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作者：Abel, Andrew B.; Eberly, Janice C.; Panageas, Stavros
作者单位：University of Pennsylvania; National Bureau of Economic Research; Northwestern University; University of Chicago
摘要：Information costs, which comprise costs of gathering and processing information about stock values and costs of deciding how to respond to this information, induce a consumer to remain inattentive to the stock market for finite intervals of time. Whether, and how much, a consumer transfers assets between accounts depends on the costs of undertaking such transactions. In general, optimal behavior by a consumer facing both information costs and transactions costs is state-dependent, with the tim...
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作者：Cassola, Nuno; Hortacsu, Ali; Kastl, Jakub
作者单位：European Central Bank; University of Chicago; National Bureau of Economic Research; Stanford University
摘要：We study European banks' demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy implementation. Our analysis provides a high-frequency, disaggregated perspective on the 2007 crisis, which was previously studied through comparisons of collateralized and uncollateralized interbank money market rates which do not capture the heterogeneous impact o...
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作者：Eyster, Erik; Piccione, Michele
作者单位：University of London; London School Economics & Political Science
摘要：We model a dynamic, competitive market, where in every period, risk-neutral traders trade a one-period bond against an infinitely lived asset, with limited short-selling of the long-term asset. Traders lack structural knowledge and use different incomplete theories, all of which give statistically correct beliefs about next period's market price of the long-term asset. The more theories there are in the market, the higher is the equilibrium price of the long-term asset. Investors with more com...
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作者：Bergemann, Dirk; Morris, Stephen
作者单位：Yale University; Princeton University
摘要：We analyze games of incomplete information and offer equilibrium predictions that are valid for, and in this sense robust to, all possible private information structures that the agents may have. Bayes correlated equilibria. We completely characterize the set of Bayes correlated equilibria in a class of games with quadratic payoffs and normally distributed uncertainty in terms of restrictions on the first and second moments of the equilibrium action-state distribution. We derive exact bounds o...
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作者：Bloom, Nicholas; Schankerman, Mark; Van Reenen, John
作者单位：Stanford University; National Bureau of Economic Research; University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
摘要：The impact of R&D on growth through spillovers has been a major topic of economic research over the last thirty years. A central problem in the literature is that firm performance is affected by two countervailing spillovers : a positive effect from technology (knowledge) spillovers and a negative business stealing effects from product market rivals. We develop a general framework incorporating these two types of spillovers and implement this model using measures of a firm's position in techno...
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作者：Li, Jia
作者单位：Duke University
摘要：We develop an asymptotic theory for the pre-averaging estimator when asset price jumps are weakly identified, here modeled as local to zero. The theory unifies the conventional asymptotic theory for continuous and discontinuous semimartingales as two polar cases with a continuum of local asymptotics, and explains the breakdown of the conventional procedures under weak identification. We propose simple bias-corrected estimators for jump power variations, and construct robust confidence sets wit...
