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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：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...
