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作者：Bayer, Patrick; McMillan, Robert; Murphy, Alvin; Timmins, Christopher
作者单位：Duke University; University of Toronto; Arizona State University; Arizona State University-Tempe
摘要：This paper develops a dynamic model of neighborhood choice along with a computationally light multi-step estimator. The proposed empirical framework captures observed and unobserved preference heterogeneity across households and locations in a flexible way. We estimate the model using a newly assembled data set that matches demographic information from mortgage applications to the universe of housing transactions in the San Francisco Bay Area from 1994 to 2004. The results provide the first es...
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作者：Koijen, Ralph S. J.; Yogo, Motohiro
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR); Princeton University; National Bureau of Economic Research
摘要：Life insurers use reinsurance to move liabilities from regulated and rated companies that sell policies to shadow reinsurers, which are less regulated and unrated off-balance-sheet entities within the same insurance group. U.S. life insurance and annuity liabilities ceded to shadow reinsurers grew from $11 billion in 2002 to $364 billion in 2012. Life insurers using shadow insurance, which capture half of the market share, ceded 25 cents of every dollar insured to shadow reinsurers in 2012, up...
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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：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：Andrews, Isaiah; Mikusheva, Anna
作者单位：Harvard University; Massachusetts Institute of Technology (MIT)
摘要：Conventional tests for composite hypotheses in minimum distance models can be unreliable when the relationship between the structural and reduced-form parameters is highly nonlinear. Such nonlinearity may arise for a variety of reasons, including weak identification. In this note, we begin by studying the problem of testing a curved null in a finite-sample Gaussian model. Using the curvature of the model, we develop new finite-sample bounds on the distribution of minimum-distance statistics. T...
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作者：Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes
作者单位：University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Harvard University; New York University
摘要：We test for the existence of housing bubbles associated with a failure of the transversality condition that requires the present value of payments occurring infinitely far in the future to be zero. The most prominent such bubble is the classic rational bubble. We study housing markets in the United Kingdom and Singapore, where residential property ownership takes the form of either leaseholds or freeholds. Leaseholds are finite-maturity, pre-paid, and tradeable ownership contracts with maturit...
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作者：Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier
作者单位：Universita della Svizzera Italiana; University of Geneva; University of Geneva
摘要：We develop an econometric methodology to infer the path of risk premia from a large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes both instruments common to all assets and asset-specific instruments. The estimator uses simple weighted two-pass cross-sectional regressions, and we show its consistency and asymptotic normality under increasing cross-sectional and time series...
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作者：Esponda, Ignacio; Pouzo, Demian
作者单位：Washington University (WUSTL); University of California System; University of California Berkeley
摘要：We develop an equilibrium framework that relaxes the standard assumption that people have a correctly specified view of their environment. Each player is characterized by a (possibly misspecified) subjective model, which describes the set of feasible beliefs over payoff-relevant consequences as a function of actions. We introduce the notion of a Berk-Nash equilibrium: Each player follows a strategy that is optimal given her belief, and her belief is restricted to be the best fit among the set ...
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作者：Akcigit, Ufuk; Celik, Murat Alp; Greenwood, Jeremy
作者单位：University of Chicago; National Bureau of Economic Research; University of Toronto; University of Pennsylvania
摘要：An endogenous growth model is developed where each period firms invest in researching and developing new ideas. An idea increases a firm's productivity. By how much depends on the technological propinquity between an idea and the firm's line of business. Ideas can be bought and sold on a market for patents. A firm can sell an idea that is not relevant to its business or buy one if it fails to innovate. The developed model is matched up with stylized facts about the market for patents in the Un...
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作者：Hausman, Jerry A.; Newey, Whitney K.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogeneous demand where preferences and linear budget sets are statistically independent. Only the marginal distribution of demand for each price and income is identified from cross-section data where only one price and income is observed for each individual. Thus, objects that depend on varying price and/or income for an i...
