-
作者：Reis, Ricardo
作者单位：Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：I present and solve the problem of a producer who faces costs of acquiring, absorbing, and processing information. I establish a series of theoretical results describing the producer's behaviour. First, I find the conditions under which the producer prefers to set a plan for the price he or she charges, or instead prefers to set a plan for the quantity he or she sells. Second, I show that the agent rationally chooses to be inattentive to news, only sporadically updating his or her information....
-
作者：Hungerbuhler, Mathias; Lehmann, Etienne; Parmentier, Alexis; Van Der Linden, Bruno
作者单位：University of Namur; Universite Catholique Louvain; Universite Catholique Louvain; Universite Catholique Louvain
摘要：This paper characterizes optimal non-linear income taxation in an economy with a continuum of unobservable productivity levels and endogenous involuntary unemployment due to frictions in the labour markets. Redistributive taxation distorts labour demand and wages. Compared to their efficient values, gross wages, unemployment, and participation are lower. Average tax rates are increasing. Marginal tax rates are positive, even at the top. Finally, numerical simulations suggest that redistributio...
-
作者：Bolton, Patrick; Scheinkman, Jose; Xiong, Wei
作者单位：Columbia University; Princeton University
摘要：We present a multiperiod agency model of stock-based executive compensation in a speculative stock market, where investors have heterogeneous beliefs and stock prices may deviate from underlying fundamentals and include a speculative option component. This component arises from the option to sell the stock in the future to potentially overoptimistic investors. We show that optimal compensation contracts may emphasize short-term stock performance, at the expense of long-run fundamental value, a...
-
作者：Veldkamp, Laura L.
作者单位：New York University
摘要：Traditional asset pricing models predict that covariance between prices of different assets should be lower than what we observe in the data. This paper introduces markets for information that generate high price covariance within a rational expectations framework. When information is costly, rational investors only buy information about a subset of the assets. Because information production has high fixed costs, competitive producers charge more for low-demand information than for high-demand...
-
作者：Corradi, Valentina; Distaso, Walter
作者单位：University of London; Queen Mary University London; Imperial College London
摘要：This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis. We first provide primitive conditions on the measurement error associated with the realized measure, which allow to construct ...
-
作者：Au, Chun-Chung; Henderson, J. Vernon
作者单位：Brown University
摘要：This paper models and estimates net urban agglomeration economies for cities. Economic models of cities postulate an inverted U shape of real income per worker against city employment, where the inverted U shifts with industrial composition across the urban hierarchy of cities. This relationship has never been estimated, in part because of data requirements. China has the necessary data and context. We find that urban agglomeration benefits are high-real incomes per worker rise sharply with in...
-
作者：Gourinchas, Pierre-Olivier; Jeanne, Olivier
作者单位：National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR)
摘要：Standard theoretical arguments tell us that countries with relatively little capital benefit from financial integration as foreign capital flows in and speeds up the process of convergence. We show in a calibrated neoclassical model that conventionally measured welfare gains from this type of convergence appear relatively limited for the typical emerging market country. The welfare gain from switching from financial autarky to perfect capital mobility is roughly equivalent to a 1% permanent in...
