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作者：Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor
作者单位：Northwestern University; National Bureau of Economic Research; CREATES; Johns Hopkins University
摘要：We develop a new parametric estimation procedure for option panels observed with error. We exploit asymptotic approximations assuming an ever increasing set of option prices in the moneyness (cross-sectional) dimension, but with a fixed time span. We develop consistent estimators for the parameters and the dynamic realization of the state vector governing the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible estimators for the limiting varian...
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作者：Hanlon, W. Walker
作者单位：University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：This study provides causal evidence that a shock to the relative supply of inputs to production can (1) affect the direction of technological progress and (2) lead to a rebound in the relative price of the input that became relatively more abundant (the strong induced-bias hypothesis). I exploit the impact of the U.S. Civil War on the British cotton textile industry, which reduced supplies of cotton from the Southern United States, forcing British producers to shift to lower-quality Indian cot...
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作者：Ahlfeldt, Gabriel M.; Redding, Stephen J.; Sturm, Daniel M.; Wolf, Nikolaus
作者单位：University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Princeton University; Princeton University; National Bureau of Economic Research; University of London; London School Economics & Political Science; Humboldt University of Berlin
摘要：This paper develops a quantitative model of internal city structure that features agglomeration and dispersion forces and an arbitrary number of heterogeneous city blocks. The model remains tractable and amenable to empirical analysis because of stochastic shocks to commuting decisions, which yield a gravity equation for commuting flows. To structurally estimate agglomeration and dispersion forces, we use data on thousands of city blocks in Berlin for 1936, 1986, and 2006 and exogenous variati...
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作者：Menzel, Konrad
作者单位：New York University
摘要：This paper studies two-sided matching markets with non-transferable utility when the number of market participants grows large. We consider a model in which each agent has a random preference ordering over individual potential matching partners, and agents' types are only partially observed by the econometrician. We show that in a large market, the inclusive value is a sufficient statistic for an agent's endogenous choice set with respect to the probability of being matched to a spouse of a gi...
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作者：Noeldeke, Georg; Samuelson, Larry
作者单位：University of Basel; Yale University
摘要：We study markets in which agents first make investments and are then matched into potentially productive partnerships. Equilibrium investments and the equilibrium matching will be efficient if agents can simultaneously negotiate investments and matches, but we focus on markets in which agents must first sink their investments before matching. Additional equilibria may arise in this sunk-investment setting, even though our matching market is competitive. These equilibria exhibit inefficiencies ...
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作者：Bhattacharya, Debopam
作者单位：University of Oxford
摘要：We consider empirical measurement of equivalent variation (EV) and compensating variation (CV) resulting from price change of a discrete good using individual-level data when there is unobserved heterogeneity in preferences. We show that for binary and unordered multinomial choice, the marginal distributions of EV and CV can be expressed as simple closed-form functionals of conditional choice probabilities under essentially unrestricted preference distributions. These results hold even when th...
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作者：Bigoni, Maria; Casari, Marco; Skrzypacz, Andrzej; Spagnolo, Giancarlo
作者单位：University of Bologna; IZA Institute Labor Economics; Stanford University; University of Rome Tor Vergata; Centre for Economic Policy Research - UK
摘要：We study social dilemmas in (quasi-) continuous-time experiments, comparing games with different durations and termination rules. We discover a stark qualitative contrast in behavior in continuous time as compared to previously studied behavior in discrete-time games: cooperation is easier to achieve and sustain with deterministic horizons than with stochastic ones, and end-game effects emerge, but subjects postpone them with experience. Analysis of individual strategies provides a basis for a...
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作者：Baumeister, Christiane; Hamilton, James D.
作者单位：University of Notre Dame; University of California System; University of California San Diego
摘要：This paper makes the following original contributions to the literature. (i) We develop a simpler analytical characterization and numerical algorithm for Bayesian inference in structural vector autoregressions (VARs) that can be used for models that are overidentified, just-identified, or underidentified. (ii) We analyze the asymptotic properties of Bayesian inference and show that in the underidentified case, the asymptotic posterior distribution of contemporaneous coefficients in an n-variab...
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作者：D'Haultfoeuille, Xavier; Fevrier, Philippe
作者单位：Institut Polytechnique de Paris; ENSAE Paris
摘要：We study the identification through instruments of a nonseparable function that relates a continuous outcome to a continuous endogenous variable. Using group and dynamical systems theories, we show that full identification can be achieved under strong exogeneity of the instrument and a dual monotonicity condition, even if the instrument is discrete. When identified, the model is also testable. Our results therefore highlight the identifying power of strong exogeneity when combined with monoton...
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作者：Renner, Philipp; Schmedders, Karl
作者单位：Stanford University; University of Zurich; Swiss Finance Institute (SFI)
摘要：This paper presents a new method for the analysis of moral hazard principal-agent problems. The new approach avoids the stringent assumptions on the distribution of outcomes made by the classical first-order approach and instead only requires the agent's expected utility to be a rational function of the action. This assumption allows for a reformulation of the agent's utility maximization problem as an equivalent system of equations and inequalities. This reformulation in turn transforms the p...
