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作者：Spulber, DF
摘要：A model of market making by firms with heterogeneous consumers, suppliers and price-setting intermediaries is examined. Consumers and suppliers engage in time-consuming search for the best price and discount future returns. There exists a unique symmetric equilibrium pricing strategy. In equilibrium, there are non-degenerate distributions of ask and bid prices that straddle the Walrasian price. As the discount rate goes to zero, the ranges of the bid and ask prices, and the total output approa...
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作者：Hopenhayn, HA; Muniagurria, ME
作者单位：Pompeu Fabra University; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper explores the effect of policy variability (or frequency of regime switching) on economic growth and welfare. We study a one-sector growth model where investment can be subsidized at either a positive rate or not subsidized at all. We find that the lack of persistence in policies per se need not be welfare reducing and that it is likely to decrease growth. Higher variability implies more frequent changes in consumption and investment. But, by creating a stronger intertemporal link ac...
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作者：Timmermann, A
作者单位：Centre for Economic Policy Research - UK
摘要：To what extent can agents' learning and incomplete information about the ''true'' underlying model generating stock returns explain findings of excess volatility and predictability of returns in the stock market? In this paper we analyse two models of recursive learning in the stock market when dividends follow a (trend-)stationary autoregressive process. The asymptotic convergence properties of the models are characterized and we decompose the variation in stock prices into rational expectati...
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作者：Kocherlakota, NR
摘要：Consumption data generally indicates that consumption risk is not perfectly diversified across individuals. This paper considers if and when imperfect diversification is a feature of efficient allocations in a symmetric information environment without commitment. It shows that if individuals are sufficiently patient, imperfect diversification is always sub-optimal in the long run; however, if individuals are not so patient, imperfect diversification is always optimal. The paper goes on to demo...
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作者：Jun, BY; Vives, X
作者单位：Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE)
摘要：Convergence to a full-information equilibrium (FIE) in the presence of persistent shocks and asymmetric information about an unknown payoff-relevant parameter theta is established in a classical infinite-horizon partial equilibrium linear model. It is found that, under the usual stability assumptions on the autoregressive process of shocks, convergence occurs at the rate n(-1/2), where n is the number of rounds of trade, and that the asymptotic variance of the discrepancy of the full-informati...
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作者：Shi, SY
摘要：This paper examines the competition between money and credit in a search model with divisible commodities. It is shown that fiat money can be valuable even though it yields a lower rate of return than the coexisting credit. The competition between money and credit increases efficiency. The monetary equilibrium with credit Pareto dominates the monetary equilibrium without credit whenever the two coexist. When a credit is repaid with money, the competition also bounds the purchasing power of mon...
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作者：Abel, AB; Eberly, JC
作者单位：National Bureau of Economic Research
摘要：Investment is characterized by costly reversibility when a firm can purchase capital at a given price and sell capital at a lower price. We solve for the optimal investment of a firm that faces costly reversibility under uncertainty and we extend the Jorgensonian concept of the user cost of capital to this case. We define and calculate c(V) and c(L) as the user costs of capital associated with the purchase and sale of capital, respectively. Optimality requires the firm to purchase and sell cap...
