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作者：Echenique, Federico; Saito, Kota
作者单位：California Institute of Technology
摘要：We develop a behavioral axiomatic characterization of subjective expected utility (SEU) under risk aversion. Given is an individual agent's behavior in the market: assume a finite collection of asset purchases with corresponding prices. We show that such behavior satisfies a revealed preference axiom if and only if there exists a SEU model (a subjective probability over states and a concave utility function over money) that accounts for the given asset purchases.
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作者：Galperti, Simone
作者单位：University of California System; University of California San Diego
摘要：This paper develops a theory of optimal provision of commitment devices to people who value both commitment and flexibility and whose preferences differ in the degree of time inconsistency. If time inconsistency is observable, both a planner and a monopolist provide devices that help each person commit to the efficient level of flexibility. However, the combination of unobservable time inconsistency and preference for flexibility causes an adverse-selection problem. To solve this problem, the ...
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作者：Jacobson, Tor; von Schedvin, Erik
作者单位：Sveriges Riksbank
摘要：Using an exhaustive data set on claims held by trade creditors (suppliers) on failed trade debtors (customers), we quantify the importance of trade credit chains for the propagation of corporate bankruptcy. We show that trade creditors experience significant trade credit losses due to trade debtor failures and that creditors' bankruptcy risks increase in the size of incurred losses. By exploring the roles of financial constraints and creditor-debtor dependences, we infer that the trade credit ...
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作者：Matzkin, Rosa L.
作者单位：University of California System; University of California Los Angeles
摘要：We introduce methods for estimating nonparametric, nonadditive models with simultaneity. The methods are developed by directly connecting the elements of the structural system to be estimated with features of the density of the observable variables, such as ratios of derivatives or averages of products of derivatives of this density. The estimators are therefore easily computed functionals of a nonparametric estimator of the density of the observable variables. We consider in detail a model wh...
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作者：Atkeson, Andrew G.; Eisfeldt, Andrea L.; Weill, Pierre-Olivier
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of California System; University of California Los Angeles; University of California System; University of California Los Angeles; Center for Economic & Policy Research (CEPR)
摘要：We develop a parsimonious model to study the equilibrium and socially optimal decisions of banks to enter, trade in, and possibly exit, an OTC market. Although we endow all banks with the same trading technology, banks' optimal entry and trading decisions endogenously lead to a realistic market structure composed of dealers and customers with distinct trading patterns. We decompose banks' entry incentives into incentives to hedge risk and incentives to make intermediation profits. We show that...
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作者：Moon, Hyungsik Roger; Weidner, Martin
作者单位：University of Southern California; University of Southern California; Yonsei University; University of London; University College London
摘要：In this paper, we study the least squares (LS) estimator in a linear panel regression model with unknown number of factors appearing as interactive fixed effects. Assuming that the number of factors used in estimation is larger than the true number of factors in the data, we establish the limiting distribution of the LS estimator for the regression coefficients as the number of time periods and the number of cross-sectional units jointly go to infinity. The main result of the paper is that und...
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作者：Cavaliere, Giuseppe; Nielsen, Heino Bohn; Rahbek, Anders
作者单位：University of Bologna; University of Copenhagen
摘要：It is well known that the finite-sample properties of tests of hypotheses on the co-integrating vectors in vector autoregressive models can be quite poor, and that current solutions based on Bartlett-type corrections or bootstrap based on unrestricted parameter estimators are unsatisfactory, in particular in those cases where also asymptotic (2) tests fail most severely. In this paper, we solve this inference problem by showing the novel result that a bootstrap test where the null hypothesis i...
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作者：Chiesa, Alessandro; Micali, Silvio; Zhu, Zeyuan Allen
作者单位：University of California System; University of California Berkeley; Massachusetts Institute of Technology (MIT)
摘要：We analyze the Vickrey mechanism for auctions of multiple identical goods when the players have both Knightian uncertainty over their own valuations and incomplete preferences. In this model, the Vickrey mechanism is no longer dominant-strategy, and we prove that all dominant-strategy mechanisms are inadequate. However, we also prove that, in undominated strategies, the social welfare produced by the Vickrey mechanism in the worst case is not only very good, but also essentially optimal.
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作者：Kim, Kyungmin; Kircher, Philipp
作者单位：University of Iowa; University of Edinburgh
摘要：We consider a large market where auctioneers with private reservation values compete for bidders by announcing cheap-talk messages. If auctioneers run efficient first-price auctions, then there always exists an equilibrium in which each auctioneer truthfully reveals her type. The equilibrium is constrained efficient, assigning more bidders to auctioneers with larger gains from trade. The choice of the trading mechanism is crucial for the result. Most notably, the use of second-price auctions (...
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作者：[Anonymous]
