George Hall - Academia.edu (original) (raw)

Papers by George Hall

Process Safety and Environmental Protection, 2012

The provision of a secure, continuous energy supply is becoming an issue for all sectors of socie... more The provision of a secure, continuous energy supply is becoming an issue for all sectors of society and the food processing industry as a major energy user must address these issues. This paper identifies anaerobic digestion as an opportunity to go some way to achieving energy security in a sustainable manner. However, a number of energy management and waste reduction concepts must also be brought into play if the environmental, social and economic aspects of sustainability are to be balanced. The reporting of such activity will help to promote the green credentials of the industry. Cleaner production, supply chain and life cycle assessment approaches all have a part to play as tools supporting a new vision for integrated energy and waste management. Our reliance on high-energy processing, such as canning and freezing/chill storage, might also need re-assessment together with processing based on hurdle technology. Finally, the concepts of energy and power management for a distributed energy generation system must be brought into the food processing industry.

AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. governmen... more AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. government has experienced a dramatic turnaround. In fiscal years 1998 and 1999, for the first time since the 1950s, the federal government ran back-to-back budget surpluses. With the government no longer a net borrower, the Treasury has started paying down the federal debt: debt held by the public fell from 3.5trillioninMarch1998to3.5 trillion in March 1998 to 3.5trillioninMarch1998to3.0 trillion in July 2000. And both the Office of Management and Budget (OMB) and the Congressional Budget Office (CBO) are forecasting that these surpluses will continue over the next decade, ' in amounts large enough that the public debt will be fully redeemed in 2012. Although these official forecasts may prove too optimistic, it is reasonable to expect that the quantity of publicly held debt will shrink considerably over the next decade.2 The pending debt paydown has several implications for macroeconomic policy. This paper focuses on only one of these...

Economic Theory, 2005

This paper introduces a model of commodity price speculation and proves that the optimal trading ... more This paper introduces a model of commodity price speculation and proves that the optimal trading strategy is of the (S, s) form when a no expected loss condition holds. A strong form of this condition is that the retail price charged to consumers at time t exceeds the expected wholesale price of the commodity at time t + 1, i.e. p r t ≥ βE{p t+1 |p t , x t }, where β ∈ (0, 1) is the speculator's discount factor.

This paper estimates a dynamic model of price discrimination and inventory investment under incom... more This paper estimates a dynamic model of price discrimination and inventory investment under incomplete information. The model is motivated from an empirical analysis of operations of daily observations on inventories, sales, and purchases of over 2,300 individual products by a U.S. steel wholesaler. The model assumes the wholesaler has a distribution of beliefs about each retail customer's reservation values and posts individual take-it-or-leave-it offers to maximize discounted profits while simultaneously accounting for the firm's optimal inventory decisions. This model is compared to the case in which the the firm must post a uniform price to all customers. We simulate the estimated model and find that the simulated data exhibit the key features of inventory investment and pricing behavior we observe in the data.

Journal of Monetary Economics, 2004

for helpful conversations. I thank Richard Burdekin, Marc Weidenmier, and seminar participants at... more for helpful conversations. I thank Richard Burdekin, Marc Weidenmier, and seminar participants at Yale and Rutgers for constructive comments. The views expressed herein are those of the author and not necessarily those of the National Bureau of Economic Research.

Brookings Papers on Economic Activity, 2000

AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. governmen... more AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. government has experienced a dramatic turnaround. In fiscal years 1998 and 1999, for the first time since the 1950s, the federal government ran back-to-back budget surpluses. With the government no longer a net borrower, the Treasury has started paying down the federal debt: debt held by the public fell from 3.5trillioninMarch1998to3.5 trillion in March 1998 to 3.5trillioninMarch1998to3.0 trillion in July 2000. And both the Office of Management and Budget (OMB) and the Congressional Budget Office (CBO) are forecasting that these surpluses will continue over the next decade, 1 in amounts large enough that the public debt will be fully redeemed in 2012. Although these official forecasts may prove too optimistic, it is reasonable to expect that the quantity of publicly held debt will shrink considerably over the next decade. 2 The pending debt paydown has several implications for macroeconomic policy. This paper focuses on only one of these. All types of debt allow 253

