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作者：Bansal, Ravi; Gallant, A. Ronald; Tauchen, George
作者单位：Duke University
摘要：The paper estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal and Yaron, low-frequency movements, and time-varying uncertainty in aggregate consumption growth are the key channels for understanding asset prices. In another, as typified by Campbell and Cochrane, habit formation, which gen...
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作者：Hyndman, Kyle; Ray, Debraj
作者单位：Southern Methodist University; New York University
摘要：We study coalition formation in real time, a situation in which coalition formation is intertwined with the ongoing receipt of pay-offs. Agreements are assumed to be permanently binding: They can only be altered with the full consent of existing signatories. For characteristic function games we prove that equilibrium processes-whether or not these are history dependent-must converge to efficient absorbing states. For three-player games with externalities each player has enough veto power that ...
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作者：Almazan, Andres; De Motta, Adolfo; Titman, Sheridan
作者单位：University of Texas System; University of Texas Dallas; McGill University; National Bureau of Economic Research
摘要：This paper presents a theory of location choice that draws on insights from the incomplete contracts and investment flexibility (real option) literatures. Our analysis indicates that the choice of locating within rather than away from industry clusters is influenced by the extent to which training costs are borne by firms versus employees. In addition, the uncertainty about future productivity shocks and the ability of firms to modify the scale of their operations also influence location choic...
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作者：Hornstein, Andreas; Krusell, Per; Violante, Giovanni L.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; University of Rochester; National Bureau of Economic Research; New York University
摘要：Does capital-embodied technological change play an important role in shaping labour-market outcomes? To address this question, we develop a model with vintage capital and search-matching frictions where irreversible investment in new vintages of capital creates heterogeneity in productivity among firms, matched as well as vacant. We demonstrate that capital-embodied technological change reduces labour demand and raises equilibrium unemployment and unemployment durations. In addition, the prese...
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作者：Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Duke University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：This paper shows how particle filtering facilitates likelihood-based inference in dynamic macroeconomic models. The economies can be non-linear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those characterizing preferences and technology, and to compare different economies. Both tasks can be implemented from either a classical or a Bayesian perspective. We illustrate the technique by estimating a business cycle...
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作者：Michelacci, Claudio; Lopez-Salido, David
摘要：We consider a version of the Solow growth model where technological progress can be investment specific or investment neutral. The labour market is subject to search frictions, and the existing productive units may fail to adopt the most recent technological advances. Technological progress can lead to the destruction of technologically obsolete jobs and cause unemployment. We calibrate the model to replicate the high persistence that characterizes the dynamics of firms' neutral technology and...
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作者：Miquel, Gerard Padro I.
作者单位：Stanford University; National Bureau of Economic Research
摘要：Autocrats in many developing countries have extracted enormous personal rents from power. In addition, they have imposed inefficient policies including pervasive patronage spending. I present a model in which the presence of ethnic identities and the absence of institutionalized succession processes allow the ruler to elicit support from a sizeable share of the population despite large reductions in welfare. The fear of falling under an equally inefficient and venal ruler that favours another ...
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作者：Weill, Pierre-Olivier
作者单位：University of California System; University of California Los Angeles
摘要：During financial disruptions, market makers provide liquidity by absorbing external selling pressure. They buy when the pressure is large, accumulate inventories, and sell when the pressure alleviates. This paper studies optimal dynamic liquidity provision in a theoretical market setting with large and temporary selling pressure and order-execution delays. I show that competitive market makers offer the socially optimal amount of liquidity, provided they have access to sufficient capital. If r...
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作者：Epstein, Larry G.; Schneider, Martin
作者单位：Boston University; New York University; National Bureau of Economic Research
摘要：This paper considers learning when the distinction between risk and ambiguity matters. It first describes thought experiments, dynamic variants of those provided by Ellsberg, that highlight a sense in which the Bayesian learning model is extreme-it models agents who are implausibly ambitious about what they can learn in complicated environments. The paper then provides a generalization of the Bayesian model that accommodates the intuitive choices in the thought experiments. In particular, the ...
