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作者：Davila, Julio; Hong, Jay H.; Krusell, Per; Rios-Rull, Jose-Victor
作者单位：Centre National de la Recherche Scientifique (CNRS); Paris School of Economics; University of Rochester; Stockholm University; University of Gothenburg; University of Minnesota System; University of Minnesota Twin Cities; Center for Economic & Policy Research (CEPR); Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research
摘要：We investigate the welfare properties of the one-sector neoclassical growth model with uninsurable idiosyncratic shocks. We focus on the notion of constrained efficiency used in the general equilibrium literature. Our characterization of constrained efficiency uses the first-order condition of a constrained planner's problem. This condition highlights the margins of relevance for whether capital is too high or too low: the factor composition of income of the (consumption-)poor. Using three cal...
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作者：Bontemps, Christian; Magnac, Thierry; Maurin, Eric
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Paris School of Economics
摘要：We analyze the identification and estimation of parameters beta satisfying the incomplete linear moment restrictions E(z(inverted perpendicular)(x beta-y)) = E(z(inverted perpendicular)u(z)), where z is a set of instruments and u(z) an unknown bounded scalar function. We first provide empirically relevant examples of such a setup. Second, we show that these conditions set identify beta where the identified set B is bounded and convex. We provide a sharp characterization of the identified set n...
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作者：Rostek, Marzena; Weretka, Marek
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：This paper investigates the effects of market size on the ability of price to aggregate traders' private information. To account for heterogeneity in correlation of trader values, a Gaussian model of double auction is introduced that departs from the standard information structure based on a common (fundamental) shock. The paper shows that markets are informationally efficient only if correlations of values coincide across all bidder pairs. As a result, with heterogeneously interdependent valu...
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作者：Hortacsu, Ali; Kastl, Jakub
作者单位：University of Chicago; National Bureau of Economic Research; Stanford University
摘要：In many financial markets, dealers have the advantage of observing the orders of their customers. To quantify the economic benefit that dealers derive from this advantage, we study detailed data from Canadian Treasury auctions, where dealers observe customer bids while preparing their own bids. In this setting, dealers can use information on customer bids to learn about (i) competition, that is, the distribution of competing bids in the auction, and (ii) fundamentals, that is, the ex post valu...
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作者：Carvajal, Andres; Rostek, Marzena; Weretka, Marek
作者单位：University of Warwick; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper examines the incentives offered by frictionless markets to innovate asset-backed securities by owners who maximize the assets' values. Assuming identical preferences across investors with heterogeneous risk-sharing needs, we characterize economies in which competition provides insufficient incentives to innovate so that, in equilibrium, financial markets are incomplete in all (pure strategy) equilibria, even when innovation is essentially costless. Thus, value maximization does not ...
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作者：Einav, Liran; Jenkins, Mark; Levin, Jonathan
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania
摘要：We analyze subprime consumer lending and the role played by down payment requirements in screening high-risk borrowers and limiting defaults. To do this, we develop an empirical model of the demand for financed purchases that incorporates both adverse selection and repayment incentives. We estimate the model using detailed transaction-level data on subprime auto loans. We show how different elements of loan contracts affect the quality of the borrower pool and subsequent loan performance. We a...
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作者：Duffie, Darrell; Strulovici, Bruno
作者单位：Stanford University; Northwestern University
摘要：We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. The bargaining power of an investor depends on potential ...
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作者：Johansen, Soren; Nielsen, Morten Orregaard
作者单位：University of Copenhagen; CREATES; Queens University - Canada
摘要：We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model, based on the Gaussian likelihood conditional on initial values. We give conditions on the parameters such that the process X-t is fractional of order d and cofractional of order d-b; that is, there exist vectors beta for which beta'X-t is fractional of order d-b and no other fractionality order is possible. For b=1, the model nests the I(d-1) vector autoregressive model. We define th...
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作者：de Paula, Aureo; Tang, Xun
作者单位：University of London; University College London; University of London; London School Economics & Political Science; University of Pennsylvania
摘要：This paper studies the inference of interaction effects in discrete simultaneous games with incomplete information. We propose a test for the signs of state-dependent interaction effects that does not require parametric specifications of players' payoffs, the distributions of their private signals, or the equilibrium selection mechanism. The test relies on the commonly invoked assumption that players' private signals are independent conditional on observed states. The procedure is valid in (bu...
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作者：Schmitt-Grohe, Stephanie; Uribe, Martin
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：In the context of a dynamic, stochastic, general equilibrium model, we perform classical maximum likelihood and Bayesian estimations of the contribution of anticipated shocks to business cycles in the postwar United States. Our identification approach relies on the fact that forward-looking agents react to anticipated changes in exogenous fundamentals before such changes materialize. It further allows us to distinguish changes in fundamentals by their anticipation horizon. We find that anticip...
