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作者：Kogan, Leonid; Mitra, Indrajit
作者单位：Massachusetts Institute of Technology (MIT); Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：We propose a general simulation-based procedure for estimating the quality of approximate policies in heterogeneous-agent equilibrium models, which allows us to verify that such approximate solutions describe a near-rational equilibrium. Our procedure endows agents with superior knowledge of the future path of the economy, while imposing a suitable penalty for such foresight. The relaxed problem is more tractable than the original, and results in an upper bound on agents' welfare. Our method a...
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作者：Fang, Xiang; Hardy, Bryan; Lewis, Karen K.
作者单位：University of Hong Kong; Bank for International Settlements (BIS); University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：This paper studies whether investor composition affects the sovereign debt market. We construct a data set of sovereign debt holdings by foreign and domestic bank, nonbank private and official investors for 101 countries across three decades. Compared with other investors, private nonbank investors absorb a disproportionate share of the debt supply, and their demand for emerging market debt is most price responsive. A counterfactual analysis of emerging market sovereigns shows a 10% increase i...
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作者：Artavanis, Nikolaos; Lee, Brian Jonghwan; Panageas, Stavros; Tsoutsoura, Margarita
作者单位：Louisiana State University System; Louisiana State University; Emory University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Washington University (WUSTL); Centre for Economic Policy Research - UK; European Corporate Governance Institute
摘要：We study the corporate-loan pricing decisions of a major, systemic bank during the Greek financial crisis. A unique aspect of our data set is that we observe both the actual interest rate and the break-even rate (BE rate) of each loan, as computed by the bank's own loan-pricing department (in effect, the loan's marginal cost). We document that low-BE-rate (safer) borrowers are charged significant markups, whereas high-BE-rate (riskier) borrowers are charged smaller and even negative markups. W...
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作者：John, Kose; Rivera, Thomas J.; Saleh, Fahad
作者单位：New York University; McGill University; State University System of Florida; University of Florida
摘要：We develop an economic model to compare equilibrium security of Proof-of-Work (PoW) versus Proof-of-Stake (PoS) blockchains. We derive general conditions to determine when PoW blockchains are more secure than otherwise equivalent PoS blockchains and vice versa. Applying real-world parameter values to these conditions, we demonstrate that PoS blockchains are more secure than otherwise equivalent PoW blockchains. Furthermore, we demonstrate that PoS's security advantage over PoW is particularly ...
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作者：Andries, Marianne; Bianchi, Milo; Huynh, Karen K.; Pouget, Sebastien
作者单位：University of Southern California; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：In an investment experiment, we show variations in information affect beliefs and decision-making within the information-beliefs-decisions chain. Subjects observe the time series of a risky asset and a signal that, in random rounds, helps predict returns. Subjects form extrapolative forecasts following a signal they perceive as useless, and their investment decisions underreact to their beliefs. If the same subjects perceive the signal as predictive, they rationally use it in their forecasts, ...
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作者：Abrardi, Laura; Colombo, Luca; Tedeschi, Piero
作者单位：Polytechnic University of Turin; Catholic University of the Sacred Heart
摘要：The availability of big data and analytics expertise provides insurers with informational advantages over policyholders in estimating risk. We study competition between heterogeneously informed insurers, showing that their information may or may not be revealed in equilibrium. We find that all equilibria are profitable and that noninformative equilibria entail risk pooling and possibly efficiency. In informative equilibria, the signaling problem interacts with the screening problem that arises...
