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作者：Chernozhukov, Victor; Fernandez-Val, Ivan
作者单位：Massachusetts Institute of Technology (MIT); Boston University
摘要：Quantile regression (QR) is an increasingly important empirical tool in economics and other sciences for analysing the impact a set of regressors has on the conditional distribution of an outcome. Extremal QR, or QR applied to the tails, is of interest in many economic and financial applications, such as conditional value at risk, production efficiency, and adjustment bands in (S,s) models. This paper provides feasible inference tools for extremal conditional quantile models that rely on extre...
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作者：Bai, Jinhui H.; Lagunoff, Roger
作者单位：Georgetown University
摘要：This paper examines the Faustian dynamics of policy and power. We posit a general class of dynamic games in which current policies affect the future distribution of political power, resulting in the following Faustian trade-off: if the current ruler chooses his preferred policy, he then sacrifices future political power; yet if he wants to preserve his future power, he must sacrifice his present policy objectives. The trade-off comes from the fact that the current political ruler/pivotal voter...
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作者：Luttmer, Erzo G. J.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：The Pareto-like tail of the size distribution of firms can arise from random growth of productivity or stochastic accumulation of capital. If the shocks that give rise to firm growth are perfectly correlated within a firm, then the growth rates of small and large firms are equally volatile, contrary to what is found in the data. If firm growth is the result of many independent shocks within a firm, it can take hundreds of years for a few large firms to emerge. This paper describes an economy w...
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作者：Ang, Andrew; Boivin, Jean; Dong, Sen; Loo-Kung, Rudy
作者单位：Columbia University; Bank of Canada; National Bureau of Economic Research
摘要：We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor's (1993, Discretion Versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public Policy, 39, 195-214) rule where the coefficients on the output gap and inflation vary over time. The monetary policy loading on the output gap has averaged around 0 center dot 4 and has not changed very much over time. The overa...
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作者：Chakraborty, Archishman; Yilmaz, Bilge
作者单位：York University - Canada; University of Pennsylvania
摘要：Informational asymmetries between a firm and investors may lead to adverse selection in capital markets. This paper demonstrates that when the market obtains noisy information about a firm over time, this adverse selection problem can be costlessly solved by issuing callable convertible bonds with restrictive call provisions. Such securities can be designed to make the payoff to new claimholders independent of the private information of the manager. This eliminates the possibility of any dilut...
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作者：Chien, Yili; Cole, Harold; Lustig, Hanno
作者单位：Purdue University System; Purdue University; University of Pennsylvania; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Our paper examines the impact of heterogeneous trading technologies for households on asset prices and the distribution of wealth. We distinguish between passive traders who hold fixed portfolios of stocks and bonds, and active traders who adjust their portfolios to changes in expected returns. To solve the model, we derive an optimal consumption sharing rule that does not depend on the trading technology, and we derive an aggregation result for state prices. This allows us to solve for equili...
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作者：Kubler, Felix
作者单位：University of Zurich; Swiss Finance Institute (SFI)
摘要：In this paper, I examine epsilon-equilibria of stationary dynamic economies with heterogeneous agents and possibly incomplete financial markets. I give a simple example to show that even for arbitrarily small epsilon > 0, allocation and prices can be far away from exact equilibrium allocations and prices. That is, errors in market clearing or individuals' optimality conditions do not provide enough information to assess the quality of an approximation. I derive a sufficient condition for an ep...
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作者：Bernhardt, Dan; Camara, Odilon; Squintani, Francesco
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Southern California; University of Essex; University of Brescia
摘要：We develop a dynamic repeated election model in which citizen candidates are distinguished by both their ideology and valence. Voters observe an incumbent's valence and policy choices but only know the challenger's party. Our model provides a rich set of novel results. In contrast to existing predictions from static models, we prove that dynamic considerations make higher-valence incumbents more likely to compromise and win re-election, even though they compromise to more extreme policies. Con...
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作者：Acemoglu, Daron; Dahleh, Munther A.; Lobel, Ilan; Ozdaglar, Asuman
作者单位：Massachusetts Institute of Technology (MIT); New York University
摘要：We study the (perfect Bayesian) equilibrium of a sequential learning model over a general social network. Each individual receives a signal about the underlying state of the world, observes the past actions of a stochastically generated neighbourhood of individuals, and chooses one of two possible actions. The stochastic process generating the neighbourhoods defines the network topology. We characterize pure strategy equilibria for arbitrary stochastic and deterministic social networks and cha...
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作者：Dal Bo, Ernesto; Rossi, Martin A.
作者单位：University of California System; University of California Berkeley
摘要：We evaluate the effects of a fundamental lever of constitutional design: the duration of public office terms. We present a simple model grounded in interviews with legislators and highlight three forces shaping incentives to exert legislative effort. We exploit two natural experiments in the Argentine Congress (where term lengths were assigned randomly) to ascertain which forces are empirically dominant. Results for separate measures as well as an aggregate index of legislative effort show tha...
