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作者：Hoerner, Johannes; Sugaya, Takuo; Takahashi, Satoru; Vieille, Nicolas
作者单位：Yale University; Princeton University; Hautes Etudes Commerciales (HEC) Paris
摘要：We present an algorithm to compute the set of perfect public equilibrium payoffs as the discount factor tends to 1 for stochastic games with observable states and public (but not necessarily perfect) monitoring when the limiting set of (long-run players') equilibrium payoffs is independent of the initial state. This is the case, for instance, if the Markov chain induced by any Markov strategy profile is irreducible. We then provide conditions under which a folk theorem obtains: if in each stat...
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作者：Fieler, Ana Cecilia
作者单位：University of Pennsylvania
摘要：The standard gravity model predicts that trade flows increase in proportion to importer and exporter total income, regardless of how income is divided into income per capita and population. Bilateral trade data, however, show that trade grows strongly with income per capita and is largely unresponsive to population. I develop a general equilibrium Ricardian model of trade that allows the elasticity of trade with respect to income per capita and with respect to population to diverge. Goods are ...
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作者：Gagliardini, P.; Gourieroux, C.; Renault, E.
作者单位：Universita della Svizzera Italiana; University of Toronto; University of North Carolina; University of North Carolina Chapel Hill; Universite de Montreal; Swiss Finance Institute (SFI)
摘要：In this paper, we introduce the extended method of moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard generalized method of moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform conditional moment restrictions (i. e., valid for any value of the conditioning variable), but also local conditional moment restrictions valid for a given fixed value of the conditioning variable. Th...
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作者：Park, Andreas; Sabourian, Hamid
作者单位：University of Toronto; University of Cambridge
摘要：Rational herd behavior and informationally efficient security prices have long been considered to be mutually exclusive but for exceptional cases. In this paper we describe the conditions on the underlying information structure that are necessary and sufficient for informational herding and contrarianism. In a standard sequential security trading model, subject to sufficient noise trading, people herd if and only if, loosely, their information is sufficiently dispersed so that they consider ex...
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作者：Attanasio, Orazio P.; Pavoni, Nicola
作者单位：University of London; University College London; Bocconi University; Bocconi University; National Bureau of Economic Research
摘要：We study testable implications for the dynamics of consumption and income of models in which first-best allocations are not achieved because of a moral hazard problem with hidden saving. We show that in this environment, agents typically achieve more insurance than that obtained under self-insurance with a single asset. Consumption allocations exhibit excess smoothness, as found and defined by Campbell and Deaton (1989). We argue that excess smoothness, in this context, is equivalent to a viol...
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作者：Williams, Noah
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：This paper studies the design of optimal contracts in dynamic environments where agents have private information that is persistent. In particular, I focus on a continuous-time version of a benchmark insurance problem where a risk-averse agent would like to borrow from a risk-neutral lender to stabilize his utility. The agent privately observes a persistent state variable, typically either income or a taste shock, and he makes reports to the principal. I give verifiable sufficient conditions s...
