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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：Calin, OL; Chen, Y; Cosimano, TF; Himonas, AA
作者单位：Eastern Michigan University; Idaho State University; University of Notre Dame; University of Notre Dame
摘要：We present a new method for solving asset pricing models, which yields an analytic price-dividend function of one state variable. To illustrate our method we give a detailed analysis of Abel's asset pricing model. A function is analytic in an open interval if it can be represented as a convergent power series near every point of that interval. In addition to allowing us to solve for the exact equilibrium price-dividend function, the analyticity property also lets us assess the accuracy of any ...
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作者：Crawford, GS; Shum, M
作者单位：University of Arizona; Johns Hopkins University
摘要：Exploiting a rich panel data set on anti-ulcer drug prescriptions, we measure the effects of uncertainty and learning in the demand for pharmaceutical drugs. We estimate a dynamic matching model of demand under uncertainty in which patients learn from prescription experience about the effectiveness of alternative drugs. Unlike previous models, we allow drugs to have distinct symptomatic and curative effects, and endogenize treatment length by allowing drug choices to affect patients' underlyin...
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作者：Ely, JC; Hörner, J; Olszewski, W
作者单位：Northwestern University; Northwestern University; Hautes Etudes Commerciales (HEC) Paris
摘要：We introduce a class of strategies that generalizes examples constructed in two-player games under imperfect private monitoring. A sequential equilibrium is belief-free if, after every private history, each player's continuation strategy is optimal independently of his belief about his opponents' private histories. We provide a simple and sharp characterization of equilibrium payoffs using those strategies. While such strategies support a large set of payoffs, they are not rich enough to gener...
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作者：Kubler, I; Schmedders, K
作者单位：University of Mannheim; Northwestern University
摘要：This paper develops theoretical foundations for an error analysis of approximate equilibria in dynamic stochastic general equilibrium models with heterogeneous agents and incomplete financial markets. While there are several algorithms that compute prices and allocations for which agents' first-order conditions are approximately satisfied (approximate equilibria), there are few results on how to interpret the errors in these candidate solutions and how to relate the computed allocations and pr...
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作者：Jackson, MO; Swinkels, JM
作者单位：California Institute of Technology; Washington University (WUSTL)
摘要：We show existence of equilibria in distributional strategies for a wide class of private value auctions, including the first general existence result for double auctions. The set of equilibria is invariant to the tie-breaking rule. The model incorporates multiple unit demands, all standard pricing rules, reserve prices, entry costs, and stochastic demand and supply. Valuations can be correlated and asymmetrically distributed. For double auctions, we show further that at least one equilibrium i...
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作者：Arcidiacono, P
作者单位：Duke University
摘要：This paper addresses how changing the admission and financial aid rules at colleges affects future earnings. I estimate a structural model of the following decisions by individuals: where to submit applications, which school to attend, and what field to study. The model also includes decisions by schools as to which students to accept and how much financial aid to offer. Simulating how black educational choices would change were they to face the white admission and aid rules shows that race-ba...
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作者：Nishiyama, Y; Robinson, PM
作者单位：Kyoto University; University of London; London School Economics & Political Science
摘要：In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of interest, especially in sample sizes that are not enormous. We show that a bootstrap distribution achieves a valid Edgeworth correction in the case of density-weighted averaged derivative estimates of sem...
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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：Billot, A; Gilboa, I; Samet, D; Schmeidler, D
作者单位：Universite Paris-Pantheon-Assas; Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Tel Aviv University; Yale University; University System of Ohio; Ohio State University
摘要：A decision maker is asked to express her beliefs by assigning probabilities to certain possible states. We focus on the relationship between her database and her beliefs. We show that if beliefs given a union of two databases are a convex combination of beliefs given each of the databases, the belief formation process follows a simple formula: beliefs are a similarity-weighted average of the beliefs induced by each past case.
