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Author: Albert Marcet

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CEP discussion paper
In Search of a Theory of Debt Management

A growing literature integrates debt management into models of optimal fiscal policy. One promising theory argues the composition of government debt should be chosen so that fluctuations in its market value offsets chang...Read more...

Elisa Faraglia, Albert Marcet and Andrew Scott

26 October 2011

CEP discussion paper
Stock Market Volatility and Learning

We study a standard consumption based asset pricing model with rationally investing agents but allow agents’ prior beliefs about price and dividend behavior to deviate slightly from rational expectations priors. Learning...Read more...

Klaus Adam, Albert Marcet and Juan Pablo Nicolini

19 September 2011

CEP discussion paper
Internal Rationality, Imperfect Market Knowledge and Asset Prices

We present a decision theoretic framework in which agents are learning about market behavior and that provides microfoundations for models of adaptive learning. Agents are ‘internally rational’, i.e., maximize discounted...Read more...

Klaus Adam and Albert Marcet

12 August 2011

CEP discussion paper
House Price Booms and the Current Account

A simple open economy asset pricing model can account for the house price and current account dynamics in the G7 over the years 2001-2008. The model features rational households, but assumes that households entertain sub...Read more...

Klaus Adam, Pei Kuang and Albert Marcet

21 July 2011

CEP discussion paper
Autoregressions in Small Samples, Priors about Observables and Initial Conditions

We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modelled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven...Read more...

Marek Jarocinski and Albert Marcet

13 July 2011

CEP discussion paper
Booms and Busts in Asset Prices

We show how low-frequency boom and bust cycles in asset prices can emerge from Bayesian learning by investors. Investors rationally maximize infinite horizon utility but hold subjective priors about the asset return proc...Read more...

Klaus Adam and Albert Marcet

July 2011

CEP discussion paper
Recursive Contracts

We obtain a recursive formulation for a general class of contracting problems involving incentive constraints. These constraints make the corresponding maximization (sup) problems non recursive. Our approach consists of ...Read more...

Albert Marcet and Ramon Marimon

June 2011