discussants

John Williams, Federal Reserve Board

Katheryn Dominguez, University of Michigan

Lars Svensson, Institute for International Economic Studies, Stockholm





Session: High-Frequency Time Series

Date and Time: January 3, 1998 -- 2:30 p.m.

Place: Hyatt Hotel -- Burnham Room

Presiding: Jeffrey Russell, University of Chicago

Papers:

Robert F. Engle and Joe Lange, University of California - San Diego, "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market"

Francis X .Diebold, University of Pennsylvania, "Evaluating Density Forecasts"

Eric Ghysels, Pennsylvania State University, and Joanna Jasiak, York University, "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model"

Torben G. Anderson, Northwestern University, and Tim Bollershev, University of Virginia, "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts"

Discussants:

Joel Hasbrouck, New York University

Eric Ghysels, Pennsylvania State University

Jeffrey Russell, University of Chicago





Session: The Scale and Scope of Government

Date and Time: January 3, 1998 -- 2:30 p.m.

Place: Hyatt Hotel -- Wright Room

Presiding: Per Krusell, University of Rochester

Papers:

Costas Azariadis and Luisa Lambertini, University of California - Los Angeles, "The Fiscal Politics of Big Governments"

Philippe Jehiel, CERAS and Suzanne Scotchmer, University of California - Berkeley, "Constitutional Rules of Exclusion in Jurisdiction Formation"

Andrew Daughety and Jennifer Reinganum, Vanderbilt University, "Settlement, Deterrence and the Economics of Punitive Damage Reform"

April Franco, University of Rochester, "Why Equal Weights in the Three Factor Formula Apportionment Method? A Game Theoretic Model of Tax Competition between the States"

Discussants:

Per Krusell, University of Rochester

Antonio Merlo, University of Minnesota

V.V. Chari, University of Minnesota

Thomas Holmes, University of Minnesota





Session: New Estimation Procedures I

Date and Time: January 3, 1998 -- 2:30 p.m.

Place: Hyatt Hotel -- Ogden Room

Presiding: Charles F. Manski, Northwestern University

Papers:

Charles F. Manski, Northwestern University, An Overview of Recent Developments in Estimation Procedures

Ekaterini Kyriazidou, University of Chicago, "Estimation of Dynamic Panel Data Sample Selection Models"

Bo Honoré, Princeton University, and James Powell, University of California, Berkeley, "Pairwise Difference Estimators for Non-linear Models"

A. Ronald Gallant, University of North Carolina, and George Tauchen, Duke University, "The Relative Efficiency of EMM Estimators"

Discussants:

Stephen Cosslett, Ohio State University

Joel Horowitz, University of Iowa

Yacine Ait-Sahalia, University of Chicago





Session: Firm Structure, Trade, and Income Inequality

Date and Time: January 3, 1998 -- 2:30 p.m.

Place: Hyatt Hotel -- Horner Room

Presiding: Gordon Hanson, University of Texas - Austin

Papers:

Pierre-Olivier Gourinchas, Stanford University, "Real Exchange Rate Fluctuations, Reallocation, and the Timing of Adoption of Technological Innovations"

Matthew Slaughter, Dartmouth College, and Phillip Swagel, International Monetary Fund, "The Effect of Import Competition on Wages and Employment: Cross-Country Evidence"

David Hummels, University of Chicago, and Kei-Mu yi, Federal Reserve Bank of New York, "Vertical Specialization and the Growth of World Trade: How Much Double-Counting Is There?"

Discussants:

Pete Klenow, University of Chicago

Gordon Hanson, University of Texas - Austin

Michael Kouparitsas, Federal Reserve Bank of Chicago