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作者：Herings, P. Jean-Jacques
作者单位：Maastricht University
摘要：The paper considers a matching with contracts model in the presence of price controls. The model contains two important streams in the matching literature, those with and those without monetary transfers, as special cases. An adjustment process that ends with a stable outcome is presented. The paper presents a notion of competitive equilibrium, called Dreze equilibrium, and shows Dreze equilibrium allocations to be equivalent to allocations induced by stable outcomes. We therefore have an equi...
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作者：Yu, Edison G.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：This paper studies information aggregation in financial markets with recurrent investor exit and entry. I consider a dynamic general equilibrium model of asset trading with private information and collateral constraints. Investors differ in their aversion to Knightian uncertainty: When uncertainty is high, some investors exit the market. Since exiting investors' information is not fully revealed by prices, conditional return volatility and risk premia both increase. The model also implies that...
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作者：Macera, Rosario
作者单位：Universidad de los Andes - Chile
摘要：This paper studies the intertemporal allocation of incentives in a repeated moral hazard model where the loss averse agent experiences today utility from changes in their expectations about present and future wages and effort. In contrast to the standard prediction, under mild restrictions over the utility function, uncertainty is fully deferred into future payments allowing the principal to pay fixed wages. Although the intertemporal allocation of incentives is nonstandard, the optimal contra...
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作者：Balbus, Lukasz; Reffett, Kevin; Wozny, Lukasz
作者单位：University of Zielona Gora; Arizona State University; Arizona State University-Tempe; Warsaw School of Economics
摘要：We give a set of sufficient conditions for uniqueness of a time-consistent stationary Markov consumption policy for a quasi-hyperbolic household under uncertainty. To the best of our knowledge, this uniqueness result is the first presented in the literature for general settings, i.e. under standard assumptions on preferences, as well as some new condition on a transition probability. This paper advocates a generalized Bellman equation method to overcome some predicaments of the known methods a...
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作者：Bidder, R. M.; Smith, M. E.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Consumption-based asset-pricing models have experienced success in recent years by augmenting the consumption process in 'exotic' ways. Two notable examples are the Long-Run Risk and rare disaster frameworks. Such models are difficult to characterize from consumption data alone. Accordingly, concerns have been raised regarding their specification. Acknowledging that both phenomena are naturally subject to ambiguity, we show that an ambiguity-averse agent may behave as if Long-Run Risk and disa...
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作者：Liu, Feng; Conlon, John R.
作者单位：University of Mississippi
摘要：We show that there exist models with rational agents, three periods, and five states of the world, which have a strong bubble in one of these states. However, no finite-horizon rational strong bubble model, with standard Walrasian markets, can have fewer than five states. (C) 2018 Elsevier Inc. All rights reserved.
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作者：Verdier, Thierry; Zenou, Yves
作者单位：Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Monash University
摘要：This paper studies the population dynamics of cultural traits in a model of intergenerational cultural transmission with a perfectly-forward looking cultural leader. We show that there exists a threshold size in terms of population above which the cultural leader becomes active. We also show that a policy affecting some key parameters (such as the cost of providing the religious good) has a different impact in the short run and in the long run due to over-reactions or under-reactions of the di...
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作者：Huang, Ji
作者单位：Chinese University of Hong Kong
摘要：This paper incorporates shadow banking modeled as off-balance-sheet financing in a continuous-time macro-finance framework. Regular banks pursue regulatory arbitrage via shadow banking, and they support their shadow banks with implicit guarantees. We show that an enforcement problem with implicit guarantees gives rise to an endogenous constraint on leverage for shadow banking. Our model captures that shadow banking is pro-cyclical and that shadow banking increases endogenous risk. Tightening b...
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作者：Nocke, Volker; Rey, Patrick
作者单位：University of California System; University of California Los Angeles; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We develop a model of interlocking bilateral relationships between upstream firms (manufacturers) that produce differentiated goods and downstream firms (retailers) that compete imperfectly for consumers. Contract offers and acceptance decisions are private information to the contracting parties. We show that both exclusive dealing and vertical integration between a manufacturer and a retailer lead to vertical foreclosure, to the detriment of consumers and society. Finally, we show that firms ...
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作者：Song, Yangwei
作者单位：Humboldt University of Berlin
摘要：We consider a single object allocation problem with multidimensional signals and interdependent valuations. When agents' signals are statistically independent, Jehiel and Moldovanu (2001) show that efficient and Bayesian incentive compatible mechanisms generally do not exist. In this paper, we extend the standard model to accommodate maxmin agents and obtain necessary as well as sufficient conditions under which efficient allocations can be implemented. In particular, we derive a condition tha...
