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作者：Bai, Jushan
作者单位：New York University; Tsinghua University; Central University of Finance & Economics
摘要：This paper considers large N and large T panel data models with unobservable multiple interactive effects, which are correlated with the regressors. In earnings studies, for example, workers' motivation, persistence, and diligence combined to influence the earnings in addition to the usual argument of innate ability. In macroeconomics, interactive effects represent unobservable common shocks and their heterogeneous impacts on cross sections. We consider identification, consistency, and the lim...
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作者：Lagos, Ricardo; Rocheteau, Guillaume
作者单位：New York University; University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：We develop a search-theoretic model of financial intermediation in an over-the-counter market and study how trading frictions affect the distribution of asset holdings and standard measures of liquidity. A distinctive feature of our theory is that it allows for unrestricted asset holdings, so market participants can accommodate trading frictions by adjusting their asset positions. We show that these individual responses of asset demands constitute a fundamental feature of illiquid markets: the...
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作者：Guerrieri, Veronica; Lorenzoni, Guido
作者单位：University of Chicago; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：In this paper, we build a model where the presence of liquidity constraints tends to magnify the economy's response to aggregate shocks. We consider a decentralized model of trade, where agents may use money or credit to buy goods. When agents do not have access to credit and the real value of money balances is low, agents are more likely to be liquidity constrained. This makes them more concerned about their short-term earning prospects when making their consumption decisions and about their ...