This paper provides structural parameter estimates of a model of optimal price speculation by a m... more This paper provides structural parameter estimates of a model of optimal price speculation by a middleman in the steel market. The middleman profits by purchasing large quantities of steel from producers and other middlemen in the wholesale market and subsequently reselling smaller quantities to individual customers in the retail market. The econometric challenge is to make inferences about the law of motion governing wholesale prices given that these prices are endogenously sampled, i.e. we only observe market prices on the days when the middleman purchases steel. Since the essence of profitable speculation is to "buy low and sell high", the middleman purchases steel relatively infrequently at prices that are presumably lower than those on other days. To avoid misleading inferences, a standard approach to this "selectivity bias problem" is to use a conditional likelihood function that "integrates out" prices on the days when no purchases are made. However since the middleman purchases steel on only 200 of the 1500 business days in our data set, the conditional likelihood approach is cumbersome since it requires multivariate integration over 1300 dimensions. We propose a less efficient but simpler and computationally tractable simulated minimum distance (SMD) estimator to estimate the structural parameters in the presence of endogenous sampling. The SMD estimator minimizes a quadratic form specifying the distance between sample moments and predicted moments from simulations of our model. We show, via a limited Monte Carlo study, that the SMD estimator yields accurate and unbiased estimates of the structural parameters (including the law of motion of the wholesale price process). We use the SMD estimator to estimate the unknown parameters of the middleman's profit function and the wholesale price processes governing two specific types of steel plate. While our commodity price speculation model is formally rejected by goodness of fit tests, the model provides a good approximation to the middleman's trading behavior. Via in-sample comparisons, we find that the optimal trading rule results in only 10 to 20 percent higher profits than those actually earned by the middleman.

Journal of Monetary Economics, 2014

In 1790, a U.S. paper dollar was widely held in disrepute (something shoddy was not 'worth a Cont... more In 1790, a U.S. paper dollar was widely held in disrepute (something shoddy was not 'worth a Continental'). By 1879, a U.S. paper dollar had become 'as good as gold.' These outcomes emerged from how the U.S. federal government financed three wars: the American Revolution, the War of 1812, and the Civil War. In the beginning, the U.S. government discriminated greatly in the returns it paid to different classes of creditors; but that pattern of discrimination diminished over time in ways that eventually rehabilitated the reputation of federal paper money as a store of value.

The Rosenberg Institute of Global Finance seeks to analyze and anticipate major trends in global ... more The Rosenberg Institute of Global Finance seeks to analyze and anticipate major trends in global financial markets, institutions, and regulations, and to develop the information and ideas required to solve emerging problems. It focuses on the policy implications of economic globalization. The Institute, founded in 2002, is named for Barbara C. Rosenberg '54

Journal of Monetary Economics, 1996

This paper presents and estimates a variant of Hansen and Sargent's (1988) real business cycle mo... more This paper presents and estimates a variant of Hansen and Sargent's (1988) real business cycle model with straight time and overtime. The model presented has only one latent variable, the state of technology, yet it does as good a job propagating and magnifying shocks as labor hoarding models which incorporate unobserved effort. This paper also finds that the implied effort series of labor hoarding models displays a high coherence with U.S. overtime data at business cycle frequencies. This supports the view that effort is procyclical. 1 I n t r o d u c t i o n This paper estimates a dynamic general equilibrium real business cycle model of the U.S. economy incorporating straight time and overtime. This model is a hybrid of Hansen and Sargent's (1988) model with straight time and overtime and Burnside, Eichenbaum and Rebelo's (1993) labor hoarding model. This model is studied along with an estimated version of Burnside, Eichenbaum and Rebelo's model. The two models are analyzed to answer two questions. First, how do different assumptions about laoor market rigidities effect the real business cycle model's ability to propagate and magnify shocks? Second, does the unobservable time series effort implied by the labor hoarding models make sense?

