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作者：Chambers, Christopher P.; Hayashi, Takashi
作者单位：University of California System; University of California San Diego; University of Glasgow
摘要：We show in an environment of incomplete information that monotonicity and the Pareto property applied only when there is common knowledge of Pareto dominance imply (i) there must exist a common prior over the smallest common knowledge event, and (ii) aggregation must be ex ante and ex post utilitarian with respect to that common prior and individual von Neumann-Morgenstern utility indices.
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作者：Jimenez, Gabriel; Ongena, Steven; Peydro, Jose-Luis; Saurina, Jesus
作者单位：Banco de Espana; University of Zurich; ICREA; Pompeu Fabra University; Barcelona School of Economics; City St Georges, University of London
摘要：We identify the effects of monetary policy on credit risk-taking with an exhaustive credit register of loan applications and contracts. We separate the changes in the composition of the supply of credit from the concurrent changes in the volume of supply and quality, and the volume of demand. We employ a two-stage model that analyzes the granting of loan applications in the first stage and loan outcomes for the applications granted in the second stage, and that controls for both observed and u...
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作者：Krishna, R. Vijay; Sadowski, Philipp
作者单位：Duke University
摘要：We consider a decision maker who faces dynamic decision situations that involve intertemporal trade-offs, as in consumption-savings problems, and who experiences taste shocks that are transient contingent on the state of the world. We axiomatize a recursive representation of choice over state contingent infinite horizon consumption problems, where uncertainty about consumption utilities depends on the observable state and the state follows a subjective Markov process. The parameters of the rep...
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作者：Buhai, I. Sebastian; Portela, Miguel A.; Teulings, Coen N.; van Vuuren, Aico
作者单位：Stockholm University; Universidade do Minho; University of Cambridge; University of Amsterdam; Vrije Universiteit Amsterdam
摘要：This study documents two empirical facts using matched employer-employee data for Denmark and Portugal. First, workers who are hired last, are the first to leave the firm. Second, workers' wages rise with seniority, where seniority is defined as a worker's tenure relative to the tenure of his colleagues. Controlling for tenure, the probability of a worker leaving the firm decreases with seniority. The increase in expected seniority with tenure explains a large part of the negative duration dep...
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作者：Chen, Xiaohong; Chernozhukov, Victor; Lee, Sokbae; Newey, Whitney K.
作者单位：Yale University; Massachusetts Institute of Technology (MIT); Seoul National University (SNU)
摘要：In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We derive an analogous result for the nonparametric, nonlinear structural models, establishing conditions under which an infinite dimensional analog of the full rank condition is sufficient for local identification. Importantly, we show th...
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作者：Liu, Qingmin; Mailath, George J.; Postlewaite, Andrew; Samuelson, Larry
作者单位：Columbia University; University of Pennsylvania; Yale University
摘要：We formulate a notion of stable outcomes in matching problems with one-sided asymmetric information. The key conceptual problem is to formulate a notion of a blocking pair that takes account of the inferences that the uninformed agent might make. We show that the set of stable outcomes is nonempty in incomplete-information environments, and is a superset of the set of complete-information stable outcomes. We then provide sufficient conditions for incomplete-information stable matchings to be e...
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作者：Pavan, Alessandro; Segal, Ilya; Toikka, Juuso
作者单位：Northwestern University; Stanford University; Massachusetts Institute of Technology (MIT)
摘要：We study mechanism design in dynamic quasilinear environments where private information arrives over time and decisions are made over multiple periods. We make three contributions. First, we provide a necessary condition for incentive compatibility that takes the form of an envelope formula for the derivative of an agent's equilibrium expected payoff with respect to his current type. It combines the familiar marginal effect of types on payoffs with novel marginal effects of the current type on...
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作者：Davis, Morris A.; Fisher, Jonas D. M.; Whited, Toni M.
作者单位：University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Rochester
摘要：Cities exist because of the productivity gains that arise from clustering production and workers, a process called agglomeration. How important is agglomeration for aggregate growth? This paper constructs a dynamic stochastic general equilibrium model of cities and uses it to estimate the effect of local agglomeration on aggregate growth. We combine aggregate time-series and city-level panel data to estimate the model's parameters via generalized method of moments. The estimates imply a statis...
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作者：Carrasco, Marine; Hu, Liang; Ploberger, Werner
作者单位：Universite de Montreal; Wayne State University; Washington University (WUSTL)
摘要：This paper proposes a class of optimal tests for the constancy of parameters in random coefficients models. Our testing procedure covers the class of Hamilton's models, where the parameters vary according to an unobservable Markov chain, but also applies to nonlinear models where the random coefficients need not be Markov. We show that the contiguous alternatives converge to the null hypothesis at a rate that is slower than the standard rate. Therefore, standard approaches do not apply. We use...
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作者：Fan, Yanqin; Sherman, Robert; Shum, Matthew
作者单位：University of Washington; University of Washington Seattle; California Institute of Technology
摘要：We consider the identification of counterfactual distributions and treatment effects when the outcome variables and conditioning covariates are observed in separate data sets. Under the standard selection on observables assumption, the counterfactual distributions and treatment effect parameters are no longer point identified. However, applying the classical monotone rearrangement inequality, we derive sharp bounds on the counterfactual distributions and policy parameters of interest.
