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作者：Chabakauri, Georgy; Yuan, Kathy; Zachariadis, Konstantinos E.
作者单位：University of London; London School Economics & Political Science; University of London; Queen Mary University London
摘要：We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The assets can include state contingent claims such as Arrow-Debreu securities, assets with only positive payoffs, options or other derivative securities. The probabilities of states depend on an aggregate shock, which is observed only by the informed investor. We derive a three-factor CAPM with asymmetric information, establish conditions under which as...
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作者：Choudhary, M. Ali; Limodio, Nicola
作者单位：Bocconi University; Bocconi University
摘要：Banks in low-income countries face severe liquidity risk due to volatile deposits, which destabilize their funding, and dysfunctional liquidity markets, which induce expensive interbank and central bank lending. Such liquidity risk dissuades the transformation of short-term deposits into long-term loans and deters long-term investment. To validate this mechanism, we exploit a Sharia-compliant levy in Pakistan, which generates unintended and quasi-experimental variation in liquidity risk, with ...
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作者：Dugast, Jerome; Uslu, Semih; Weill, Pierre-Olivier
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine; Johns Hopkins University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Should regulators encourage the migration of trade from over-the-counter (OTC) to centralized markets? To address this question, we study a model in which banks make costly decisions to participate in an OTC market, a centralized market, or both markets at the same time. Banks differ in their ability to take large positions, what we call their trading capacity. In equilibrium, intermediate-capacity banks find it optimal to participate in the centralized market. In contrast, low- and high-capac...
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作者：Battaglini, Marco; Patacchini, Eleonora; Rainone, Edoardo
作者单位：Cornell University; European Central Bank; Bank of Italy
摘要：We present a model of endogenous network formation to recover unobserved social networks using only observable outcomes. We propose a novel equilibrium concept that allows for a sharp characterization of equilibrium behaviour and that yields a unique prediction under testable conditions. While the equilibrium is characterized by a large number of non-linear equations, we show that it can be efficiently employed to recover the networks by an appropriately designed approximate Bayesian computati...
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作者：Faber, Benjamin; Fally, Thibault
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：A growing literature has documented the role of firm heterogeneity within sectors for nominal income inequality. This article explores the implications for household price indices across the income distribution. Using detailed matched U.S. home and store scanner microdata, we present evidence that rich and poor households source their consumption differently across the firm size distribution within disaggregated product groups. We use the data to examine alternative explanations, propose a tra...
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作者：Salomao, Juliana; Varela, Liliana
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
摘要：This article develops a heterogeneous firm-dynamics model to jointly study firms' currency debt composition and investment choices. In our model, foreign currency borrowing arises from a dynamic trade-off between exposure to currency risk and growth. The model endogenously generates selection of productive firms into foreign currency borrowing. Among them, firms with high marginal product of capital use foreign loans more intensively. We assess econometrically the model's predicted pattern of ...
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作者：Sunde, Uwe; Dohmen, Thomas; Enke, Benjamin; Falk, Armin; Huffman, David; Meyerheim, Gerrit
作者单位：University of Munich; University of Bonn; Harvard University; National Bureau of Economic Research; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：This article studies the relationship between patience and comparative development through a combination of reduced-form analyses and model estimations. Based on a globally representative dataset on time preference in 76 countries, we document two sets of stylized facts. First, patience is strongly correlated with per capita income and the accumulation of physical capital, human capital, and productivity. These correlations hold across countries, sub-national regions, and individuals. Second, ...
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作者：Elsby, Michael W. L.; Gottfries, Axel
作者单位：University of Edinburgh
摘要：We devise a tractable model of firm dynamics with on-the-job search. The model admits analytical solutions for equilibrium outcomes, including quit, layoff, hiring, and vacancy-filling rates, as well as the distributions of job values, a fundamental challenge posed by the environment. Optimal labor demand takes a novel form whereby hiring firms allow their marginal product to diffuse over an interval. The evolution of the marginal product over this interval endogenously exhibits gradual mean r...
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作者：Asriyan, Vladimir; Laeven, Luc; Martin, Alberto
作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Barcelona School of Economics; European Central Bank; Centre for Economic Policy Research - UK
摘要：We develop a new theory of information production during credit booms. Entrepreneurs need credit to undertake investment projects, some of which enable them to divert resources. Lenders can protect themselves from such diversion in two ways: collateralization, and costly screening that generates durable information about projects. In equilibrium, the collateralization-screening mix depends on the value of aggregate collateral. High collateral values make it possible to reallocate resources tow...
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作者：Chade, Hector; Lindenlaub, Ilse
作者单位：Arizona State University; Arizona State University-Tempe; Yale University
摘要：We develop a model where risk-averse workers can costly invest in their skills before matching with heterogenous firms. At the investment stage, workers face multiple sources of risk. They are uncertain about how skilled they will turn out and also about their income shock realizations at the time of employment. We analyse the equilibria of two versions of the model that depend on when uncertainty resolves, which determines the available risk-sharing possibilities between workers and firms. We...