Journal of Econometrics, 2020

We consider the problem of estimating stochastic processes that are endogenously sampled. We obse... more We consider the problem of estimating stochastic processes that are endogenously sampled. We observe a discrete-time stochastic process {p t } at a subset of times {t 1 ,. .. ,t n } that depend on the outcome of a probabilistic sampling rule that depends on the history of the process as well as other observed covariates x t. We focus on a particular example where p t is the daily wholesale price of a standardized steel product. The endogenous sampling problem arises from the fact that the firm only records p t on the days that it purchases steel. We present a parametric analysis of this problem under the assumption that the timing of steel purchases is part of an optimal trading strategy that maximizes expected discounted profits. We show that estimation of this model is both tractable and simple using the method of simulated moments (MSM) where censored simulations of the price process are used instead of high dimensional numerical integration of a likelihood function. We use the MSM estimator to estimate a truncated lognormal AR(1) model of the wholesale price processes for particular types of steel plate but find the model is rejected by specification tests. We provide evidence that suggests that one reason for this rejection may be that one of the key assumptions underlying our model is invalid, namely that the firm we study maximizes expected discounted profits.

This paper studies the econometric problems associated with estimation of a stochastic process th... more This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {pt} that is observed only at a subset of times {t1,..., tn} that depend on the outcome of a probabilistic sampling rule that depends on the history of the process as well as other observed covariates xt. We focus on a particular example where pt denotes the daily wholesale price of a standardized steel product. However there are no formal exchanges or centralized markets where steel is traded and pt can be observed. Instead nearly all steel transaction prices are a result of private bilateral negotiations between buyers and sellers, typically intermediated by middlemen known as steel service centers. Even though there is no central record of daily transactions prices in the steel market, we do observe transaction prices for a particular firm-a steel service center that purchases large quantities of steel in the wholesale market for subsequent resale in the retail market. The endogenous sampling problem arises from the fact that the firm only records pt on the days that it purchases steel. We present a parametric analysis of this problem under the assumption that the timing of steel purchases is part of an optimal trading strategy that maximizes the firm's expected discounted trading profits. We derive a parametric partial information maximum likelihood (PIML) estimator that solves the endogenous sampling problem and efficiently estimates the unknown parameters of a Markov transition probability that determines the law of motion for the underlying {pt} process. The PIML estimator also yields estimates of the structural parameters that determine the optimal trading rule. We also introduce an alternative consistent, less efficient, but computationally simpler simulated minimum distance (SMD) estimator that avoids high dimensional numerical integrations required by the PIML estimator. Using the SMD estimator, we provide estimates of a truncated lognormal AR(1) model of the wholesale price processes for particular types of steel plate. We use this to infer the share of the middleman's discounted profits that are due to markups paid by its retail customers, and the share due to price speculation. The latter measures the firm's success in forecasting steel prices and in timing its purchases in order to "buy low and sell high". The more successful the firm is in speculation (i.e. in strategically timing its purchases), the more serious are the potential biases that would result from failing to account for the endogeneity of the sampling process.

The RAND Journal of Economics, 2011

This paper studies the within-model-year pricing, production, and inventory management of new aut... more This paper studies the within-model-year pricing, production, and inventory management of new automobiles. Using new monthly data on U.S. transaction prices, we document that, for the typical vehicle, prices fall over the model year at a 9.0 percent annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate an industry model for new automobiles in which inventory and pricing decisions are made simultaneously. The model predicts that automakers' build-to-stock inventory management policy substantially influences the time-series of prices and sales, accounting for four-tenths of the price decline observed over the model year.

Journal of Monetary Economics, 2000

Note: Cowles Foundation Discussion Papers are preliminary materials circulated to stimulate discu... more Note: Cowles Foundation Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply. References in publications to Discussion Papers (other than mere acknowledgment by a writer that he has access to such unpublished material) should be cleared with the author to protect the tentative character of these papers.

