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作者：Dokumaci, Emin; Sandholm, William H.
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
摘要：We consider a discrete choice model in which the payoffs to each of an agent's n actions are subjected to the average of In i.i.d. shocks, and use tools from large deviations theory to characterize the rate of decay of the probability of choosing a given suboptimal action as m approaches infinity. Our model includes the multinomial probit model of Myatt and Wallace (2003) 1511 as a special case. We show that their formula describing the rates of decay of choice probabilities is incorrect, prov...
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作者：Berentsen, Aleksander; Waller, Christopher
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of Basel; University of Notre Dame
摘要：When agents are liquidity constrained, two options exist sell assets or borrow. We compare the allocations arising in two economies: in one, agents can sell government (outside) bonds and in the other they can borrow by issuing (inside) bonds. All transactions are voluntary, implying no taxation or forced redemption of private debt. We show that any allocation in the economy with inside bonds can be replicated in the economy with outside bonds but that the converse is not true. However, the op...
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作者：Sanches, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We study the terms of credit in a competitive market in which sellers (lenders) are willing to repeatedly finance the purchases of buyers (borrowers) by engaging in a credit relationship. The key frictions are: (i) the lender cannot observe the borrower's ability to repay a loan; (ii) the borrower cannot commit to any long-term contract; (iii) it is costly for the lender to contact a borrower and to walk away from a contract; and (iv) transactions within each credit relationship are not public...
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作者：Weintraub, Gabriel Y.; Benkard, C. Lanier; Van Roy, Benjamin
作者单位：Columbia University; Yale University; National Bureau of Economic Research; Stanford University; Stanford University
摘要：This paper explores the connection between three important threads of economic research offering different approaches to studying the dynamics of an industry with heterogeneous firms. Finite models of the form pioneered by Ericson and Pakes (1995) capture the dynamics of a finite number of heterogeneous firms as they compete in an industry, and are typically analyzed using the concept of Markov perfect equilibrium (MPE). Infinite models of the form pioneered by Hopenhayn (1992), on the other h...
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作者：Engelage, Daniel
作者单位：University of Bonn
摘要：We solve optimal stopping problems in uncertain environments for agents assessing utility by virtue of dynamic variational preferences as in Maccheroni, Marinacci and Rustichini (2006) [16] or, equivalently, assessing risk in terms of dynamic convex risk measures as in Cheridito, Delbaen and Kupper (2006) [4]. The solution is achieved by generalizing the approach in Riedel (2009) [21] introducing the concept of variational supemiartingales and variational Snell envelopes with an accompanying t...
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作者：Chen, An; Pelsser, Antoon; Vellekoop, Michel
作者单位：University of Bonn; Maastricht University; University of Amsterdam
摘要：We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk averse for very low values of wealth. The class contains the well-known exponential and power utility functions as limiting cases. We investigate the optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual optimization methods. ...
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作者：Bierbrauer, Felix J.
作者单位：University of Cologne
摘要：The Mirrleesian model of income taxation restricts attention to simple allocation mechanism with no strategic interdependence, i.e., the optimal labor supply of any one individual does not depend on the labor supply of others. It has been argued by Piketty (2009) [121 that this restriction is substantial because more sophisticated mechanisms can reach first-best allocations that are out of reach with simple mechanisms. In this paper, we assess the validity of Piketty's critique in an independe...
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作者：Hoerner, Johannes; Lovo, Stefano; Tomala, Tristan
作者单位：Yale University; Hautes Etudes Commerciales (HEC) Paris
摘要：We generalize the results of Homer and Lovo (2009) [15] to N-player games with arbitrary information structure. First, we characterize the set of belief-free equilibrium payoffs under low discounting as the set of feasible payoffs that are individually rational, jointly rational, and incentive compatible. Second, we provide necessary and sufficient conditions on the information structure for this set to be non-empty. (C) 2011 Elsevier Inc. All rights reserved.
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作者：Diaz, Antonia; Perera-Tallo, Fernando
作者单位：Universidad Carlos III de Madrid; Universidad de la Laguna
摘要：In this paper we study the effects of monetary policy on privately supplied credit in model economies where money is needed for transaction purposes and agents who default on their loans cannot participate in the credit market but are allowed to accumulate money. In our deterministic benchmark economy where agents alternate in productivity, credit has the role of smoothing consumption. We show that deflation crowds out credit completely. The reason is that deflation increases the value of bein...
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作者：Golman, Russell
作者单位：University of Michigan System; University of Michigan
摘要：This paper introduces a model of quantal response equilibrium with heterogeneous agents and demonstrates the existence of a representative agent for such populations. Except in rare cases, the representative agent's noise terms cannot be independently and identically distributed across the set of actions, even if that is assumed for the individual agents. This result demonstrates a fundamental difference between a representative agent and truly heterogeneous quantal responders and suggests tha...
