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作者：Cui, Wei; Wright, Randall; Zhu, Yu
作者单位：University of London; University College London; University of Groningen; Zhejiang University; Renmin University of China
摘要：This paper studies economies where firms acquire capital in primary markets and then, after idiosyncratic productivity shocks, retrade it in secondary markets that incorporate bilateral trade with search, bargaining, and liquidity frictions. We distinguish between full or partial sales (one firm gets all or some of the other's capital) and document several long- and short-run empirical patterns between these variables and the cost of liquidity, as measured by inflation. Quantitatively, the mod...
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作者：Elsby, Michael W. L.; Gottfries, Axel; Michaels, Ryan; Ratner, David
作者单位：University of Edinburgh; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Replacement hiring plays a central role in establishment dynamics. US establishments frequently report no net change in their employment, often for years, despite facing substantial gross turnover. We devise a tractable model in which replacement hiring is driven by a novel structure of frictions, combining firm dynamics, on-the-job search, and investments into job creation that are sunk at the point of replacement. A key implication is the emergence of vacancy chains. Quantitatively, the mode...
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作者：Wolf, Christian K.
作者单位：Massachusetts Institute of Technology (MIT)
摘要：I derive a general condition on consumer behavior ensuring that, in a standard model of demand-determined output, any path of inflation and output that is implementable via interest rate policy is also implementable through time-varying uniform transfers. In an analytical model with occasionally binding borrowing constraints, my condition holds generically. In a quantitative heterogeneous-agent model, the transfer policy that closes any given demand shortfall is furthermore well characterized ...
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作者：Rostek, Marzena; Yoon, Ji Hee
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of London; University College London
摘要：Decentralized trading motivates financial innovation, making synthetic products like derivatives nonredundant, even when all traders trade all assets. This nonredundancy arises because derivatives affect cross-security inference (information) and, in markets with large traders, equilibrium price impact (liquidity). The efficient securities differ from the underlying assets. While the market index/mutual funds are efficient in decentralized markets with competitive investors, heterogeneous port...
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作者：Chetverikov, Denis; Sorensen, Jesper Riis-Vestergaard
作者单位：University of California System; University of California Los Angeles; University of Copenhagen
摘要：We develop a new method for selecting the penalty parameter for & ell;1-penalized M-estimators in high dimensions, which we refer to as bootstrapping after cross validation. We derive rates of convergence for the corresponding & ell;1-penalized M-estimator and also for the post-& ell;1-penalized M-estimator, which refits the nonzero entries of the former estimator without penalty in the criterion function. We demonstrate via simulations that our methods are not dominated by cross validation in...
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作者：Kolotilin, Anton; Corrao, Roberto; Wolitzky, Alexander
作者单位：University of New South Wales Sydney; Massachusetts Institute of Technology (MIT)
摘要：We consider general Bayesian persuasion problems where the receiver's utility is single-peaked in a one-dimensional action. We show that a signal that pools at most two states in each realization is always optimal and that such pairwise signals are the only solutions under a nonsingularity condition on utilities. Our core results provide conditions under which the induced receiver action is single-dipped or single-peaked on each set of nested signal realizations. We also provide conditions for...
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作者：Chernozhukov, Victor; Fernandez-Val, Ivan; Luo, Siyi
作者单位：Massachusetts Institute of Technology (MIT); Boston University
摘要：We develop a distribution regression model under endogenous sample selection. This model is a semiparametric generalization of the Heckman selection model, which accommodates much richer patterns of heterogeneity in the effect of covariates and selection process and allows for departures from Gaussian errors while maintaining the same level of tractability. The model applies to continuous, discrete, and mixed outcomes. We provide identification, estimation, and inference methods and apply them...
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作者：Zaffaroni, Paolo
作者单位：Imperial College London
摘要：This paper develops a methodology, building on a local principal component analysis approach, for inference on the pricing ability of conditional asset pricing models designed to mitigate the effect of omitted risk factors and misspecified conditional dynamics. The methodology is designed to exploit the rich information available in large cross sections of individual stocks. Monte Carlo experiments and an empirical application demonstrate the benefits of this methodology over existing approach...
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作者：Wang, Shaoda; Yang, David Y.
作者单位：University of Chicago; National Bureau of Economic Research; Harvard University; National Bureau of Economic Research; Canadian Institute for Advanced Research (CIFAR)
摘要：Governments use policy experiments to facilitate learning, but the nature and effects of these experiments remain unclear. We analyze China's policy experimentation since 1980-among the most systematic in history-and document three facts. First, most experiments exhibit positive sample selection. Second, local politicians exert excessive efforts during experiments that are not replicable during policies' national rollout. Third, the central government is not fully sophisticated when interpreti...
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作者：Gowrisankaran, Gautam; Langer, Ashley; Zhang, Wendan
作者单位：Center for Economic & Policy Research (CEPR); Columbia University; National Bureau of Economic Research; University of Arizona; Renmin University of China
摘要：Government policy uncertainty affects irreversible decisions including technology adoption and exit. This paper quantifies uncertainty surrounding the Mercury and Air Toxics Standards (MATS). We estimate a dynamic oligopoly model for coal-fired electricity generators that recovers generators' beliefs regarding future MATS enforcement. We develop the approximate belief oligopoly equilibrium concept, where players understand that their decisions impact aggregate market states. MATS enforcement c...