Journal of Applied Econometrics, 2009

We thank seminar participants at Maryland, Iowa, Yale, and the Federal Reserve Bank of San Franci... more We thank seminar participants at Maryland, Iowa, Yale, and the Federal Reserve Bank of San Francisco for many constructive comments. In particular, we thank Lanier Benkard, Eduardo Engel, Bill Nordhaus, John Rust and Tony Smith for helpful discussions and suggestions. George Hall gratefully acknowledges financial support from the Alfred P. Sloan Foundation. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the U.S. Bureau of Economic Analysis or the U.S. Department of Commerce. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

Proceedings of the National Academy of Sciences

Significance We detect common forces that impinged on US monetary and fiscal policies during two ... more Significance We detect common forces that impinged on US monetary and fiscal policies during two 20th century world wars and now during the War on COVID-19 and then compare government and market responses to these forces. The US government had to finance large wartime surges in its expenditures by taxing, borrowing, or printing money. We document and interpret consequences of the choices that the government made in these three world wars.

Damji for excellent research assistance. Bálint Sz˝ oke wrote Python code to estimate the term st... more Damji for excellent research assistance. Bálint Sz˝ oke wrote Python code to estimate the term structure of yields on Treasury bonds, and Jonathan Payne wrote Python code to organize the bond price data.

We estimate a dynamic profit-maximization model of a fish wholesaler who can observe consumer cha... more We estimate a dynamic profit-maximization model of a fish wholesaler who can observe consumer characteristics, set individual prices, and thus engage in third-degree price discrimination. Simulated prices and quantities from the model exhibit the key features observed in a set of high quality transaction-level data on fish sales collected at the Fulton fish market. The model's predictions are then compared to the case in which the dealer must post a single price to all customers. We find the cost to the dealer of posting a uniform price to be extremely small.

Process Safety and Environmental Protection, 2012

The provision of a secure, continuous energy supply is becoming an issue for all sectors of socie... more The provision of a secure, continuous energy supply is becoming an issue for all sectors of society and the food processing industry as a major energy user must address these issues. This paper identifies anaerobic digestion as an opportunity to go some way to achieving energy security in a sustainable manner. However, a number of energy management and waste reduction concepts must also be brought into play if the environmental, social and economic aspects of sustainability are to be balanced. The reporting of such activity will help to promote the green credentials of the industry. Cleaner production, supply chain and life cycle assessment approaches all have a part to play as tools supporting a new vision for integrated energy and waste management. Our reliance on high-energy processing, such as canning and freezing/chill storage, might also need re-assessment together with processing based on hurdle technology. Finally, the concepts of energy and power management for a distributed energy generation system must be brought into the food processing industry.

AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. governmen... more AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. government has experienced a dramatic turnaround. In fiscal years 1998 and 1999, for the first time since the 1950s, the federal government ran back-to-back budget surpluses. With the government no longer a net borrower, the Treasury has started paying down the federal debt: debt held by the public fell from 3.5trillioninMarch1998to3.5 trillion in March 1998 to 3.5trillioninMarch1998to3.0 trillion in July 2000. And both the Office of Management and Budget (OMB) and the Congressional Budget Office (CBO) are forecasting that these surpluses will continue over the next decade, ' in amounts large enough that the public debt will be fully redeemed in 2012. Although these official forecasts may prove too optimistic, it is reasonable to expect that the quantity of publicly held debt will shrink considerably over the next decade.2 The pending debt paydown has several implications for macroeconomic policy. This paper focuses on only one of these...

Economic Theory, 2005

This paper introduces a model of commodity price speculation and proves that the optimal trading ... more This paper introduces a model of commodity price speculation and proves that the optimal trading strategy is of the (S, s) form when a no expected loss condition holds. A strong form of this condition is that the retail price charged to consumers at time t exceeds the expected wholesale price of the commodity at time t + 1, i.e. p r t ≥ βE{p t+1 |p t , x t }, where β ∈ (0, 1) is the speculator's discount factor.

