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作者：Hortacsu, Ali; Kastl, Jakub
作者单位：University of Chicago; National Bureau of Economic Research; Stanford University
摘要：In many financial markets, dealers have the advantage of observing the orders of their customers. To quantify the economic benefit that dealers derive from this advantage, we study detailed data from Canadian Treasury auctions, where dealers observe customer bids while preparing their own bids. In this setting, dealers can use information on customer bids to learn about (i) competition, that is, the distribution of competing bids in the auction, and (ii) fundamentals, that is, the ex post valu...
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作者：Carvajal, Andres; Rostek, Marzena; Weretka, Marek
作者单位：University of Warwick; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper examines the incentives offered by frictionless markets to innovate asset-backed securities by owners who maximize the assets' values. Assuming identical preferences across investors with heterogeneous risk-sharing needs, we characterize economies in which competition provides insufficient incentives to innovate so that, in equilibrium, financial markets are incomplete in all (pure strategy) equilibria, even when innovation is essentially costless. Thus, value maximization does not ...
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作者：Einav, Liran; Jenkins, Mark; Levin, Jonathan
作者单位：Stanford University; National Bureau of Economic Research; University of Pennsylvania
摘要：We analyze subprime consumer lending and the role played by down payment requirements in screening high-risk borrowers and limiting defaults. To do this, we develop an empirical model of the demand for financed purchases that incorporates both adverse selection and repayment incentives. We estimate the model using detailed transaction-level data on subprime auto loans. We show how different elements of loan contracts affect the quality of the borrower pool and subsequent loan performance. We a...
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作者：Duffie, Darrell; Strulovici, Bruno
作者单位：Stanford University; Northwestern University
摘要：We present a model for the equilibrium movement of capital between asset markets that are distinguished only by the levels of capital invested in each. Investment in that market with the greatest amount of capital earns the lowest risk premium. Intermediaries optimally trade off the costs of intermediation against fees that depend on the gain they can offer to investors for moving their capital to the market with the higher mean return. The bargaining power of an investor depends on potential ...
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作者：Johansen, Soren; Nielsen, Morten Orregaard
作者单位：University of Copenhagen; CREATES; Queens University - Canada
摘要：We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model, based on the Gaussian likelihood conditional on initial values. We give conditions on the parameters such that the process X-t is fractional of order d and cofractional of order d-b; that is, there exist vectors beta for which beta'X-t is fractional of order d-b and no other fractionality order is possible. For b=1, the model nests the I(d-1) vector autoregressive model. We define th...
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作者：de Paula, Aureo; Tang, Xun
作者单位：University of London; University College London; University of London; London School Economics & Political Science; University of Pennsylvania
摘要：This paper studies the inference of interaction effects in discrete simultaneous games with incomplete information. We propose a test for the signs of state-dependent interaction effects that does not require parametric specifications of players' payoffs, the distributions of their private signals, or the equilibrium selection mechanism. The test relies on the commonly invoked assumption that players' private signals are independent conditional on observed states. The procedure is valid in (bu...
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作者：Schmitt-Grohe, Stephanie; Uribe, Martin
作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：In the context of a dynamic, stochastic, general equilibrium model, we perform classical maximum likelihood and Bayesian estimations of the contribution of anticipated shocks to business cycles in the postwar United States. Our identification approach relies on the fact that forward-looking agents react to anticipated changes in exogenous fundamentals before such changes materialize. It further allows us to distinguish changes in fundamentals by their anticipation horizon. We find that anticip...
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作者：Su, Che-Lin; Judd, Kenneth L.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Estimating structural models is often viewed as computationally difficult, an impression partly due to a focus on the nested fixed-point (NFXP) approach. We propose a new constrained optimization approach for structural estimation. We show that our approach and the NFXP algorithm solve the same estimation problem, and yield the same estimates. Computationally, our approach can have speed advantages because we do not repeatedly solve the structural equation at each guess of structural parameter...
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作者：Hirano, Keisuke; Porter, Jack R.
作者单位：University of Arizona; University of Wisconsin System; University of Wisconsin Madison
摘要：We examine challenges to estimation and inference when the objects of interest are nondifferentiable functionals of the underlying data distribution. This situation arises in a number of applications of bounds analysis and moment inequality models, and in recent work on estimating optimal dynamic treatment regimes. Drawing on earlier work relating differentiability to the existence of unbiased and regular estimators, we show that if the target object is not differentiable in the parameters of ...
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作者：Beaudry, Paul; Green, David A.; Sand, Benjamin
作者单位：University of British Columbia; National Bureau of Economic Research; York University - Canada
摘要：Does switching the composition of jobs between low-paying and high-paying industries have important effects on wages in other sectors? In this paper, we build on search and bargaining theory to clarify a key general equilibrium channel through which changes in industrial composition could have substantial effects on wages in all sectors. In this class of models, wage determination takes the form of a social interaction problem and we illustrate how the implied sectoral linkages can be empirica...
