The high variance of crime rates across time and space is one of the oldest puzzles in the
social sciences; this variance appears too high to be explained by changes in the exogenous …

Motivated by the behavior of asset prices, trading volume, and price volatility during
episodes of asset price bubbles, we present a continuous‐time equilibrium model in which …

This paper presents a test of independence that can be applied to the estimated residuals of
any time series model that can be transformed into a model driven by independent and …

In many countries, the operation of legal, political and regulatory institutions is subverted by
the wealthy and the politically powerful for their own benefit. This subversion takes the form …

We model the relationship between asset float (tradeable shares) and speculative bubbles.
Investors with heterogeneous beliefs and short‐sales constraints trade a stock with limited …

We study a rational expectations partial equilibrium model of a market for a single storable
commodity whose output each period is a function of previous period effort on production and …

Continuous-time Markov processes can be characterized conveniently by their infinitesimal
generators. For such processes there exist forward and reverse-time generators. We show …

Kenneth Arrow is one of Columbia’s most distinguished graduates, whose accomplishments
I hope all our graduate students seek to emulate. In this series, we have organized an …

Aggregate data is often used to make inferences about individual level behavior. If there are
social interactions in which one person's actions influence his neighbor's incentives or …

Recent theories of economic growth, including those of Romer, Porter, and Jacobs, have
stressed the role of technological spillovers in generating growth. Because such knowledge …