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作者：Ju, Nengjiu; Miao, Jianjun
作者单位：Hong Kong University of Science & Technology; Shanghai Jiao Tong University; Boston University; Zhejiang University; Central University of Finance & Economics
摘要：We propose a novel generalized recursive smooth ambiguity model which permits a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset-pricing model in which consumption and dividends follow hidden Markov regime-switching processes. Our calibrated model can match the mean equity premium, the mean risk-free rate, and the volatility of the equity premium observed in the data. In addition, our model ca...
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作者：Moon, Hyungsik Roger; Schorfheide, Frank
作者单位：University of Southern California; University System of Maryland; University of Maryland College Park; University of Pennsylvania; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：A large-sample approximation of the posterior distribution of partially identified structural parameters is derived for models that can be indexed by an identifiable finite-dimensional reduced-form parameter vector. It is used to analyze the differences between Bayesian credible sets and frequentist confidence sets. We define a plug-in estimator of the identified set and show that asymptotically Bayesian highest-posterior-density sets exclude parts of the estimated identified set, whereas it i...
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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：Abbring, Jaap H.
作者单位：Tilburg University
摘要：We study mixed hitting-time models that specify durations as the first time a Levy processa continuous-time process with stationary and independent incrementscrosses a heterogeneous threshold. Such models are of substantial interest because they can be deduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards structure. We show how strategies for analyzing the identifiability of the mixed proportional hazards model can be adapted ...
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作者：Francq, Christian; Zakoian, Jean-Michel
作者单位：Universite de Lille; Institut Polytechnique de Paris; ENSAE Paris
摘要：This paper studies the asymptotic properties of the quasi-maximum likelihood estimator of (generalized autoregressive conditional heteroscedasticity) GARCH(1, 1) models without strict stationarity constraints and considers applications to testing problems. The estimator is unrestricted in the sense that the value of the intercept, which cannot be consistently estimated in the explosive case, is not fixed. A specific behavior of the estimator of the GARCH coefficients is obtained at the boundar...
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作者：Carroll, Gabriel
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We study the question of whether local incentive constraints are sufficient to imply full incentive compatibility in a variety of mechanism design settings, allowing for probabilistic mechanisms. We give a unified approach that covers both continuous and discrete type spaces. On many common preference domainsincluding any convex domain of cardinal or ordinal preferences, single-peaked ordinal preferences, and successive single-crossing ordinal preferenceslocal incentive compatibility (suitably...
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作者：Lilienfeld-Toal, Ulf von; Mookherjee, Dilip; Visaria, Sujata
作者单位：Stockholm School of Economics; Boston University; Hong Kong University of Science & Technology
摘要：It is generally presumed that stronger legal enforcement of lender rights increases credit access for all borrowers because it expands the set of incentive compatible loan contracts. This result relies on an assumption that the supply of credit is infinitely elastic. In contrast, with inelastic supply, stronger enforcement generates general equilibrium effects that may reduce credit access for small borrowers and expand it for wealthy borrowers. In a firm-level panel, we find evidence that an ...
