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作者：Bollerslev, Tim; Li, Jia; Patton, Andrew J.; Quaedvlieg, Rogier
作者单位：Duke University; National Bureau of Economic Research; CREATES; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns, and we derive the asymptotic properties of the resultingrealized semicovariancemeasures as the sampling interval goes to zero. The first-order asymptotic results highlight how the same-sign and mixed-sign components load differently on economic information related to stochastic correlation and jumps. The second-order asymptotic results reveal the structure u...
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作者：Antras, Pol; de Gortari, Alonso
作者单位：Harvard University; National Bureau of Economic Research
摘要：This paper develops a multi-stage general-equilibrium model of global value chains (GVCs) and studies the specialization of countries within GVCs in a world with barriers to international trade. With costly trade, the optimal location of production of a given stage in a GVC is not only a function of the marginal cost at which that stage can be produced in a given country, but is also shaped by the proximity of that location to the precedent and the subsequent desired locations of production. W...
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作者：Bernheim, B. Douglas; Sprenger, Charles
作者单位：Stanford University; National Bureau of Economic Research; University of California System; University of California San Diego; University of California System; University of California San Diego
摘要：Cumulative Prospect Theory (CPT), the leading behavioral account of decisionmaking under uncertainty, avoids the dominance violations implicit in Prospect Theory (PT) by assuming that the probability weight applied to a given outcome depends on its ranking. We devise a simple and direct nonparametric method for measuring the change in relative probability weights resulting from a change in payoff ranks. We find no evidence that these weights are even modestly sensitive to ranks. Conventional c...
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作者：Lipnowski, Elliot; Ravid, Doron
作者单位：Columbia University; University of Chicago
摘要：We study a model of cheap talk with one substantive assumption: The sender's preferences are state independent. Our main observation is that such a sender gains credibility by degrading self-serving information. Using this observation, we examine the sender's benefits from communication, assess the value of commitment, and explicitly solve for sender-optimal equilibria in three examples. A key result is a geometric characterization of the value of cheap talk, described by thequasiconcave envel...
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作者：Bisin, Alberto
作者单位：New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
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作者：Domeij, David; Ellingsen, Tore
作者单位：Stockholm School of Economics
摘要：Giglio, Maggiori, and Stroebel (2016) show that there is no significant price difference between freeholds and ultra-long leaseholds in the UK housing market. They claim that this finding precludes the presence of large rational bubbles, as these can only attach to the price of freeholds. But the conclusion presumes that leaseholders cannot acquire bubbles through enfranchisement at favorable prices. We find that the presumption is violated. Enfranchisement rights are comprehensive and cheap t...
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作者：Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes
作者单位：Yale University; National Bureau of Economic Research; Stanford University; New York University
摘要：In Giglio, Maggiori, and Stroebel (2016), we propose and implement a new test for classic rational bubbles. Such bubbles derive their value from each agent's rational expectation of being able to resell the bubble claims to the next agent. Backward induction ensures that classic rational bubbles can only exist on infinite-maturity assets. Our empirical exercise shows that infinite-maturity claims and 999-year claims for otherwise identical housing assets trade at the same price, and thus rules...
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作者：Salant, Yuval; Cherry, Josh
作者单位：Northwestern University
摘要：We consider statistical inference in games. Each player obtains a small random sample of other players' actions, uses statistical inference to estimate their actions, and chooses an optimal action based on the estimate. In a sampling equilibrium with statistical inference (SESI), the sample is drawn from the distribution of players' actions based on this process. We characterize the set of SESIs in large two-action games, and compare their predictions to those of Nash equilibrium, and for diff...
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作者：Kamada, Yuichiro; Kandori, Michihiro
作者单位：University of California System; University of California Berkeley; University of Tokyo
摘要：This paper proposes a class of games calledrevision games. In a revision game, players start with initially prepared actions, followed by a sequence of random revision opportunities until a predetermined deadline. In the course of revisions, players monitor each other's behavior. It is shown that players can cooperate and that their behavior under the optimal equilibrium is described by a simple differential equation. We present the necessary and sufficient conditions for cooperation to be sus...
