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作者：Egan, Mark; MacKay, Alexander; Yang, Hanbin
作者单位：Harvard University; National Bureau of Economic Research
摘要：We use a revealed-preference approach to estimate investor expectations of stock market returns. Using data on demand for index funds that followthe S&P 500, we develop and estimate a model of investor choice to flexibly recover the time-varying distribution of expected future returns across investors. Our analysis is facilitated by the prevalence of leveraged funds that track the same underlying asset: by choosing between higher and lower leverage, investors trade off higher return against le...
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作者：Bethune, Zachary; Sultanum, Bruno; Trachter, Nicholas
作者单位：University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We build a theory of financial intermediation based on the premise that some investors are better able to figure out the trade motives of their counterparties in bilateral meetings-screening experts. We solve for the equilibrium market structure and study how information asymmetries stemming from heterogeneity in screening expertise shape up the core-periphery trade structure. In particular, the core of the market is populated by screening experts: they have the largest share of trade volume, ...
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作者：Shapiro, Adam Hale; Wilson, Daniel J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We propose a new approach to estimating central bank preferences, including the implicit inflation target, that requires no priors on the underlying macroeconomic structure nor observation of monetary policy actions. Our approach entails directly estimating the central bank's objective function from the sentiment expressed by policymakers in their internal meetings. We apply the approach to the objective function of the U.S. Federal Open Market Committee (FOMC). The results challenge two key a...
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作者：Drenik, Andres; Kirpalani, Rishabh; Perez, Diego J.
作者单位：University of Texas System; University of Texas Austin; University of Wisconsin System; University of Wisconsin Madison; New York University; National Bureau of Economic Research
摘要：We study the interaction between the currency choice of private domestic contracts and optimal monetary policy. The optimal currency choice depends on the price risk of each currency, as well as on the covariance of its price and the relative consumption needs of the agents signing the contract. When a larger share of contracts is denominated in local currency, the government can use inflation more effectively to either redistribute resources or reduce default costs, which makes local currency...
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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：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：Morris, Stephen; Yang, Ming
作者单位：Massachusetts Institute of Technology (MIT); University of London; University College London
摘要：Players receive a return to investment that is increasing in the proportion of others who invest and the state and incur a small cost for acquiring information about the state. Their information is reflected in a stochastic choice rule, specifying the probability of a signal leading to investment. If discontinuous stochastic choice rules are infinitely costly, there is a unique equilibrium as costs become small, in which actions are a best response to a uniform (Laplacian) belief over the prop...
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作者：Gershkov, Alex; Moldovanu, Benny; Strack, Philipp; Zhang, Mengxi
作者单位：Hebrew University of Jerusalem; Hebrew University of Jerusalem; University of Surrey; University of Bonn; Yale University
摘要：We study auction design for bidders equipped with non-expected utility preferences that exhibit constant risk aversion (CRA). The CRA class is large and includes loss-averse, disappointment-averse, mean-dispersion, and Yaari's dual preferences as well as coherent and convex risk measures. Any preference in this class displays first-order risk aversion, contrasting the standard expected utility case which displays second-order risk aversion. The optimal mechanism offers full-insurance in the s...
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作者：Dahl, Gordon B.; Felfe, Christina; Frijters, Paul; Rainer, Helmut
作者单位：National Bureau of Economic Research; University of California System; University of California San Diego; Leibniz Association; Ifo Institut; University of Wurzburg; University of London; London School Economics & Political Science; Prince Mohammed Bin Salman College of Business & Entrepreneurship; University of Munich; Leibniz Association; Ifo Institut
摘要：What happens when immigrant girls are given increased opportunities to integrate into the workplace and society, but their parents value more traditional cultural outcomes? We answer this question in the context of a reform which granted automatic birthright citizenship to eligible immigrant children born in Germany after 1 January 2000. Using survey data, we collected from students in 57 schools and comparing those born in the months before vs. after the reform, we find the introduction of bi...
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作者：Ambrus, Attila; Gao, Wayne; Milan, Pau
作者单位：Duke University; University of Pennsylvania; Autonomous University of Barcelona; Barcelona School of Economics
摘要：This article considers the effect of contracting limitations in risk-sharing networks, arising for example from observability, verifiability, complexity, or cultural constraints. We derive necessary and sufficient conditions for Pareto efficiency under these constraints in a general setting, and we provide an explicit characterization of Pareto efficient bilateral transfer profiles under CARA utility and normally distributed endowments. Our model predicts that network centrality is positively ...