This paper estimates a dynamic model of price discrimination and inventory investment under incom... more This paper estimates a dynamic model of price discrimination and inventory investment under incomplete information. The model is motivated from an empirical analysis of operations of daily observations on inventories, sales, and purchases of over 2,300 individual products by a U.S. steel wholesaler. The model assumes the wholesaler has a distribution of beliefs about each retail customer's reservation values and posts individual take-it-or-leave-it offers to maximize discounted profits while simultaneously accounting for the firm's optimal inventory decisions. This model is compared to the case in which the the firm must post a uniform price to all customers. We simulate the estimated model and find that the simulated data exhibit the key features of inventory investment and pricing behavior we observe in the data.

Journal of Monetary Economics, 2004

for helpful conversations. I thank Richard Burdekin, Marc Weidenmier, and seminar participants at... more for helpful conversations. I thank Richard Burdekin, Marc Weidenmier, and seminar participants at Yale and Rutgers for constructive comments. The views expressed herein are those of the author and not necessarily those of the National Bureau of Economic Research.

Brookings Papers on Economic Activity, 2000

AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. governmen... more AFTER NEARLY THIRTY straight years of deficit spending, the fiscal position of the U.S. government has experienced a dramatic turnaround. In fiscal years 1998 and 1999, for the first time since the 1950s, the federal government ran back-to-back budget surpluses. With the government no longer a net borrower, the Treasury has started paying down the federal debt: debt held by the public fell from 3.5trillioninMarch1998to3.5 trillion in March 1998 to 3.5trillioninMarch1998to3.0 trillion in July 2000. And both the Office of Management and Budget (OMB) and the Congressional Budget Office (CBO) are forecasting that these surpluses will continue over the next decade, 1 in amounts large enough that the public debt will be fully redeemed in 2012. Although these official forecasts may prove too optimistic, it is reasonable to expect that the quantity of publicly held debt will shrink considerably over the next decade. 2 The pending debt paydown has several implications for macroeconomic policy. This paper focuses on only one of these. All types of debt allow 253

This paper provides structural parameter estimates of a model of optimal price speculation by a m... more This paper provides structural parameter estimates of a model of optimal price speculation by a middleman in the steel market. The middleman profits by purchasing large quantities of steel from producers and other middlemen in the wholesale market and subsequently reselling smaller quantities to individual customers in the retail market. The econometric challenge is to make inferences about the law of motion governing wholesale prices given that these prices are endogenously sampled, i.e. we only observe market prices on the days when the middleman purchases steel. Since the essence of profitable speculation is to "buy low and sell high", the middleman purchases steel relatively infrequently at prices that are presumably lower than those on other days. To avoid misleading inferences, a standard approach to this "selectivity bias problem" is to use a conditional likelihood function that "integrates out" prices on the days when no purchases are made. However since the middleman purchases steel on only 200 of the 1500 business days in our data set, the conditional likelihood approach is cumbersome since it requires multivariate integration over 1300 dimensions. We propose a less efficient but simpler and computationally tractable simulated minimum distance (SMD) estimator to estimate the structural parameters in the presence of endogenous sampling. The SMD estimator minimizes a quadratic form specifying the distance between sample moments and predicted moments from simulations of our model. We show, via a limited Monte Carlo study, that the SMD estimator yields accurate and unbiased estimates of the structural parameters (including the law of motion of the wholesale price process). We use the SMD estimator to estimate the unknown parameters of the middleman's profit function and the wholesale price processes governing two specific types of steel plate. While our commodity price speculation model is formally rejected by goodness of fit tests, the model provides a good approximation to the middleman's trading behavior. Via in-sample comparisons, we find that the optimal trading rule results in only 10 to 20 percent higher profits than those actually earned by the middleman.

