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作者：Miao, Jianjun; Rivera, Alejandro
作者单位：Boston University; Central University of Finance & Economics; Zhejiang University; University of Texas System; University of Texas Dallas
摘要：We study a continuous-time contracting problem under hidden action, where the principal has ambiguous beliefs about the project cash flows. The principal designs a robust contract that maximizes his utility under the worst-case scenario subject to the agent's incentive and participation constraints. Robustness generates endogenous belief heterogeneity and induces a tradeoff between incentives and ambiguity sharing so that the incentive constraint does not always bind. We implement the optimal ...
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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：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 ...
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作者：Tirole, Jean
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Universite de Toulouse; Universite Toulouse 1 Capitole
摘要：In a number of interesting environments, dynamic screening involves positive selection: in contrast with Coasian dynamics, only the most motivated remain over time. The paper provides conditions under which the principal's commitment optimum is time consistent and uses this result to derive testable predictions under permanent or transient shocks. It also identifies environments in which time consistency does not hold despite positive selection, and yet simple equilibrium characterizations can...
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作者：Cole, Harold L.; Greenwood, Jeremy; Sanchez, Juan M.
作者单位：University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：What is the role of a country's financial system in determining technology adoption? To examine this, a dynamic contract model is embedded into a general equilibrium setting with competitive intermediation. The terms of finance are dictated by an intermediary's ability to monitor and control a firm's cash flow, in conjunction with the structure of the technology that the firm adopts. It is not always profitable to finance promising technologies. Aquantitative illustration is presented where fi...
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作者：Collin-Dufresne, Pierre; Fos, Vyacheslav
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Boston College
摘要：We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks to uninformed volume even though the fundamental value is constant. The volatility of price volatility appears 'excessive' because insiders choose to trade more aggressively (and thus more information is revealed) when uninformed volume is hig...
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作者：Li, Jia; Xiu, Dacheng
作者单位：Duke University; University of Chicago
摘要：We propose a semiparametric two-step inference procedure for a finite-dimensional parameter based on moment conditions constructed from high-frequency data. The population moment conditions take the form of temporally integrated functionals of state-variable processes that include the latent stochastic volatility process of an asset. In the first step, we nonparametrically recover the volatility path from high-frequency asset returns. The nonparametric volatility estimator is then used to form...
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作者：Christiano, Lawrence J.; Eichenbaum, Martin S.; Trabandt, Mathias
作者单位：Northwestern University; Free University of Berlin
摘要：We develop and estimate a general equilibrium search and matching model that accounts for key business cycle properties of macroeconomic aggregates, including labor market variables. In sharp contrast to leading New Keynesian models, we do not impose wage inertia. Instead we derive wage inertia from our specification of how firms and workers negotiate wages. Our model outperforms a variant of the standard New Keynesian Calvo sticky wage model. According to our estimated model, there is a criti...
