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作者：Chade, Hector; Swinkels, Jeroen
作者单位：Northwestern University
摘要：A finite number of vertically differentiated firms simultaneously compete for and screen agents with private information about their payoffs. In equilibrium, higher firms serve higher types. Each firm distorts the allocation downward from the efficient level on types below a threshold, but upward above. While payoffs in this game are neither quasi-concave nor continuous, if firms are sufficiently differentiated, then any strategy profile that satisfies a simple set of necessary conditions is a...
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作者：Azar, Jose; Vives, Xavier
作者单位：University of Navarra; University of Navarra; IESE Business School
摘要：We develop a tractable general equilibrium framework in which firms are large and have market power with respect to both products and labor, and in which a firm's decisions are affected by its ownership structure. We characterize the Cournot-Walras equilibrium of an economy where each firm maximizes a share-weighted average of shareholder utilities-rendering the equilibrium independent of price normalization. In a one-sector economy, if returns to scale are non-increasing, then an increase in ...
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作者：Badev, Anton
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：In response to a change, individuals may choose to follow the responses of their friends or, alternatively, to change their friends. To model these decisions, consider a game where players choose their behaviors and friendships. In equilibrium, players internalize the need for consensus in forming friendships and choose their optimal strategies on subsets of k players-a form of bounded rationality. The k-player consensual dynamic delivers a probabilistic ranking of a game's equilibria, and via...
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作者：Philippon, Thomas
作者单位：New York University
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作者：Burzoni, Matteo; Riedel, Frank; Soner, H. Mete
作者单位：University of Milan; University of Bielefeld; University of Johannesburg; Princeton University
摘要：We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian uncertainty in markets, we present a model that does not carry any probabilistic structure ex ante, yet is based on a common order. We derive the fundamental equivalence of economic viability of asset prices and absence of arbitrage. We also obtain a modified version of the fundamental theorem of asset pricing using the notion of sublinear pricing measures. Different versions of the eff...
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作者：Hansen, Bruce E.; Lee, Seojeong
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of New South Wales Sydney
摘要：This paper develops inference methods for the iterated overidentified Generalized Method of Moments (GMM) estimator. We provide conditions for the existence of the iterated estimator and an asymptotic distribution theory, which allows for mild misspecification. Moment misspecification causes bias in conventional GMM variance estimators, which can lead to severely oversized hypothesis tests. We show how to consistently estimate the correct asymptotic variance matrix. Our simulation results show...
