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作者：Elenev, Vadim; Landvoigt, Tim; Van Nieuwerburgh, Stijn
作者单位：Johns Hopkins University; University of Pennsylvania; Columbia University
摘要：How much capital should financial intermediaries hold? We propose a general equilibrium model with a financial sector that makes risky long-term loans to firms, funded by deposits from savers. Government guarantees create a role for bank capital regulation. The model captures the sharp and persistent drop in macro-economic aggregates and credit provision as well as the sharp change in credit spreads observed during financial crises. Policies requiring intermediaries to hold more capital reduce...
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作者：Brooks, Benjamin; Du, Songzi
作者单位：University of Chicago; University of California System; University of California San Diego
摘要：A profit-maximizing seller has a single unit of a good to sell. The bidders have a pure common value that is drawn from a distribution that is commonly known. The seller does not know the bidders' beliefs about the value and thinks that beliefs are designed adversarially by Nature to minimize profit. We construct a strong maxmin solution to this joint mechanism design and information design problem, consisting of a mechanism, an information structure, and an equilibrium, such that neither the ...
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作者：Baley, Isaac; Blanco, Andres
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; University of Michigan System; University of Michigan
摘要：How does an economy's capital respond to aggregate productivity shocks when firms make lumpy investments? We show that capital's transitional dynamics are structurally linked to two steady-state moments: the dispersion of capital to productivity ratios-an indicator of capital misallocation-and the covariance of capital to productivity ratios with the time elapsed since their last adjustment-an indicator of asymmetric costs of upsizing and downsizing the capital stock. We compute these two suff...
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作者：Di Tella, Sebastian; Sannikov, Yuliy
作者单位：Stanford University
摘要：We characterize optimal asset management contracts in a classic portfolio-investment setting. When the agent has access to hidden savings, his incentives to misbehave depend on his precautionary saving motive. The contract dynamically distorts the agent's access to capital to manipulate his precautionary saving motive and reduce incentives for misbehavior. We provide a sufficient condition for the validity of the first-order approach, which holds in the optimal contract: global incentive compa...
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作者：Fudenberg, Drew; Lanzani, Giacomo; Strack, Philipp
作者单位：Massachusetts Institute of Technology (MIT); Yale University
摘要：We study how an agent learns from endogenous data when their prior belief is misspecified. We show that only uniform Berk-Nash equilibria can be long-run outcomes, and that all uniformly strict Berk-Nash equilibria have an arbitrarily high probability of being the long-run outcome for some initial beliefs. When the agent believes the outcome distribution is exogenous, every uniformly strict Berk-Nash equilibrium has positive probability of being the long-run outcome for any initial belief. We ...
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作者：Azar, Jose; Vives, Xavier
作者单位：University of Navarra; University of Navarra; IESE Business School
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作者：Masten, Matthew A.; Poirier, Alexandre
作者单位：Duke University; Georgetown University
摘要：What should researchers do when their baseline model is falsified? We recommend reporting the set of parameters that are consistent with minimally nonfalsified models. We call this the falsification adaptive set (FAS). This set generalizes the standard baseline estimand to account for possible falsification. Importantly, it does not require the researcher to select or calibrate sensitivity parameters. In the classical linear IV model with multiple instruments, we show that the FAS has a simple...
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作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University
摘要：We consider estimation and inference on average treatment effects under unconfoundedness conditional on the realizations of the treatment variable and covariates. Given nonparametric smoothness and/or shape restrictions on the conditional mean of the outcome variable, we derive estimators and confidence intervals (CIs) that are optimal in finite samples when the regression errors are normal with known variance. In contrast to conventional CIs, our CIs use a larger critical value that explicitl...
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作者：Ai, Hengjie; Bhandari, Anmol
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper studies asset pricing and labor market dynamics when idiosyncratic risk to human capital is not fully insurable. Firms use long-term contracts to provide insurance to workers, but neither side can fully commit; furthermore, owing to costly and unobservable retention effort, worker-firm relationships have endogenous durations. Uninsured tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In equilibrium, exposure to the tail risk generates higher aggregate ...
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作者：Eeckhout, Jan
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; ICREA