Journal of Monetary Economics, 2014

In 1790, a U.S. paper dollar was widely held in disrepute (something shoddy was not 'worth a Cont... more In 1790, a U.S. paper dollar was widely held in disrepute (something shoddy was not 'worth a Continental'). By 1879, a U.S. paper dollar had become 'as good as gold.' These outcomes emerged from how the U.S. federal government financed three wars: the American Revolution, the War of 1812, and the Civil War. In the beginning, the U.S. government discriminated greatly in the returns it paid to different classes of creditors; but that pattern of discrimination diminished over time in ways that eventually rehabilitated the reputation of federal paper money as a store of value.

The Rosenberg Institute of Global Finance seeks to analyze and anticipate major trends in global ... more The Rosenberg Institute of Global Finance seeks to analyze and anticipate major trends in global financial markets, institutions, and regulations, and to develop the information and ideas required to solve emerging problems. It focuses on the policy implications of economic globalization. The Institute, founded in 2002, is named for Barbara C. Rosenberg '54

Journal of Monetary Economics, 1996

This paper presents and estimates a variant of Hansen and Sargent's (1988) real business cycle mo... more This paper presents and estimates a variant of Hansen and Sargent's (1988) real business cycle model with straight time and overtime. The model presented has only one latent variable, the state of technology, yet it does as good a job propagating and magnifying shocks as labor hoarding models which incorporate unobserved effort. This paper also finds that the implied effort series of labor hoarding models displays a high coherence with U.S. overtime data at business cycle frequencies. This supports the view that effort is procyclical. 1 I n t r o d u c t i o n This paper estimates a dynamic general equilibrium real business cycle model of the U.S. economy incorporating straight time and overtime. This model is a hybrid of Hansen and Sargent's (1988) model with straight time and overtime and Burnside, Eichenbaum and Rebelo's (1993) labor hoarding model. This model is studied along with an estimated version of Burnside, Eichenbaum and Rebelo's model. The two models are analyzed to answer two questions. First, how do different assumptions about laoor market rigidities effect the real business cycle model's ability to propagate and magnify shocks? Second, does the unobservable time series effort implied by the labor hoarding models make sense?

Journal of Econometrics, 2020

We consider the problem of estimating stochastic processes that are endogenously sampled. We obse... more We consider the problem of estimating stochastic processes that are endogenously sampled. We observe a discrete-time stochastic process {p t } at a subset of times {t 1 ,. .. ,t n } that depend on the outcome of a probabilistic sampling rule that depends on the history of the process as well as other observed covariates x t. We focus on a particular example where p t is the daily wholesale price of a standardized steel product. The endogenous sampling problem arises from the fact that the firm only records p t on the days that it purchases steel. We present a parametric analysis of this problem under the assumption that the timing of steel purchases is part of an optimal trading strategy that maximizes expected discounted profits. We show that estimation of this model is both tractable and simple using the method of simulated moments (MSM) where censored simulations of the price process are used instead of high dimensional numerical integration of a likelihood function. We use the MSM estimator to estimate a truncated lognormal AR(1) model of the wholesale price processes for particular types of steel plate but find the model is rejected by specification tests. We provide evidence that suggests that one reason for this rejection may be that one of the key assumptions underlying our model is invalid, namely that the firm we study maximizes expected discounted profits.

