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作者：Krishnamurthy, A
作者单位：Northwestern University
摘要：Kiyotaki and Moore (J. Polit. Economy 105 (1997) 211) have offered a theory for how common shocks to credit-constrained firms are amplified through changes in collateral values and transmitted as fluctuations in output. I clarify and extend their model by showing that their collateral amplification mechanism is not robust to the introduction of markets that allow these firms to hedge against common shocks. A theory of incomplete hedging is proposed in which the supply of hedging available in t...
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作者：Sugden, R
作者单位：University of East Anglia
摘要：A reference-dependent generalisation of subjective expected utility theory is presented. In this theory, preferences between acts depend both on final outcomes and on reference points (which may be uncertain acts). It is characterised by a set of axioms in a Savage-style framework. A restricted form of the theory separates attitudes to end states (encoded in a,satisfaction function') from attitudes to gains and losses of satisfaction. Given weak additional assumptions, the restricted theory ex...
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作者：Fisher, FM
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Social welfare evaluation depends in part on value judgments as to income distribution. This paper proposes a metric for assessing the goodness of particular income distributions. That metric is then used to examine the effect of price changes on the goodness of a given distribution. Consider an increase in the price of a commodity that is disproportionately consumed by households with incomes that are high relative to the preferred income distribution. One naturally supposes that such a price...
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作者：Khan, MA; Sun, YN
作者单位：Johns Hopkins University; National University of Singapore; National University of Singapore; National University of Singapore
摘要：For a market with an atomless continuum of assets, we formulate the intuitive idea of a well-diversified portfolio, and present a notion of exact arbitrage, strictly weaker than the more conventional notion of asymptotic arbitrage, and necessary and sufficient for the validity of an APT pricing formula. Our formula involves essential risk, one based on a specific index portfolio constructed from factors and factor loadings that are endogenously extracted to satisfy an optimality property invol...
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作者：Fieseler, K; Kittsteiner, T; Moldovanu, B
作者单位：University of Bonn; University of Oxford
摘要：We analyze the possibility of efficient trade with informationally interdependent valuations and with a dispersed ownership. A main role is played by the effects of adverse selection on incentive payments and budget constraints. Variations in the degree of interdependence directly influence the incentive payments and ultimately lead to a tightening or relaxation of the budget constraint, thus affecting the ability to achieve efficient trade. We derive precise possibility conditions for efficie...
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作者：Koessler, F
作者单位：Centre National de la Recherche Scientifique (CNRS); CY Cergy Paris Universite
摘要：Shin (J. Econom. Theory 64 (1994) 253-264) showed that a perfectly revealing equilibrium fails to exist in persuasion games when the decision maker is uncertain about the interested party's payoff-relevant information. By explicitly integrating higher-order uncertainty into the information structure, this note shows that a perfectly revealing equilibrium does exist when disclosures are not restrained to intervals of the payoff-relevant state space. (C) 2003 Elsevier Science (USA). All rights r...
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作者：Radner, R; Ray, D
作者单位：New York University
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作者：Cooper, DJ; Van Huyck, JB
作者单位：University System of Ohio; Case Western Reserve University; Texas A&M University System; Texas A&M University College Station
摘要：Our experiment tests whether strategically equivalent representations of games produce equivalent behavior when actually played. We examine representative members of the class of generic 2 x 2 extensive form games of perfect information and the equivalent strategic form games. Systematic differences exist between subjects' choices in the strategic and extensive form representations. These differences cannot be attributed to differences in subjects' ability to do backwards induction, in the sal...
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作者：Gaudet, G; Salant, SW
作者单位：Universite de Montreal; Universite de Montreal; University of Michigan System; University of Michigan
摘要：Analyses of trade quotas typically assume that the quota restricts the flow of some nondurable good. Many real-world quotas, however, restrict the stock of durable imports. We consider the cases where (1) anyone is free to export against such quotas and where (2) only those allocated portions of the total quota are free to export against such quotas. Recent econometric investigations of such quotas have focused on the price of the durable as an indicator of tightness induced by the quota. We s...
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作者：Kocherlakota, NR
作者单位：Stanford University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：In this paper, I provide a possible explanation of why nominally risk-free bonds are essential in monetary economies. I argue that the role of nominal bonds is to enable agents to engage in intertemporal exchanges of money. I show that bonds can only serve this role if they are illiquid (costly to exchange for goods). Finally, I argue that in economies in which nominal bonds are essential, it is optimal for monetary policy to respond to changes in the distribution of liquidity needs. (C) 2003 ...
