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作者：Hansen, Lars Peter
作者单位：University of Chicago
摘要：I explore the equilibrium value implications of economic models that incorporate responses to a stochastic environment with growth. I propose dynamic valuation decompositions (DVD's) designed to distinguish components of an underlying economic model that influence values over long investment horizons from components that impact only the short run. A DVD represents the values of stochastically growing claims to consumption payoffs or cash flows using a stochastic discount process that both disc...
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作者：Hugonnier, J.; Malamud, S.; Trubowitz, E.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under appropriate conditions on the transition density of the state variables, market completeness can be deduced from the primitives of the economy. In particular, we prove that a sufficient condition for market completeness is that the volatility of dividends be invertible and provide higher order condition...
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作者：Deneckere, Raymond; Peck, James
作者单位：University of Wisconsin System; University of Wisconsin Madison; University System of Ohio; Ohio State University
摘要：This paper studies a dynamic model of perfectly competitive price posting under demand uncertainty. Firms must produce output in advance. After observing aggregate sales in prior periods, firms post prices for their unsold output. In each period, the demand of a new batch of consumers is randomly activated. Existing customers who have not yet bought and then new customers arrive at the market in random order, observe the posted prices, and either purchase at the lowest available price or delay...
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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：Beaudry, Paul; Green, David A.; Sand, Benjamin
作者单位：University of British Columbia; National Bureau of Economic Research; York University - Canada
摘要：Does switching the composition of jobs between low-paying and high-paying industries have important effects on wages in other sectors? In this paper, we build on search and bargaining theory to clarify a key general equilibrium channel through which changes in industrial composition could have substantial effects on wages in all sectors. In this class of models, wage determination takes the form of a social interaction problem and we illustrate how the implied sectoral linkages can be empirica...
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作者：Chen, Bin; Hong, Yongmiao
作者单位：University of Rochester; Cornell University; Cornell University; Xiamen University; Xiamen University
摘要：Checking parameter stability of econometric models is a long-standing problem. Almost all existing structural change tests in econometrics are designed to detect abrupt breaks. Little attention has been paid to smooth structural changes, which may be more realistic in economics. We propose a consistent test for smooth structural changes as well as abrupt structural breaks with known or unknown change points. The idea is to estimate smooth time-varying parameters by local smoothing and compare ...
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作者：Chetty, Raj
作者单位：Harvard University
摘要：How can price elasticities be identified when agents face optimization frictions such as adjustment costs or inattention? I derive bounds on structural price elasticities that are a function of the observed effect of a price change on demand, the size of the price change, and the degree of frictions. The degree of frictions is measured by the utility losses agents tolerate to deviate from the frictionless optimum. The bounds imply that frictions affect intensive margin elasticities much more t...
