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作者：Martinez-Miera, David; Repullo, Rafael
作者单位：Universidad Carlos III de Madrid
摘要：We present a model of the relationship between real interest rates, credit spreads, and the structure and risk of the banking system. Banks intermediate between entrepreneurs and investors, and can monitor entrepreneurs' projects. We characterize the equilibrium for a fixed aggregate supply of savings, showing that safer entrepreneurs will be funded by nonmonitoring banks and riskier entrepreneurs by monitoring banks. We show that an increase in savings reduces interest rates and spreads, and ...
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作者：Mykland, Per A.; Zhang, Lan
作者单位：University of Chicago; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that traditionally, standard errors rely on estimating a theoretically derived asymptotic variance, and often this asymptotic variance involves substantially more complex quantities than the original parameter to b...
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作者：Bandi, Federico M.; Pirino, Davide; Reno, Roberto
作者单位：Johns Hopkins University; University of Rome Tor Vergata; Scuola Normale Superiore di Pisa; University of Verona
摘要：We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no-arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the...
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作者：Bommier, Antoine; Kochov, Asen; Le Grand, Francois
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Rochester; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We explore the set of preferences defined over temporal lotteries in an infinite horizon setting. We provide utility representations for all preferences that are both recursive and monotone. Our results indicate that the class of monotone recursive preferences includes Uzawa-Epstein preferences and risk-sensitive preferences, but leaves aside several of the recursive models suggested by Epstein and Zin (1989) and Weil (1990). Our representation result is derived in great generality using Lundb...
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作者：Doepke, Matthias; Schneider, Martin
作者单位：Northwestern University; Stanford University
摘要：We develop a theory that rationalizes the use of a dominant unit of account in an economy. Agents enter into non-contingent contracts with a variety of business partners. Trade unfolds sequentially in credit chains and is subject to random matching. By using a dominant unit of account, agents can lower their exposure to relative price risk, avoid costly default, and create more total surplus. We discuss conditions under which it is optimal to adopt circulating government paper as the dominant ...
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作者：Chew, Soo Hong; Miao, Bin; Zhong, Songfa
作者单位：National University of Singapore; Shanghai University of Finance & Economics
摘要：We extend Ellsberg's two-urn paradox and propose three symmetric forms of partial ambiguity by limiting the possible compositions in a deck of 100 red and black cards in three ways. Interval ambiguity involves a symmetric range of 50- n to 50+ n red cards. Complementarily, disjoint ambiguity arises from two nonintersecting intervals of 0 to n and 100 - n to 100 red cards. Two-point ambiguity involves n or 100 - n red cards. We investigate experimentally attitudes towards partial ambiguity and ...
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作者：Ho, Kate; Lee, Robin S.
作者单位：Columbia University; National Bureau of Economic Research; Harvard University
摘要：The impact of insurer competition on welfare, negotiated provider prices, and premiums in the U.S. private health care industry is theoretically ambiguous. Reduced competition may increase the premiums charged by insurers and their payments made to hospitals. However, it may also strengthen insurers' bargaining leverage when negotiating with hospitals, thereby generating offsetting cost decreases. To understand and measure this trade-off, we estimate a model of employer-insurer and hospital-in...
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作者：Li, Jia; Todorov, Viktor; Tauchen, George
作者单位：Duke University; Northwestern University; Duke University
摘要：We develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a linear jump relation over regions of the jump size domain. The test has power against general forms of nonlinearity in the jump dependence as well as temporal instabilities. We further propose an e...
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作者：Martinez-Bravo, Monica; Mukherjee, Priya; Stegmann, Andreas
作者单位：William & Mary
摘要：Democracies widely differ in the extent to which powerful elites and interest groups retain influence over politics. While a large literature argues that elite capture is rooted in a country's history, our understanding of the determinants of elite persistence is limited. In this paper, we show that allowing old-regime agents to remain in office during democratic transitions is a key determinant of the extent of elite capture. We exploit quasi-random from Indonesia: Soeharto-regime mayors were...
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作者：Hastings, Justine; Hortacsu, Ali; Syverson, Chad
作者单位：Brown University; National Bureau of Economic Research; University of Chicago; University of Chicago
摘要：This paper examines how sales force impacts competition and equilibrium prices in the context of a privatized pension market. We use detailed administrative data on fund manager choices and worker characteristics at the inception of Mexico's privatized social security system, where fund managers had to set prices (management fees) at the national level, but could select sales force levels by local geographic areas. We develop and estimate a model of fund manager choice where sales force can in...
