Review of Economic Studies

最新文章

• Learning under ambiguity AI翻译
  作者：Epstein, Larry G.; Schneider, Martin
  作者单位：Boston University; New York University; National Bureau of Economic Research
  摘要：This paper considers learning when the distinction between risk and ambiguity matters. It first describes thought experiments, dynamic variants of those provided by Ellsberg, that highlight a sense in which the Bayesian learning model is extreme-it models agents who are implausibly ambitious about what they can learn in complicated environments. The paper then provides a generalization of the Bayesian model that accommodates the intuitive choices in the thought experiments. In particular, the ...
• Estimation and forecasting in models with multiple breaks AI翻译
  作者：Koop, Gary; Potter, Simon M.
  作者单位：University of Strathclyde; Federal Reserve System - USA; Federal Reserve Bank - New York
  摘要：This paper develops a new approach to change-point modelling that allows the number of change-points in the observed sample to be unknown. The model we develop assumes that regime durations have a Poisson distribution. It approximately nests the two most common approaches: the time-varying parameter (TVP) model with a change-point every period and the change-point model with a small number of regimes. We focus considerable attention on the construction of reasonable hierarchical priors both fo...
• Urban structure and growth AI翻译
  作者：Rossi-Hansberg, Esteban; Wright, Mark L. J.
  作者单位：Princeton University; University of California System; University of California Los Angeles
  摘要：Most economic activity occurs in cities. This creates a tension between local increasing returns, implied by the existence of cities, and aggregate constant returns, implied by balanced growth. To address this tension, we develop a general equilibrium theory of economic growth in an urban environment. In our theory, variation in the urban structure through the growth, birth, and death of cities is the margin that eliminates local increasing returns to yield constant returns to scale in the agg...
• Inattentive producers AI翻译
  作者：Reis, Ricardo
  作者单位：Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
  摘要：I present and solve the problem of a producer who faces costs of acquiring, absorbing, and processing information. I establish a series of theoretical results describing the producer's behaviour. First, I find the conditions under which the producer prefers to set a plan for the price he or she charges, or instead prefers to set a plan for the quantity he or she sells. Second, I show that the agent rationally chooses to be inattentive to news, only sporadically updating his or her information....
• Optimal redistributive taxation in a search equilibrium model AI翻译
  作者：Hungerbuhler, Mathias; Lehmann, Etienne; Parmentier, Alexis; Van Der Linden, Bruno
  作者单位：University of Namur; Universite Catholique Louvain; Universite Catholique Louvain; Universite Catholique Louvain
  摘要：This paper characterizes optimal non-linear income taxation in an economy with a continuum of unobservable productivity levels and endogenous involuntary unemployment due to frictions in the labour markets. Redistributive taxation distorts labour demand and wages. Compared to their efficient values, gross wages, unemployment, and participation are lower. Average tax rates are increasing. Marginal tax rates are positive, even at the top. Finally, numerical simulations suggest that redistributio...
• The market for quacks AI翻译
  作者：Spiegler, Ran
  作者单位：Tel Aviv University
  摘要：A group of n quacks plays a price-competition game, facing a continuum of patients who recover with probability alpha, whether they acquire a quack's treatment. If patients chose rationally, the market would be inactive. I assume, however, that patients choose according to a boundedly rational procedure, which reflects anecdotal reasoning. This element of bounded rationality has significant implications. The market for quacks is active, and patients suffer a welfare loss which behaves non-mono...
• Housing market dynamics:: On the contribution of income shocks and credit constraints AI翻译
  作者：Ortalo-Magne, Francois; Rady, Sven
  作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Munich
  摘要：We propose a life-cycle model of the housing market with a property ladder and a credit constraint. We focus on equilibria that replicate the facts that credit constraints delay some households' first home purchase and force other households to buy a home smaller than they would like. The model helps us identify a powerful driver of the housing market: the ability of young households to afford the down payment on a starter home, and in particular their income. The model also highlights a chann...
• Executive compensation and short-termist behaviour in speculative markets AI翻译
  作者：Bolton, Patrick; Scheinkman, Jose; Xiong, Wei
  作者单位：Columbia University; Princeton University
  摘要：We present a multiperiod agency model of stock-based executive compensation in a speculative stock market, where investors have heterogeneous beliefs and stock prices may deviate from underlying fundamentals and include a speculative option component. This component arises from the option to sell the stock in the future to potentially overoptimistic investors. We show that optimal compensation contracts may emphasize short-term stock performance, at the expense of long-run fundamental value, a...
• Information markets and the comovement of asset prices AI翻译
  作者：Veldkamp, Laura L.
  作者单位：New York University
  摘要：Traditional asset pricing models predict that covariance between prices of different assets should be lower than what we observe in the data. This paper introduces markets for information that generate high price covariance within a rational expectations framework. When information is costly, rational investors only buy information about a subset of the assets. Because information production has high fixed costs, competitive producers charge more for low-demand information than for high-demand...
• Semi-parametric comparison of stochastic volatility models using realized measures AI翻译
  作者：Corradi, Valentina; Distaso, Walter
  作者单位：University of London; Queen Mary University London; Imperial College London
  摘要：This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis. We first provide primitive conditions on the measurement error associated with the realized measure, which allow to construct ...