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作者：Brandl, Florian; Brandt, Felix; Seedig, Hans Georg
作者单位：Technical University of Munich
摘要：Two fundamental axioms in social choice theory are consistency with respect to a variable electorate and consistency with respect to components of similar alternatives. In the context of traditional non-probabilistic social choice, these axioms are incompatible with each other. We show that in the context of probabilistic social choice, these axioms uniquely characterize a function proposed by Fishburn (1984). Fishburn's function returns so-called maximal lotteries, that is, lotteries that cor...
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作者：Glasserman, Paul; Nouri, Behzad
作者单位：Columbia University
摘要：We analyze the internal consistency of using the market price of a firm's equity to trigger a contractual change in the firm's capital structure, given that the value of the equity itself depends on the firm's capital structure. Of particular interest is the case of contingent capital for banks, in the form of debt that converts to equity, when conversion is triggered by a decline in the bank's stock price. We analyze the problem of existence and uniqueness of equilibrium values for a firm's l...
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作者：Epstein, Larry G.; Kaido, Hiroaki; Seo, Kyoungwon
作者单位：Boston University; Seoul National University (SNU)
摘要：Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge of all parameter values. We propose a method of inference about unknown parameters for such models that is robust to heterogeneity and dependence of unknown form. The key is a Central Limit Theorem for belief functions; robust confidence regions are then constructed in a fashion paralleling the classical approach. Monte Carlo simulations support tractability of the method and demonstrate i...
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作者：Gavazza, Alessandro
作者单位：University of London; London School Economics & Political Science
摘要：I estimate a search-and-bargaining model of a decentralized market to quantify the effects of trading frictions on asset allocations, asset prices, and welfare, and to quantify the effects of intermediaries that facilitate trade. Using business-aircraft data, I find that, relative to the Walrasian benchmark, 18.3 percent of the assets are misallocated; prices are 19.2 percent lower; and the aggregate welfare losses equal 23.9 percent. Dealers play an important role in reducing trading friction...
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作者：Miao, Jianjun; Rivera, Alejandro
作者单位：Boston University; Central University of Finance & Economics; Zhejiang University; University of Texas System; University of Texas Dallas
摘要：We study a continuous-time contracting problem under hidden action, where the principal has ambiguous beliefs about the project cash flows. The principal designs a robust contract that maximizes his utility under the worst-case scenario subject to the agent's incentive and participation constraints. Robustness generates endogenous belief heterogeneity and induces a tradeoff between incentives and ambiguity sharing so that the incentive constraint does not always bind. We implement the optimal ...
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作者：Bayer, Patrick; McMillan, Robert; Murphy, Alvin; Timmins, Christopher
作者单位：Duke University; University of Toronto; Arizona State University; Arizona State University-Tempe
摘要：This paper develops a dynamic model of neighborhood choice along with a computationally light multi-step estimator. The proposed empirical framework captures observed and unobserved preference heterogeneity across households and locations in a flexible way. We estimate the model using a newly assembled data set that matches demographic information from mortgage applications to the universe of housing transactions in the San Francisco Bay Area from 1994 to 2004. The results provide the first es...
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作者：Garcia-Jimeno, Camilo
作者单位：University of Pennsylvania
摘要：The U.S. Prohibition experience shows a remarkable policy reversal. In only 14 years, a drastic shift in public opinion required two constitutional amendments. I develop and estimate a model of endogenous law enforcement, determined by beliefs about the Prohibition-crime nexus and alcohol-related moral views. In turn, the policy outcomes shape subsequent learning about Prohibition enforcement costs. I estimate the model through maximum likelihood on Prohibition Era city-level data on police en...
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作者：Muller, Ulrich K.; Norets, Andriy
作者单位：Princeton University; Brown University
摘要：Confidence intervals are commonly used to describe parameter uncertainty. In nonstandard problems, however, their frequentist coverage property does not guarantee that they do so in a reasonable fashion. For instance, confidence intervals may be empty or extremely short with positive probability, even if they are based on inverting powerful tests. We apply a betting framework and a notion of bet-proofness to formalize the reasonableness of confidence intervals as descriptions of parameter unce...
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作者：Porter, Robert
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作者：Koijen, Ralph S. J.; Yogo, Motohiro
作者单位：University of London; London Business School; Center for Economic & Policy Research (CEPR); Princeton University; National Bureau of Economic Research
摘要：Life insurers use reinsurance to move liabilities from regulated and rated companies that sell policies to shadow reinsurers, which are less regulated and unrated off-balance-sheet entities within the same insurance group. U.S. life insurance and annuity liabilities ceded to shadow reinsurers grew from $11 billion in 2002 to $364 billion in 2012. Life insurers using shadow insurance, which capture half of the market share, ceded 25 cents of every dollar insured to shadow reinsurers in 2012, up...
