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作者：Board, Simon; Meyer-ter-Vehn, Moritz
作者单位：University of California System; University of California Los Angeles
摘要：We propose a model of firm reputation in which a firm can invest or disinvest in product quality and the firm's reputation is defined as the market's belief about this quality. We analyze the relationship between a firm's reputation and its investment incentives, and derive implications for reputational dynamics. Reputational incentives depend on the specification of market learning. When consumers learn about quality through perfect good news signals, incentives decrease in reputation and the...
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作者：Strzalecki, Tomasz
作者单位：Harvard University
摘要：Dynamic models of ambiguity aversion are increasingly popular in applied work. This paper shows that there is a strong interdependence in such models between the ambiguity attitude and the preference for the timing of the resolution of uncertainty, as defined by the classic work of Kreps and Porteus (1978). The modeling choices made in the domain of ambiguity aversion influence the set of modeling choices available in the domain of timing attitudes. The main result is that the only model of am...
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作者：Piketty, Thomas; Saez, Emmanuel
作者单位：Paris School of Economics; University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：This paper derives optimal inheritance tax formulas that capture the key equity-efficiency trade-off, are expressed in terms of estimable sufficient statistics, and are robust to the underlying structure of preferences. We consider dynamic stochastic models with general and heterogeneous bequest tastes and labor productivities. We limit ourselves to simple but realistic linear or two-bracket tax structures to obtain tractable formulas. We show that long-run optimal inheritance tax rates can al...
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作者：Liu, Zheng; Wang, Pengfei; Zha, Tao
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Hong Kong University of Science & Technology; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; National Bureau of Economic Research
摘要：We argue that positive co-movements between land prices and business investment are a driving force behind the broad impact of land-price dynamics on the macroeconomy. We develop an economic mechanism that captures the co-movements by incorporating two key features into a DSGE model: We introduce land as a collateral asset in firms' credit constraints, and we identify a shock that drives most of the observed fluctuations in land prices. Our estimates imply that these two features combine to ge...
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作者：Ahn, Seung C.; Horenstein, Alex R.
作者单位：Arizona State University; Arizona State University-Tempe; Sogang University; University of Miami; Instituto Tecnologico Autonomo de Mexico
摘要：This paper proposes two new estimators for determining the number of factors (r) in static approximate factor models. We exploit the well-known fact that the r largest eigenvalues of the variance matrix of N response variables grow unboundedly as N increases, while the other eigenvalues remain bounded. The new estimators are obtained simply by maximizing the ratio of two adjacent eigenvalues. Our simulation results provide promising evidence for the two estimators.
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作者：Fischer, Greg
作者单位：University of London; London School Economics & Political Science
摘要：Few microfinance-funded businesses grow beyond subsistence entrepreneurship. This paper considers one possible explanation: that the structure of existing microfinance contracts may discourage risky but high-expected-return investments. To explore this possibility, I develop a theory that unifies models of investment choice, informal risk-sharing, and formal financial contracts. I then test the predictions of this theory using a series of experiments with clients of a large microfinance instit...
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作者：Chen, Yi-Chun; Xiong, Siyang
作者单位：National University of Singapore; Rice University
摘要：We study whether priors that admit full surplus extraction (FSE) are generic, an issue that becomes a gauge to evaluate the validity of the current mechanism design paradigm. We consider the space of priors on the universal type space, and thereby relax the assumption of a fixed finite number of types made by Cremer and McLean (1988). We show that FSE priors are topologically generic, contrary to the result of Heifetz and Neeman (2006) that FSE is generically impossible, both geometrically and...
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作者：Mueller, Ulrich K.
作者单位：Princeton University
摘要：It is well known that, in misspecified parametric models, the maximum likelihood estimator (MLE) is consistent for the pseudo-true value and has an asymptotically normal sampling distribution with sandwich covariance matrix. Also, posteriors are asymptotically centered at the MLE, normal, and of asymptotic variance that is, in general, different than the sandwich matrix. It is shown that due to this discrepancy, Bayesian inference about the pseudo-true parameter value is, in general, of lower ...
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作者：Angeletos, George-Marios; La'O, Jennifer
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Chicago
摘要：This paper develops a new theory of fluctuationsone that helps accommodate the notions of animal spirits and market sentiment in unique-equilibrium, rational-expectations, macroeconomic models. To this goal, we limit the communication that is embedded in a neoclassical economy by allowing trading to be random and decentralized. We then show that the business cycle may be driven by a certain type of extrinsic shocks which we call sentiments. These shocks formalize shifts in expectations of econ...
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作者：Chernozhukov, Victor; Lee, Sokbae; Rosen, Adam M.
作者单位：Massachusetts Institute of Technology (MIT); Seoul National University (SNU); University of London; London School Economics & Political Science; University College London
摘要：We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or, equivalently, the value of a linear programming problem with a potentially infinite constraint set. We show that many bounds characterizations in econometrics, for instance bounds on parameters under conditional moment inequalities, can be formulated as intersection bounds. Our approach is especially convenient for ...