This paper studies the econometric problems associated with estimation of a stochastic process th... more This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {pt} that is observed only at a subset of times {t1,..., tn} that depend on the outcome of a probabilistic sampling rule that depends on the history of the process as well as other observed covariates xt. We focus on a particular example where pt denotes the daily wholesale price of a standardized steel product. However there are no formal exchanges or centralized markets where steel is traded and pt can be observed. Instead nearly all steel transaction prices are a result of private bilateral negotiations between buyers and sellers, typically intermediated by middlemen known as steel service centers. Even though there is no central record of daily transactions prices in the steel market, we do observe transaction prices for a particular firm-a steel service center that purchases large quantities of steel in the wholesale market for subsequent resale in the retail market. The endogenous sampling problem arises from the fact that the firm only records pt on the days that it purchases steel. We present a parametric analysis of this problem under the assumption that the timing of steel purchases is part of an optimal trading strategy that maximizes the firm's expected discounted trading profits. We derive a parametric partial information maximum likelihood (PIML) estimator that solves the endogenous sampling problem and efficiently estimates the unknown parameters of a Markov transition probability that determines the law of motion for the underlying {pt} process. The PIML estimator also yields estimates of the structural parameters that determine the optimal trading rule. We also introduce an alternative consistent, less efficient, but computationally simpler simulated minimum distance (SMD) estimator that avoids high dimensional numerical integrations required by the PIML estimator. Using the SMD estimator, we provide estimates of a truncated lognormal AR(1) model of the wholesale price processes for particular types of steel plate. We use this to infer the share of the middleman's discounted profits that are due to markups paid by its retail customers, and the share due to price speculation. The latter measures the firm's success in forecasting steel prices and in timing its purchases in order to "buy low and sell high". The more successful the firm is in speculation (i.e. in strategically timing its purchases), the more serious are the potential biases that would result from failing to account for the endogeneity of the sampling process.

The RAND Journal of Economics, 2011

This paper studies the within-model-year pricing, production, and inventory management of new aut... more This paper studies the within-model-year pricing, production, and inventory management of new automobiles. Using new monthly data on U.S. transaction prices, we document that, for the typical vehicle, prices fall over the model year at a 9.0 percent annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate an industry model for new automobiles in which inventory and pricing decisions are made simultaneously. The model predicts that automakers' build-to-stock inventory management policy substantially influences the time-series of prices and sales, accounting for four-tenths of the price decline observed over the model year.

Journal of Monetary Economics, 2000

Note: Cowles Foundation Discussion Papers are preliminary materials circulated to stimulate discu... more Note: Cowles Foundation Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply. References in publications to Discussion Papers (other than mere acknowledgment by a writer that he has access to such unpublished material) should be cleared with the author to protect the tentative character of these papers.

Journal of Applied Econometrics, 2009

We thank seminar participants at Maryland, Iowa, Yale, and the Federal Reserve Bank of San Franci... more We thank seminar participants at Maryland, Iowa, Yale, and the Federal Reserve Bank of San Francisco for many constructive comments. In particular, we thank Lanier Benkard, Eduardo Engel, Bill Nordhaus, John Rust and Tony Smith for helpful discussions and suggestions. George Hall gratefully acknowledges financial support from the Alfred P. Sloan Foundation. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the U.S. Bureau of Economic Analysis or the U.S. Department of Commerce. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

Proceedings of the National Academy of Sciences

Significance We detect common forces that impinged on US monetary and fiscal policies during two ... more Significance We detect common forces that impinged on US monetary and fiscal policies during two 20th century world wars and now during the War on COVID-19 and then compare government and market responses to these forces. The US government had to finance large wartime surges in its expenditures by taxing, borrowing, or printing money. We document and interpret consequences of the choices that the government made in these three world wars.

Damji for excellent research assistance. Bálint Sz˝ oke wrote Python code to estimate the term st... more Damji for excellent research assistance. Bálint Sz˝ oke wrote Python code to estimate the term structure of yields on Treasury bonds, and Jonathan Payne wrote Python code to organize the bond price data.

We estimate a dynamic profit-maximization model of a fish wholesaler who can observe consumer cha... more We estimate a dynamic profit-maximization model of a fish wholesaler who can observe consumer characteristics, set individual prices, and thus engage in third-degree price discrimination. Simulated prices and quantities from the model exhibit the key features observed in a set of high quality transaction-level data on fish sales collected at the Fulton fish market. The model's predictions are then compared to the case in which the dealer must post a single price to all customers. We find the cost to the dealer of posting a uniform price to be extremely small.