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作者：Williams, Noah
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：This paper studies the design of optimal contracts in dynamic environments where agents have private information that is persistent. In particular, I focus on a continuous-time version of a benchmark insurance problem where a risk-averse agent would like to borrow from a risk-neutral lender to stabilize his utility. The agent privately observes a persistent state variable, typically either income or a taste shock, and he makes reports to the principal. I give verifiable sufficient conditions s...
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作者：Beresteanu, Arie; Molchanov, Ilya; Molinari, Francesca
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Bern; Cornell University
摘要：We provide a tractable characterization of the sharp identification region of the parameter vector ? in a broad class of incomplete econometric models. Models in this class have set-valued predictions that yield a convex set of conditional or unconditional moments for the observable model variables. In short, we call these models with convex moment predictions. Examples include static, simultaneous-move finite games of complete and incomplete information in the presence of multiple equilibria;...
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作者：Barro, Robert J.; Jin, Tao
作者单位：Harvard University
摘要：The coefficient of relative risk aversion is a key parameter for analyses of behavior toward risk, but good estimates of this parameter do not exist. A promising place for reliable estimation is rare macroeconomic disasters, which have a major influence on the equity premium. The premium depends on the probability and size distribution of disasters, gauged by proportionate declines in per capita consumption or gross domestic product. Long-term national-accounts data for 36 countries provide a ...
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作者：Noor, Jawwad
作者单位：Boston University
摘要：Gul and Pesendorfer (2001) model the static behavior of an agent who ranks menus prior to the experience of temptation. This paper models the dynamic behavior of an agent whose ranking of menus itself is subject to temptation. The representation for the agent's dynamically inconsistent choice behavior views him as possessing a dynamically consistent view of what choices he should make (a normative preference) and being tempted by menus that contain tempting alternatives. Foundations for the mo...
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作者：Vives, Xavier
作者单位：University of Navarra; IESE Business School
摘要：A finite number of sellers (n) compete in schedules to supply an elastic demand. The cost of each seller is random, with common and private value components, and the seller receives a private signal about it. A Bayesian supply function equilibrium is characterized: The equilibrium is privately revealing and the incentives to rely on private signals are preserved. Supply functions are steeper with higher correlation among the cost parameters. For high (positive) correlation, supply functions ar...
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作者：Darolles, S.; Fan, Y.; Florens, J. P.; Renault, E.
作者单位：Universite PSL; Universite Paris-Dauphine; Vanderbilt University; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Brown University; Tilburg University
摘要：The focus of this paper is the nonparametric estimation of an instrumental regression function phi defined by conditional moment restrictions that stem from a structural econometric model E[Y - phi(Z) vertical bar W] = 0, and involve endogenous variables Y and Z and instruments W. The function phi is the solution of an ill-posed inverse problem and we propose an estimation procedure based on Tikhonov regularization. The paper analyzes identification and overidentification of this model, and pr...
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作者：Kaboski, Joseph P.; Townsend, Robert M.
作者单位：University of Notre Dame; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：This paper uses a structural model to understand, predict, and evaluate the impact of an exogenous microcredit intervention program, the Thai Million Baht Village Fund program. We model household decisions in the face of borrowing constraints, income uncertainty, and high-yield indivisible investment opportunities. After estimation of parameters using preprogram data, we evaluate the model's ability to predict and interpret the impact of the village fund intervention. Simulations from the mode...
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作者：Alvarez, Fernando; Shimer, Robert
作者单位：University of Chicago
摘要：This paper develops a tractable version of the Lucas and Prescott (1974) search model. Each of a continuum of industries produces a heterogeneous good using a production technology that is continually hit by idiosyncratic shocks. In response to adverse shocks, some workers search for new industries while others are rest unemployed, waiting for their industry's condition to improve. We obtain closed-form expressions for key aggregate variables and use them to evaluate the model's quantitative p...
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作者：Buera, Francisco J.; Monge-Naranjo, Alexander; Primiceri, Giorgio E.
作者单位：University of California System; University of California Los Angeles; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Northwestern University; National Bureau of Economic Research
摘要：We study the evolution of market-oriented policies over time and across countries. We consider a model in which own and neighbors' past experiences influence policy choices through their effect on policymakers' beliefs. We estimate the model using a large panel of countries and find that it fits a large fraction of the policy choices observed in the postwar data, including the slow adoption of liberal policies. Our model also predicts that there would be reversals to state intervention if nowa...
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作者：Arcidiacono, Peter; Miller, Robert A.
作者单位：Duke University; Carnegie Mellon University
摘要：We adapt the expectationmaximization algorithm to incorporate unobserved heterogeneity into conditional choice probability (CCP) estimators of dynamic discrete choice problems. The unobserved heterogeneity can be time-invariant or follow a Markov chain. By developing a class of problems where the difference in future value terms depends on a few conditional choice probabilities, we extend the class of dynamic optimization problems where CCP estimators provide a computationally cheap alternativ...
