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Economía - Seriadas

URI permanente para esta colecciónhttp://hdl.handle.net/10906/2349

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Examinando Economía - Seriadas por Autor "Carranza Romero, Juan Esteban"

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  • Miniatura
    Ítem
    Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia
    (Universidad Icesi, 2010-09-01) Carranza Romero, Juan Esteban
    We estimate a dynamic model of mortgage default for a cohort of Colombian debtors between 1997 and 2004. We use the estimated model to study the effects on default of a class of policies that affected the evolution of mortgage balances in Colombia during the 1990's. We propose a framework for estimating dynamic behavioral models accounting for the presence of unobserved state variables that are correlated across individuals and across time periods. We extend the standard literature on the structural estimation of dynamic models by incorporating an unobserved common correlated shock that affects all individuals' static payoffs and the dynamic continuation payoffs associated with different decisions. Given a standard parametric specification the dynamic problem, we show that the aggregate shocks are identified from the variation in the observed aggregate behavior. The shocks and their transition are separately identified, provided there is enough cross-sectionavl ariation of the observeds tates.
  • Miniatura
    Ítem
    Product innovation and adoption in markert equilibrium : the case of digital cameras
    (Universidad Icesi, 2008-03-01) Carranza Romero, Juan Esteban
    This paper contains an empirical dynamic model of supply and demand in the market for digital cameras with endogenous product innovation. On the demand side, heterogeneous consumers time optimally the purchase of goods depending on the expected evolution of prices and characteristics of available cameras. On the supply side, firms introduce new camera models accounting for the dynamic value of new products and the optimal behavior of consumers. The model is estimated using data from the market for digital cameras and the estimated model replicates rich dynamic features of the data. The estimated model is used to perform counterfactual computations, which suggest that more competition or lower product introduction costs generate more product variety but lower average product quality.