-
作者：Hirano, Keisuke; Wright, Jonathan H.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Johns Hopkins University
摘要：We consider forecasting with uncertainty about the choice of predictor variables. The researcher wants to select a model, estimate the parameters, and use the parameter estimates for forecasting. We investigate the distributional properties of a number of different schemes for model choice and parameter estimation, including: in-sample model selection using the Akaike information criterion; out-of-sample model selection; and splitting the data into subsamples for model selection and parameter ...
-
作者：Gousse, Marion; Jacquemet, Nicolas; Robin, Jean-Marc
作者单位：Laval University; Paris School of Economics; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Institut d'Etudes Politiques Paris (Sciences Po); University of London; University College London
摘要：We develop a search model of marriage where men and women draw utility from private consumption and leisure, and from a non-market good that is produced in the home using time resources. We condition individual decisions on wages, education, and an index of family attitudes. A match-specific, stochastic bliss shock induces variation in matching given wages, education, and family values, and triggers renegotiation and divorce. Using BHPS (1991-2008) data, we take as given changes in wages, educ...
-
作者：Schaal, Edouard
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI)
摘要：This paper studies the impact of time-varying idiosyncratic risk at the establishment level on unemployment fluctuations over 1972-2009. I build a tractable directed search model with firm dynamics and time-varying idiosyncratic volatility. The model allows for endogenous separations, entry and exit, and job-to-job transitions. I show that the model can replicate salient features of the microeconomic behavior of firms and that the introduction of volatility improves the fit of the model for st...
-
作者：Lowes, Sara; Nunn, Nathan; Robinson, James A.; Weigel, Jonathan L.
作者单位：Bocconi University; Harvard University; University of Chicago; Harvard University
摘要：We use variation in historical state centralization to examine the long-term impact of institutions on cultural norms. The Kuba Kingdom, established in Central Africa in the early 17th century by King Shyaam, had more developed state institutions than the other independent villages and chieftaincies in the region. It had an unwritten constitution, separation of political powers, a judicial system with courts and juries, a police force, a military, taxation, and significant public goods provisi...
-
作者：Wiseman, Thomas
作者单位：University of Texas System; University of Texas Austin
摘要：I study repeated competition among oligopolists. The only novelty is that firms may go bankrupt and permanently exit: the probability that a firm survives a price war depends on its financial strength, which varies stochastically over time. Under some conditions including no entry, an anti-folk theorem holds: when firms are patient, so that strength levels change relatively quickly, every Nash equilibrium involves an immediate price war that lasts until at most one firm remains. Surprisingly, ...
-
作者：Diermeier, Daniel; Egorov, Georgy; Sonin, Konstantin
作者单位：University of Chicago; Northwestern University; University of Chicago; HSE University (National Research University Higher School of Economics)
摘要：It is often argued that additional constraints on redistribution such as granting veto power to more players in society better protects property from expropriation. We use a model of multilateral bargaining to demonstrate that this intuition may be flawed. Increasing the number of veto players or raising the supermajority requirement for redistribution may reduce protection on the equilibrium path. The reason is the existence of two distinct mechanisms of property protection. One is formal con...
-
作者：Kadan, Ohad; Reny, Philip J.; Swinkels, Jeroen M.
作者单位：Washington University (WUSTL); University of Chicago; Northwestern University
摘要：We provide general conditions under which principal-agent problems with either one or multiple agents admit mechanisms that are optimal for the principal. Our results cover as special cases pure moral hazard and pure adverse selection. We allow multidimensional types, actions, and signals, as well as both financial and non-financial rewards. Our results extend to situations in which there are ex ante or interim restrictions on the mechanism, and allow the principal to have decisions in additio...
-
作者：Brumm, Johannes; Kryczka, Dominika; Kubler, Felix
作者单位：Helmholtz Association; Karlsruhe Institute of Technology; University of Zurich; Swiss Finance Institute (SFI)
摘要：In this paper, we prove the existence of recursive equilibria in a dynamic stochastic model with infinitely lived heterogeneous agents, several commodities, and general inter- and intratemporal production. We illustrate the usefulness of our result by providing sufficient conditions for the existence of recursive equilibria in heterogeneous agent versions of both the Lucas asset pricing model and the neoclassical stochastic growth model.
-
作者：Christensen, Timothy M.
作者单位：New York University
摘要：Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investment horizons. This paper introduces an empirical framework to analyze the permanent-transitory decomposition of SDF processes. Specifically, we show how to estimate nonparametrically the solution to the Perron-Frobenius eigenfunction problem of Hansen and Scheinkman, 2009. Our empirical framework allows researchers to...
-
作者：Kubler, Felix; Polemarchakis, Herakles
作者单位：University of Zurich; Swiss Finance Institute (SFI); University of Warwick
摘要：The demand for assets as prices and initial wealth vary identifies beliefs and attitudes towards risk. We derive conditions that guarantee identification with no knowledge either of the cardinal utility index (attitudes towards risk) or of the distribution of future endowments or payoffs of assets; the argument applies even if the asset market is incomplete and demand is observed only locally.
