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作者：Albagli, Elias
作者单位：Central Bank of Chile
摘要：I study a financial market with a generalized overlapping generations structure. Investors live for an arbitrary number of periods, and are asymmetrically informed about future dividends of a risky asset. I compare pricing moments, and the informational content of prices, across economies with different investment horizons. Horizons affect prices through two key mechanisms: as horizons increase, the age-adjusted risk aversion of the average investor falls, and the risk transfer from forced liq...
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作者：Bogomolnaia, Anna
作者单位：University of Glasgow
摘要：We provide a new, welfarist, interpretation of the well-known Serial rule in the random assignment problem, strikingly different from previous attempts to define or axiomatically characterize this rule. For each agent i we define t(i)(k) to be the total share of objects from her first k indifference classes this agent i gets. Serial assignment is shown to be the unique one which leximin maximizes the vector of all such shares (t(i)(k)). This result is very general; it applies to non-strict pre...
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作者：de Clippel, Geoffroy
作者单位：Brown University
摘要：Nash's characterization of his famous bargaining solution has long faced the objection of being welfarist: a bargaining situation is captured by a utility possibility set and a utility vector prevailing in case of disagreement, with no further information regarding the underlying economic environment. The present paper shows that a straightforward adaptation of Nash's axioms in a natural economic environment with lotteries does characterize his solution. A similar result holds for Kalai and Sm...
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作者：Dufourt, Frederic; Nishimura, Kazuo; Venditti, Alain
作者单位：Aix-Marseille Universite; Centre National de la Recherche Scientifique (CNRS); Institut Universitaire de France; Kobe University; Kyoto University; Universite Catholique de Lille; EDHEC Business School
摘要：We analyze sunspot-driven fluctuations in the standard two-sector RBC model with moderate increasing returns to scale and generalized no-income-effect preferences a la Greenwood, Hercovitz and Huffman [13]. We provide a detailed theoretical analysis enabling us to derive relevant bifurcation loci and to characterize the steady-state local stability properties as a function of various structural parameters. We show that local indeterminacy occurs through flip and Hopf bifurcations for a large s...
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作者：Hugonnier, Julien; Malamud, Semyon; Morellec, Erwan
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to raise funds in credit markets and have to search for investors when seeking to adjust their capital structure. We provide a general analysis of shareholders' dynamic financing and default decisions, show when Markov perfect equilibria in fina...
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作者：Schabert, Andreas
作者单位：University of Cologne
摘要：We analyze optimal monetary policy in a sticky price model with open market operations. The central bank sets the policy rate and can, additionally, control the amount of money by rationing money supplied against eligible securities. Optimal policy under money rationing is shown to enhance welfare in the longrun and in the short-run compared to a conventional optimal policy regime where money supply is not rationed and satiates money demand. Specifically, this property is shown to apply when p...
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作者：Bayati, Mohsen; Borgs, Christian; Chayes, Jennifer; Kanoria, Yash; Montanari, Andrea
作者单位：Stanford University; Microsoft; Columbia University; Stanford University; Stanford University
摘要：We consider a one-sided assignment market or exchange network with transferable utility and the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on estimated best alternative matches, in the spirit of pairwise Nash bargaining. Agents are not strategic in our model. We establish that when a balanced outcome (a generalization of the pairwise Nash bargaining solution to networks) exists, our dynamics converges rapidly to such an ...
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作者：Chen, Jing; Micali, Silvio
作者单位：State University of New York (SUNY) System; Stony Brook University; Massachusetts Institute of Technology (MIT)
摘要：We study mechanism design in non-Bayesian settings of incomplete information, when the designer has no information about the players, and the players have arbitrary, heterogeneous, first-order, and possibilistic beliefs about their opponents' payoff types. Using such beliefs, in auctions of a single good, we define a revenue benchmark at least as high as the second-highest valuation, and sometimes much higher; prove that it is not meaningfully achievable via traditional notions of implementati...
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作者：Daskalakis, Constantinos; Papadimitriou, Christos H.
作者单位：Massachusetts Institute of Technology (MIT); University of California System; University of California Berkeley
摘要：We study from an algorithmic viewpoint anonymous games [22,4,5,19]. In these games a large population of players shares the same strategy set and, while players may have different payoff functions, the payoff of each depends on her own choice of strategy and the number of the other players playing each strategy (not the identity of these players). We show that, the intractability results of [12] and [10] for general games notwithstanding, approximate mixed Nash equilibria in anonymous games ca...
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作者：Garrett, Daniel F.; Pavan, Alessandro
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Northwestern University
摘要：We study the optimal dynamics of incentives for a manager whose ability to generate cash flows changes stochastically with time and is his private information. We show that distortions (aka, wedges) under optimal contracts may either increase or decrease over time. In particular, when the manager's risk aversion and ability persistence are small, distortions decrease, on average, over time. For sufficiently high degrees of risk aversion and ability persistence, instead, distortions increase, o...
