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作者：Adrian, Tobias; Brunnermeier, Markus K.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut
摘要：We propose a measure of systemic risk, Delta CoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict Delta CoVaR. We also provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk, and show that the 2006:IV value of this measure would ...
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作者：Shmaya, Eran; Yariv, Leeat
作者单位：Northwestern University; California Institute of Technology
摘要：The analysis of lab data entails a joint test of the underlying theory and of subjects' conjectures regarding the experimental design itself, how subjects frame the experiment. We provide a theoretical framework for analyzing such conjectures. We use experiments of decision making under uncertainty as a case study. Absent restrictions on subjects' framing of the experiment, we show that any behavior is consistent with standard updating (anything goes), including those suggestive of anomalies s...
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作者：Bhutta, Neil; Keys, Benjamin J.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Chicago
摘要：Credit record panel data from 1999-2010 indicates that the likelihood of home equity extraction (borrowing, on average, about $40,000 against one's home) peaked in 2003 when mortgage rates reached historic lows. We estimate a 27 percent rise in extraction in response to a 100 basis point rate decline, and that house price growth amplifies this relationship. Differential responses to interest rates and home price appreciation by borrower age and credit score provide new evidence of financial fr...
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作者：Ito, Koichiro; Reguant, Mar
作者单位：University of Chicago; Northwestern University
摘要：We develop a framework to characterize strategic behavior in sequential markets under imperfect competition and restricted entry in arbitrage. Our theory predicts that these two elements can generate a systematic price premium. We test the model predictions using microdata from the Iberian electricity market. We show that the observed price differences and firm behavior are consistent with the model. Finally, we quantify the welfare effects of arbitrage using a structural model. In the presenc...
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作者：Ide, Enrique; Montero, Juan-Pablo; Figueroa, Nicolas
作者单位：Stanford University; Pontificia Universidad Catolica de Chile
摘要：To what extent can an incumbent manufacturer use discount contracts to foreclose efficient entry? We show that off-list-price rebates that do not commit buyers to unconditional transfers-like the rebates in EU Commission v. Michelin II, for instance-cannot be anticompetitive. This is true even in the presence of cost uncertainty, scale economies, or intense downstream competition, all three market settings where exclusion has been shown to emerge with exclusive dealing contracts. The differenc...
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作者：Abdulkadiroglu, Atila; Angrist, Joshua D.; Hull, Peter D.; Pathak, Parag A.
作者单位：Duke University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Charter takeovers are traditional public schools restarted as charter schools. We develop a grandfathering instrument for takeover attendance that compares students at schools designated for takeover with a matched sample of students attending similar schools not yet taken over. Grandfathering estimates from New Orleans show substantial gains from takeover enrollment. In Boston, grandfathered students see achievement gains at least as large as the gains for students assigned charter seats in l...
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作者：Los, Bart; Timmer, Marcel P.; de Vries, Gaaitzen J.
作者单位：University of Groningen
摘要：In a recent contribution to the AER, Koopman, Wang, and Wei (2014) proposed a decomposition of a country's gross exports into value-added components and double-counted terms. It is motivated by complex manipulation of basic accounting identities. In this comment we provide an alternative framework based on hypothetical extraction. This parsimonious approach provides a clear definition of domestic value added in exports and has a natural extension into decompositions of bilateral export flows.
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作者：Michalopoulos, Stelios; Papaioannou, Elias
作者单位：Brown University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：We explore the consequences of ethnic partitioning, a neglected aspect of the Scramble for Africa, and uncover the following. First, apart from the land mass and water bodies, split and non-split groups are similar across several dimensions. Second, the incidence, severity, and duration of political violence are all higher for partitioned homelands which also experience frequent military interventions from neighboring countries. Third, split groups are often entangled in a vicious circle of go...
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作者：Steiner, Jakub; Stewart, Colin
作者单位：Charles University Prague; Czech Academy of Sciences; Economics Institute of the Czech Academy of Sciences; University of Edinburgh; University of Toronto
摘要：When an agent chooses between prospects, noise in information processing generates an effect akin to the winner's curse. Statistically unbiased perception systematically overvalues the chosen action because it fails to account for the possibility that noise is responsible for making the preferred action appear to be optimal. The optimal perception pattern exhibits a key feature of prospect theory, namely, overweighting of small probability events (and corresponding underweighting of high proba...
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作者：Pierce, Justin R.; Schott, Peter K.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Yale University; National Bureau of Economic Research
摘要：This paper links the sharp drop in US manufacturing employment after 2000 to a change in US trade policy that eliminated potential tariff increases on Chinese imports. Industries more exposed to the change experience greater employment loss, increased imports from China, and higher entry by US importers and foreign-owned Chinese exporters. At the plant level, shifts toward less labor-intensive production and exposure to the policy via input-output linkages also contribute to the decline in emp...
