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作者：Buera, Francisco J.; Shin, Yongseok
作者单位：Washington University (WUSTL); University of California System; University of California Los Angeles; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：We study the welfare cost of market incompleteness in a generalized Bewley model where idiosyncratic risk takes the form of entrepreneurial productivity shocks. Market incompleteness in our framework has two dimensions. First, in the Bewley tradition, only a limited set of instruments for consumption smoothing is available. Second, entrepreneurs' capital rental is subject to collateral constraints. As is well known, it is harder to self-insure against more persistent shocks, and the welfare co...
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作者：Krusell, Per; Mukoyama, Toshihiko; Smith, Anthony A., Jr.
作者单位：Yale University; National Bureau of Economic Research; University of Virginia
摘要：This paper explores asset pricing in economies where there is no direct insurance against idiosyncratic risks but other assets can be used for self-insurance, subject to exogenously-imposed borrowing limits. We analyze an endowment economy, based on Huggett (1993) [11], both with and without aggregate risk. Our main innovation is that we obtain full analytical tractability by studying the case with maximally tight borrowing constraints. We illustrate by looking at riskless bonds, equity, and t...
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作者：Marimon, Ramon; Quadrini, Vincenzo
作者单位：University of Southern California; Pompeu Fabra University; National Bureau of Economic Research
摘要：We develop a dynamic model with two-sided limited commitment to study how barriers to competition, such as restrictions to business start-up and non-competitive covenants, affect the incentive to accumulate human capital. When contracts are not enforceable, high barriers lower the outside value of 'skilled workers' and reduce the incentive to accumulate human capital. In contrast, low barriers can result in over-accumulation of human capital. This can be socially optimal if there are positive ...
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作者：Araujo, Aloisio; Novinski, Rodrigo; Pascoa, Mario R.
作者单位：Getulio Vargas Foundation; Instituto Nacional de Matematica Pura e Aplicada (IMPA); Universidade Nova de Lisboa
摘要：Wary consumers overlook gains but not losses in remote sets of dates or states. As preferences are upper but not lower Mackey semi-continuous, Bewley's (1972) [4] result on existence of equilibrium whose prices are not necessarily countably additive holds. Wariness is related to lack of myopia and to ambiguity aversion (and, therefore, to Bewley's (1986) [6] work on Knightian uncertainty). Wary infinite lived agents have weaker transversality conditions allowing them to be creditors at infinit...
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作者：Strzalecki, Tomasz; Werner, Jan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Harvard University; Princeton University
摘要：Important implications of the expected utility hypothesis and risk aversion are that if agents have the same probability belief, then consumption plans in every efficient allocation of resources under uncertainty are comonotone with the aggregate endowment, and if their beliefs are concordant, then the consumption plans are measurable with respect to the aggregate endowment. We study these two properties of efficient allocations for models of preferences that exhibit ambiguity aversion using t...
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作者：Acemoglu, Daron; Golosov, Mikhail; Tsyvinski, Aleh
作者单位：Yale University; Massachusetts Institute of Technology (MIT)
摘要：We study (constrained) Pareto efficient allocations in a dynamic production economy where the group that holds political power decides the allocation of resources. For high discount factors, the economy converges to a first-best allocation where labor supply decisions are not distorted. For low discount factors, distortions do not disappear and fluctuate over time. Most importantly, the set of sustainable first-best allocations is larger when there is less persistence in the identity of the pa...
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作者：Kilenthong, Weerachart T.; Townsend, Robert M.
作者单位：University Thai Chamber Commerce; Massachusetts Institute of Technology (MIT)
摘要：This paper studies the efficiency of competitive equilibria in environments with a moral hazard problem and unobserved states, both with retrading in ex post spot markets. The interaction between private information problems and the possibility of retrade creates an externality, unless preferences have special, restrictive properties. The externality is internalized by allowing agents to contract ex ante on market fundamentals determining the spot price or interest rate, over and above contrac...
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作者：Adam, Klaus; Marcet, Albert
作者单位：University of Mannheim; University of London; London School Economics & Political Science
摘要：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 expected utility under uncertainty given dynamically consistent subjective beliefs about the future, but agents may not be 'externally rational', i.e., may not know the true stochastic process for payoff relevant variables beyond their control. This includes future market outc...
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作者：Bewley, Truman F.
作者单位：Yale University; Yale University
摘要：An uncertainty averse Knightian decision maker has a set of probability distributions over outcomes and chooses something other than the status quo only if the change increases the expected payoff according to all the distributions. It is possible to define a standardized degree of uncertainty aversion. To each such degree, there corresponds a set of prior distributions over the parameters of a Gaussian linear regression model, these priors being centered on a uniform prior. The set of posteri...
