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作者：Lombardo, Giovanni; Uhlig, Harald
作者单位：Bank for International Settlements (BIS); University of Chicago
摘要：Often, numerical simulations for dynamic, stochastic models in economics are needed. Kim et al. (Journal of Economic Dynamics and Control 32 2008, 3397-414) proposed pruning to deal with the challenge of generating explosive paths when employing second-order approximations. In this article, we provide a theory of pruning and formulas for pruning of any order. Our approach builds on Judd's Numerical Methods in Economics (1998), chapter 13. We provide a comparison to existing methods.
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作者：Cooper, Russell; Nikolov, Kalin
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; European Central Bank
摘要：This article studies the interaction of government debt and financial markets. This interaction, termed a diabolic loop, is driven by government choice to bail out banks and the resulting incentives for banks to hold government debt instead of self-insure through equity buffers. We highlight the role of bank equity issuance in determining whether the diabolic loop is a Nash equilibrium of the interaction between banks and the government. When equity is issued, no diabolic loop exists. In equil...
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作者：Chan, Tat; Murphy, Alvin; Wang, Li
作者单位：Washington University (WUSTL); Arizona State University; Arizona State University-Tempe; Shanghai University of Finance & Economics
摘要：We investigate the economic determinants of contract structure and entry with transfer contracts, which specify that manufacturers directly sell their products in retail stores while retailers collect sales revenue and return a transfer to the manufacturers. Using a unique data set describing entry decisions of clothing manufacturers into a retail department store, we estimate a two-sided, asymmetric-information entry model. We compare profit estimates under transfer contracts to counterfactua...
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作者：Krasnokutskaya, Elena; Li, Yiyang; Todd, Petra E.
作者单位：Johns Hopkins University; University of Pennsylvania
摘要：Chile's individual retirement pension accounts system has been a model for many countries. To limit the riskiness of pension investments, Chile required pension fund managers to deliver returns that are not more than 2% below the industry average. We develop and estimate a model of the pension investment market that allows us to study the impact of minimum return regulation. We find that the regulation leads to higher demand for risky investments, creates incentives to offer riskier portfolios...
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作者：Choi, Sekyu; Fernandez-Blanco, Javier
作者单位：University of Bristol; Autonomous University of Barcelona; Barcelona School of Economics
摘要：This article studies a competitive search model of the labor market with learning about match-specific productivity in which risk-averse workers factor present and future unemployment risks in their search decisions. We examine internally efficient equilibrium allocations in which match termination occurs only if the joint value of a worker-firm pair is negative. Internal efficiency poses a trade-off between present and future risks. Public insurance provision also affects this trade-off and, ...
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作者：Baillon, Aurelien; Emirmahmutoglu, Aysil
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tinbergen Institute
摘要：Empirical studies of ambiguity attitudes to date have focused on events of moderate likelihood. Extrapolation to rare events requires caution. In an Ellsberg-like experiment with very unlikely events, we measured ambiguity attitudes with neither assumptions on subjects' beliefs nor restrictions to specific ambiguity models. Very unlikely events were overweighted, being weighted more strongly in isolation than when part of larger events. Using latent profile analysis, we classified the subjects...
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作者：Hakimov, Rustamdjan; Kesten, Onur
作者单位：University of Lausanne; Carnegie Mellon University
摘要：A particular adaptation of Gale's top trading cycles (TTC) procedure applied to school choice, the so-called TTC mechanism, has attracted much attention both in theory and practice due to its superior efficiency and incentive features. We discuss and introduce alternative adaptations of Gale's original procedure that can offer improvements over TTC in terms of equity, along with various other distributional considerations. Instead of giving all the trading power to those students with the high...
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作者：Polanski, Arnold; Vega-Redondo, Fernando
作者单位：University of East Anglia; Bocconi University; Bocconi University
摘要：We consider an intertemporal framework where different coalitions interact repeatedly over time. Both the terms of trade and the endogenous cooperation structure are characterized, in a protocol-free manner, when: A coalition is formed with positive probability if, and only if, the shares obtained by its members weakly exceed their respective share expectations. Each matched coalition distributes the entire surplus among its members. Members of any coalition are treated symmetrically with resp...
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作者：Choi, Jay Pil; Gerlach, Heiko
作者单位：Michigan State University; Yonsei University; University of Queensland
摘要：This article develops a model of patent trolls to understand various litigation strategies employed by nonpracticing entities (NPEs). When an NPE faces multiple potential infringers who use related technologies, it can gain a credible threat to litigate even when it has no such credibility vis-a-vis any single potential infringer in isolation. This is due to an information externality generated by an early litigation outcome for subsequent litigation. Successful litigation creates an option va...
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作者：Agastya, Murali; Birulin, Oleksii
作者单位：University of Sydney
摘要：Allowing the value of an asset to depend on the ownership structure, we study ex post efficient (EPEF) dissolution of a partnership in a multidimensional independent private value (IPV) environment. The status-quo may now be an EPEF outcome. Under mild support restrictions, we show that no partnership can be dissolved. Moreover, when the restrictions fail, one can dissolve a highly skewed partnership but not the equal partnership. These results are in stark contrast to the literature that foll...
