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作者：Weretka, Marek
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：In this paper we develop a framework to study markets with heterogeneous atomic traders. The competitive model is augmented as we provide traders with correct beliefs about their price impacts to define equilibrium with endogenously determined market power and show that such equilibrium exists in economies with smooth utility and cost functions and is generically determinate. Traders' price impacts depend positively on the convexity of preferences or cost functions of the trading partners and ...
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作者：Grochulski, Borys; Zhang, Yuzhe
作者单位：University of Iowa; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We study a continuous-time version of the optimal risk-sharing problem with one-sided commitment. In the optimal contract, the agent's consumption is a time-invariant, strictly increasing function of a single state variable: the maximal level of the agent's income realized to date. We characterize this function in terms of the agent's outside option value function and the discounted amount of time in which the agent's income process is expected to reach a new to-date maximum. Under constant re...
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作者：Bergemann, Dirk; Schlag, Karl
作者单位：Yale University; University of Vienna
摘要：We consider a robust version of the classic problem of optimal monopoly pricing with incomplete information. In the robust version, the seller faces model uncertainty and only knows that the true demand distribution is in the neighborhood of a given model distribution. We characterize the pricing policies under two distinct decision criteria with multiple priors: (i) maximin utility and (ii) minimax regret. The equilibrium price under either criterion is lower then in the absence of uncertaint...
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作者：Franco, April Mitchell; Mitchell, Matthew; Vereshchagina, Galina
作者单位：University of Toronto; University of Toronto; University Toronto Scarborough; Arizona State University; Arizona State University-Tempe
摘要：This paper studies the relationship between moral hazard and the matching structure of teams. We show that team incentive problems may generate monotone matching predictions in the absence of complementarities in the production technology. Second, we analyze how complementarity in the underlying technology affects the matching predictions arising due to moral hazard. We find that (i) even when the production technology is strongly complementary, the incentive problem may lead to formation of n...
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作者：Kunimoto, Takashi; Serrano, Roberto
作者单位：Hitotsubashi University; McGill University; Universite de Montreal; Brown University
摘要：We uncover a new necessary condition for implementation in iteratively undominated strategies by mechanisms that satisfy the best element property where for each agent, there exists a strategy profile that gives him the highest payoff in the mechanism. This class includes finite and regular mechanisms. We conclude that either the quasilinearity-like assumptions of available sufficiency results cannot be completely dispensed with or some mechanisms that do not satisfy the hest element property ...
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作者：Oprea, Ryan; Henwood, Keith; Friedman, Daniel
作者单位：University of California System; University of California Santa Cruz; University of Chicago
摘要：Human players in our laboratory experiment received flow payoffs over 120 seconds each period from a standard Hawk Dove bimatrix game played in continuous time. Play converged closely to the symmetric mixed Nash equilibrium under a one-population matching protocol. When the same players were matched in a two-population protocol with the same bimatrix, they showed clear movement towards an asymmetric (and very inequitable) pure Nash equilibrium of the game. These findings support distinctive pr...
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作者：Ozsoylev, Han N.; Walden, Johan
作者单位：University of Oxford; University of California System; University of California Berkeley
摘要：We study asset pricing in economies with large information networks. We focus on networks that are sparse and have power law degree distributions, in line with empirical studies of large scale social networks. Our theoretical framework yields a rich set of novel asset pricing implications. We derive closed form expressions for price, volatility, profitability and trading volume, as functions of the network topology. We also study agent welfare and show that the network that optimizes total wel...
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作者：Lagos, Ricardo; Rocheteau, Guillaume; Weill, Pierre-Olivier
作者单位：University of California System; University of California Los Angeles; New York University; National Bureau of Economic Research; University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：We study the efficiency of liquidity provision by dealers and the desirability of policy intervention in over-the-counter (OTC) markets during crises. We emphasizes two OTC frictions: finding counterparties takes time, and trade is bilateral and involves bargaining. We model a crisis as a shock that reduces investors' asset demands, lasting until a random recovery time. In this context, dealers can provide liquidity to investors by accumulating asset inventories. When OTC frictions are severe,...
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作者：Magdalou, Brice; Nock, Richard
摘要：Inequality indices evaluate the divergence between the income distribution and the hypothetical situation where all individuals receive the mean income, and are unambiguously reduced by a Pigou-Dalton progressive transfer. This paper proposes a new approach to evaluate the divergence between any two income distributions, where the latter can be a reference distribution for the former. In the case where the reference distribution is perfectly egalitarian - and uniquely in this case - we assume ...
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作者：Mossay, P.; Picard, P. M.
作者单位：University of Luxembourg; University of Reading; Universite Catholique Louvain
摘要：Social interactions are at the essence of societies and explain the gathering of individuals in villages, agglomerations, or cities. We study the emergence of multiple agglomerations as resulting from the interplay between spatial interaction externalities and competition in the land market. We show that the geography of the spatial economy affects significantly the properties of spatial equilibria. In particular, when agents locate on an open land strip (line segment), a single city emerges i...
