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作者：Gu, Chao; Mattesini, Fabrizio; Wright, Randall
作者单位：University of Missouri System; University of Missouri Columbia; University of Rome Tor Vergata; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research
摘要：We analyze money and credit as competing payment instruments in decentralized exchange. In natural environments, we show the economy does not need both: if credit is easy, money is irrelevant; if credit is tight, money is essential, but credit becomes irrelevant. Changes in credit conditions are neutral because real balances respond endogenously to keep total liquidity constant. This is true for both exogenous and endogenous debt limits and policy limits, secured and unsecured lending, and gen...
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作者：Weinstein, Jonathan
作者单位：Washington University (WUSTL)
摘要：We study families of normal-form games with fixed preferences over pure action profiles but varied preferences over lotteries. That is, we subject players' utilities to monotone but nonlinear transformations and examine changes in the rationalizable set and set of equilibria. Among our results: The rationalizable set always grows under concave transformations (risk aversion) and shrinks under convex transformations (risk love). The rationalizable set reaches an upper bound under extreme risk a...
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作者：Kyle, Albert S.; Obizhaeva, Anna A.
作者单位：University System of Maryland; University of Maryland College Park; New Economic School
摘要：Using the intuition that financial markets transfer risks in business time, market microstructure invariance is defined as the hypotheses that the distributions of risk transfers (bets) and transaction costs are constant across assets when measured per unit of business time. The invariance hypotheses imply that bet size and transaction costs have specific, empirically testable relationships to observable dollar volume and volatility. Portfolio transitions can be viewed as natural experiments f...
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作者：Fanning, Jack
作者单位：Brown University
摘要：I highlight how reputational concerns provide a natural explanation for deadline effects, the high frequency of deals prior to a deadline in bargaining. Rational agents imitate the demands of obstinate behavioral types and engage in brinkmanship in the face of uncertainty about the deadline's arrival. I also identify how surplus is divided when the prior probability of behavioral types is vanishingly small. If behavioral types are committed to fixed demands, outcomes converge to the Nash barga...
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作者：Lauermann, Stephan; Wolinsky, Asher
作者单位：University of Bonn; Northwestern University
摘要：This paper analyzes a sequential search model with adverse selection. We study information aggregation by the pricehow close the equilibrium prices are to the full-information priceswhen search frictions are small. We identify circumstances under which prices fail to aggregate information well even when search frictions are small. We trace this to a strong form of the winner's curse that is present in the sequential search model. The failure of information aggregation may result in inefficient...
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作者：Brady, Richard L.; Rehbeck, John
作者单位：University of California System; University of California San Diego
摘要：We examine the role of stochastic feasibility in consumer choice using a random conditional choice set rule (RCCSR) and uniquely characterize the model from conditions on stochastic choice data. Feasibility is modeled to permit correlation in availability of alternatives. This provides a natural way to examine substitutability/complementarity. We show that an RCCSR generalizes the random consideration set rule of Manzini and Mariotti (2014). We then relate this model to existing literature. In...
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作者：Koijen, Ralph S. J.; Philipson, Tomas J.; Uhlig, Harald
作者单位：University of London; London Business School; University of Chicago; University of Chicago
摘要：We provide a theoretical and empirical analysis of the link between financial and real health care markets. This link is important as financial returns drive investment in medical research and development (R&D), which, in turn, affects real spending growth. We document a medical innovation premium of 4-6% annually for equity returns of firms in the health care sector. We interpret this premium as compensating investors for government-induced profit risk, and we provide supportive evidence for ...
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作者：McKay, Alisdair; Reis, Ricardo
作者单位：Boston University; University of London; London School Economics & Political Science; Columbia University
摘要：Most countries have automatic rules in their tax-and-transfer systems that are partly intended to stabilize economic fluctuations. This paper measures their effect on the dynamics of the business cycle. We put forward a model that merges the standard incomplete-markets model of consumption and inequality with the new Keynesian model of nominal rigidities and business cycles, and that includes most of the main potential stabilizers in the U.S. data and the theoretical channels by which they may...
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作者：Battigalli, P.; Cerreia-Vioglio, S.; Maccheroni, F.; Marinacci, M.
作者单位：Bocconi University; Bocconi University
摘要：We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanoff, Marinacci, and Mukerji (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. A similar result holds for risk aversion. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984).
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作者：Andrews, Isaiah; Mikusheva, Anna
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter. We introduce a sufficient statistic for this nuisance parameter in a Gaussian problem and propose conditional tests. These conditional tests have uniformly correct asymptotic size for a large class of models and test statistics. We apply our approach to construct tests based on ...
