This paper examines if (and how) continuous-time trading renders dynamically-complete a financial market in which the underlying risk process is a Brownian motion and the securities pay dividends that are proportional to geometric Brownian motions. A sufficient condition, that the instantaneous...

This paper studies the pricing implications of the sole ambiguity aversion, in a Lucas’ tree economy where asset returns are ambiguous. Abstracting from a specific functional form, we disentangle the model-specific effect from the effect of ambiguity aversion. In addition, we allow the...

We propose a simple test that uses information on workers’ mobility, wages and firms’ profits to identify the sign and strength of assortative matching. The basic intuition underlying our empirical strategy is that, in the presence of positive (negative) assortative matching, good workers...

We show that the introduction in a power utility function of a confidence index to sig- nal the state of the world allows for an otherwise standard asset pricing model to match the observed consumption growth volatility and excess returns with a reasonable level of relative risk aversion. Our...

In this paper I provide estimates of the impact of immigration on native wage and employment levels (rather than on wage inequality which has been the focus of the literature). I use variation within 2-digit industries across regions using Austrian panel data from 1986 to 2004 for...

We use a unique data set providing administrative information on earnings by skill-level (blue collars, white collars), on the local stock of human capital and on several firm’s characteristics, including balance sheet data, to investigate the size of localized human capital externalities in...

Administrative data from INPS (Italian Institute for Social Security) on Italian high tenure workers job-histories (15 years, from 1985 to 1999) is used to quantify the temporal pattern of the effect of displacement on workers’ earnings, employment and wages. Moreover, I distinguish different...