This paper is primarily concerned with the impacts of population aging upon education and skill premium. To study population aging, we utilize an overlappinggeneration model where survival into the old stage is uncertain and population aging is modelled via a higher survival rate. Featuring the household, education and production sectors, our model is analysed under both autarky and two-country...

In the Medicare Advantage (MA) market, private health insurers compete to offer plans with the most attractive premium and benefit package. Medicare provides a subsidy, based on a \benchmark payment rate", for each Medicare beneficiary a plan enrolls. We investigate how this subsidy, the primary policy lever in the market, affects the equilibrium premiums and benefits of MA plans. We exploit va...

This paper presents asset predictability evidence from the difference between implied and expected variances or variance risk premium that: (1) the variance difference measure predicts a significant positive risk premium across equity, bond, and credit markets; (2) the predictability is short-run, in that it peaks around one to four months and dies out as the horizon increases; and (3) such a s...

A lockup period for investment in a hedge fund is a time period after making the investment during which the investor cannot freely redeem his investment. It is routine to have a one-year lockup period, but recently the requested lockup periods have grown longer. Assuming that the investor will rebalance his portfolio of hedge funds on a yearly basis, if permitted, we define the annual lockup p...

This dissertation consists of three essays organized as chapters. On the first chapter, I revisit the discussions which evaluate different fluctuations of major economic variables produced by different monetary policy rules for small open economies, given the existence of liability dollarization. In particular, monetary rules which either include or exclude exchange rate stability as a monetary...

Assuming that daily spot exchange rates follow a martingale process. we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modeled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the ...

We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate consumption who receive partially unspanned income. The investors can trade continuously on a finite time interval in a money market account as well as a risky security. Besides establishing the exis...

In standard expositions of the equity premium, risk-free rate, and excess volatility puzzles, the subjective distribution of future growth rates has its mean and variance calibrated to past sample averages. This paper shows that proper Bayesian estimation of uncertain structural growth parameters introduces an irreducible fat-tailed background uncertainty that can explain all three puzzles pars...

Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real r...