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作者：Alvarez, F; Jermann, UJ
作者单位：University of Chicago; University of Pennsylvania; National Bureau of Economic Research
摘要：We derive a lower bound for the volatility of the permanent component of investors' marginal utility of wealth or, more generally, asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent component of the pricing kernel to be very volatile; its volatility is about at least as large as the volatility of the stochastic discount factor. A related measure for the transitory component suggest it...
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作者：Fréchette, G; Kagel, JH; Morelli, M
作者单位：New York University; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University
摘要：Alternating-offer and demand bargaining models of legislative bargaining make very different predictions in terms of both ex ante and ex post distribution of payoffs, as well as in the role of the order of play. The experiment shows that actual bargaining behavior is not as sensitive to the different bargaining rules as the theoretical point predictions, whereas the comparative statics are in line with both models. We compare our results to studies that attempt to distinguish between these two...
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作者：Bergemann, D; Morris, S
作者单位：Yale University; Princeton University
摘要：The mechanism design literature assumes too much common knowledge of the environment among the players and planner. We relax this assumption by studying mechanism design on richer type spaces. We ask when ex post implementation is equivalent to interim (or Bayesian) implementation for all possible type spaces. The equivalence holds in the case of separable environments; examples of separable environments arise (1) when the planner is implementing a social choice function (not correspondence) a...
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作者：Klibanoff, P; Marinacci, M; Mukerji, S
作者单位：Northwestern University; University of Turin; University of Turin
摘要：We propose and characterize a model of preferences over acts such that the decision maker prefers act f to act g if and only if E-mu phi (E(pi)u circle f) >= E-mu phi (E(pi)u circle g), where E is the expectation operator, u is a von Neumann-Morgenstern utility function, phi is an increasing transformation, and mu is a subjective probability over the set Pi of probability measures pi that the decision maker thinks are relevant given his subjective information. A key feature of our model is tha...
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作者：Santos, MS; Peralta-Alva, A
作者单位：Arizona State University; Arizona State University-Tempe; University of Miami
摘要：This paper is concerned with accuracy properties of simulations of approximate solutions for stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large numbers. We then show that the statistics generated by any sufficiently good numerical approximation are arbitrarily close to the set of expected values of the model's invariant distributions. Also, under a contractivity condition on the dynamics, we establish error bounds....
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作者：Duffie, D; Gârleanu, N; Pedersen, LH
作者单位：Stanford University; University of Pennsylvania; New York University
摘要：We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers' bid and ask prices, in a dynamic model with strategic agents. Bid-ask spreads are lower if investors can more easily find other investors or have easier access to multiple marketmakers. With a monopolistic marketmaker, bid-ask spreads are higher if investors...
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作者：Falk, A; Fehr, E; Fischbacher, U
作者单位：IZA Institute Labor Economics; University of Bonn; University of Zurich
摘要：This paper investigates the driving forces behind informal sanctions in cooperation games and the extent to which theories of fairness and reciprocity capture these forces. We find that cooperators' punishment is almost exclusively targeted toward the defectors, but the latter also impose a considerable amount of spiteful punishment on the cooperators. However, spiteful punishment vanishes if the punishers can no longer affect the payoff differences between themselves and the punished individu...
