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作者：Quiggin, J; Chambers, RG
作者单位：University of Queensland; University System of Maryland; University of Maryland College Park; University of Western Australia
摘要：Concepts of constant absolute risk aversion and constant relative risk aversion have proved useful in the analysis of choice under uncertainty, but are quite restrictive, particularly when they are imposed jointly. A generalization of constant risk aversion, referred to as invariant risk aversion is developed. Invariant risk aversion is closely related to the possibility of representing preferences over state-contingent income vectors in terms of two parameters, the mean and a linearly homogen...
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作者：Burnside, C; Eichenbaum, M; Fisher, JDM
作者单位：Northwestern University; University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：This paper investigates the response of hours worked and real wages to fiscal policy shocks in the post-World-War 11 US. We identify these shocks with exogenous changes in military purchases and argue that they lead to a persistent increase in government purchases and tax rates on capital and labor income, and a persistent rise in aggregate hours worked as well as declines in real wages. The shocks are also associated with short lived rises in aggregate investment and small movements in privat...
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作者：Aghion, P; Bacchetta, P; Banerjee, A
作者单位：Study Center Gerzensee; Harvard University; University of Lausanne; Massachusetts Institute of Technology (MIT)
摘要：This paper presents a general equilibrium currency crisis model of the 'third generation', in which the possibility of currency crises is driven by the interplay between private firms' credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features (i) ex post deviations from purchasing power parity; (ii) credit constraints a la Berna...
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作者：Gomberg, A
作者单位：Instituto Tecnologico Autonomo de Mexico; Instituto Tecnologico Autonomo de Mexico
摘要：This paper analyzes a general model of an economy with heterogeneous individuals choosing among two jurisdictions, such as towns or political parties. Each jurisdiction is described by its constitution, where a constitution is defined as a mapping from all possible population partitions into the (possibly multidimensional) policy space. This study is the first to establish sufficient conditions for existence of sorting equilibria in a two-jurisdiction model for a policy space of an arbitrary d...
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作者：Heathcote, J; Perri, F
作者单位：New York University; Georgetown University
摘要：Over the period 1972-1986, the US business cycle was strongly correlated with the business cycle in the rest of the industrialized world. Over the period 1986-2000, international co-movement was much weaker (real regionalization). At the same time, US international asset trade has increased significantly (financial globalization). We first document these phenomena in detail and then argue that they are related. In particular, we present a model in which financial globalization occurs endogenou...
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作者：Dubra, J; Maccheroni, F; Ok, EA
作者单位：New York University; Universidad de Montevideo; Bocconi University
摘要：We study the problem of obtaining an expected utility representation for a potentially incomplete preference relation over lotteries by means of a set of von Neumann-Morgenstern utility functions. It is shown that, when the prize space is a compact metric space, a preference relation admits such a multi-utility representation provided that it satisfies the standard axioms of expected utility theory. Moreover, the representing set of utilities is unique in a well-defined sense. (C) 2003 Elsevie...
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作者：Gerardi, D
作者单位：Yale University
摘要：We study the effects of adding unmediated communication to static, finite games of complete and incomplete information. We characterize S-U (G), the set of outcomes of a game G, that are induced by sequential equilibria of cheap talk extensions. A cheap talk extension of G is an extensive-form game in which players communicate before playing G. A reliable mediator is not available and players exchange private or public messages that do not affect directly their payoffs. We first show that if G...
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作者：Herings, PJJ; Peeters, RJAP
作者单位：Maastricht University
摘要：This paper introduces an algorithm to compute stationary equilibria in stochastic games that is guaranteed to converge for almost all such games. Since in general the number of stationary equilibria is overwhelming, we pay attention to the issue of equilibrium selection. We do this by extending the linear tracing procedure to the class of stochastic games, called the stochastic tracing procedure. As a by-product of our results, we extend a recent result on the generic finiteness of stationary ...
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作者：Bliss, C
作者单位：University of Oxford
摘要：Stiglitz (Econometrica 37 (1969) 382) shows income convergence in a many-agent Solow growth model with integrated capital markets (ICM). The many-agent Ramsey model (MARM) without ICM also gives income convergence. With a. MARM, equal discount rates, and ICM, convergence of incomes (as opposed to product per capita) cannot occur. These results depend upon fixed saving propensities (Stiglitz) or separable additive preferences (Ramsey). Non-convergence of incomes is shown when preferences are id...
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作者：Cass, D; Pavlova, A
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：In this paper we contrast the main workhorse model in asset pricing theory, the Lucas (1978) tree model (LT-Model), to a benchmark model in financial equilibrium theory, the real assets model (RA-Model). It is commonly believed that the two models entail similar conclusions since the LT-Model is a special case of the RA-Model. But this is simply wrong: implications of these models can be strikingly at odds. Indeed, under the widely used log-linear specification of households' preferences, we s...
