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作者：Coimbra, Nuno; Rey, Helene
作者单位：European Central Bank; Bank of France; Centre for Economic Policy Research - UK; University of London; London Business School; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We develop a dynamic macroeconomic model with heterogeneous financial intermediaries and endogenous entry. Time-varying endogenous macroeconomic risk arises from the risk-shifting behaviour of the cross-section of financial intermediaries. When interest rates are high, a decrease in interest rates stimulates investment and decreases aggregate risk. In contrast, when they are low, further stimulus can increase financial instability while inducing a fall in the risk premium. In this case, there ...
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作者：Galanis, Spyros; Ioannou, Christos A.; Kotronis, Stelios
作者单位：Durham University
摘要：We study information aggregation in a dynamic trading model. We show theoretically that separable securities, introduced by Ostrovsky in the context of Expected Utility, no longer aggregate information if some traders have imprecise beliefs and are ambiguity averse. Moreover, these securities are prone to manipulation as the degree of information aggregation can be influenced by the initial price set by the uninformed market maker. These observations are also confirmed in our laboratory experi...
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作者：Barelli, Paulo; Govindan, Srihari; Wilson, Robert
作者单位：University of Rochester; Stanford University
摘要：We study an economy with traders whose payoffs are quasilinear and whose private signals are informative about an unobserved state parameter. The limit economy has infinitely many traders partitioned into a finite set of symmetry classes called types. Market mechanisms in a class that includes auctions yield the same outcome as the Walrasian rational expectations equilibrium if and only if the efficient allocation has a monotonicity property. Examples illustrate cases where they differ. Monoto...
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作者：Bonaldi, Pietro
作者单位：Carnegie Mellon University
摘要：Libor is an estimate of interbank borrowing costs computed daily from rates reported by a fixed panel of banks. Evidence suggests that banks have manipulated Libor in recent years by misreporting their borrowing costs. I estimate a strategic reporting model that identifies banks' borrowing costs as well as their motives for misreporting. The estimation places a lower bound on the value that Libor would have had if banks had truthfully reported their borrowing costs. The model is identified eve...
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作者：Ewerhart, Christian; Lareida, Julia
作者单位：University of Zurich; University of Zurich
摘要：This article studies the incentives for interim voluntary disclosure of verifiable information in probabilistic all-pay contests with two-sided incomplete information. Private information may concern marginal cost, valuations, and ability. Our main result says that, if the contest is uniformly asymmetric, then full revelation is the unique perfect Bayesian equilibrium outcome. This is so because the weakest type of the underdog reveals her type in an attempt to moderate the favourite, while th...
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作者：Casey, Gregory
作者单位：Williams College
摘要：I develop a directed technical change model of economic growth and energy efficiency in order to study the impact of climate change mitigation policies on energy use. I show that the standard Cobb-Douglas production function used in the environmental macroeconomics literature overstates the reduction in cumulative energy use that can be achieved with a given path of energy taxes. I also show that, in the model, the government combines energy taxes with research and development (R&D) policy tha...
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作者：Mennuni, Alessandro; Rubio-Ramirez, Juan F.; Stepanchuk, Serhiy
作者单位：University of Southampton; Emory University
摘要：We present a novel algorithm called Dynamic Perturbation for solving large-scale macroeconomic models. Our approach involves computing first-order Taylor expansions of the policy functions along the entire equilibrium path. This method applies to a wide range of models and offers significantly higher accuracy than traditional perturbation approaches. Remarkably, even when utilising first-order approximations, our method can effectively handle models with strong nonlinearities and occasionally ...
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作者：Blundell, Richard; Green, David A.; Jin, Wenchao
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作者：Sauvagnat, Julien; Schivardi, Fabiano
作者单位：Bocconi University; Luiss Guido Carli University
摘要：Using exhaustive administrative data on Italian social security records, we construct measures of local labour market thickness for executives that vary by industry and location. We show that firm performance is strongly and persistently affected by executive death, but only in thin local labour markets. The new executives hired after death events in thin local labour markets have lower education levels and are more likely to be replaced. These predictions are consistent with a simple model of...
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作者：Viviano, Davide
作者单位：Harvard University
摘要：This article studies the problem of optimally allocating treatments in the presence of spillover effects, using information from a (quasi-)experiment. I introduce a method that maximizes the sample analogue of average social welfare when spillovers occur. I construct semi-parametric welfare estimators with known and unknown propensity scores and cast the optimization problem into a mixed-integer linear program, which can be solved using off-the-shelf algorithms. I derive a strong set of guaran...
