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作者：Moroni, Sofia; Swinkels, Jeroen
作者单位：Northwestern University; Yale University
摘要：We provide a new class of counter-examples to existence in a simple moral hazard problem in which the first-order approach is valid. In contrast to the Mirrlees example, unbounded likelihood ratios on the signal technology are not central. Rather, our examples center around the behavior of the utility function as utility diverges to negative infinity. For any utility function, such as ln(omega), in which utility diverges to negative infinity at a finite wealth level, existence will fail for so...
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作者：Martin, Antoine; Skeie, David; von Thadden, Ernst-Ludwig
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Mannheim
摘要：This paper develops an infinite-horizon model of financial institutions that borrow short-term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can occur as a result of changing market expectations. We show that the extent to which borrowers can ward off an...
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作者：Bhamra, Harjoat S.; Coeurdacier, Nicolas; Guibaud, Stephane
作者单位：Imperial College London; Center for Economic & Policy Research (CEPR)
摘要：This paper analyzes the determination of global equity portfolios and stock returns in the context of imperfectly integrated stock markets. We consider a continuous-time, two-country endowment economy, where the level of financial integration is captured by a proportional tax on foreign dividends. Despite the investor heterogeneity induced by this tax, we obtain approximate closed-form expressions for asset prices, and characterize equity holdings and the joint process followed by country-leve...
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作者：Forand, Jean Guillaume
作者单位：University of Waterloo
摘要：When campaigning for reelection, incumbent parties' promises to voters are constrained by their records in office, while opposition parties can use their time away from power to develop new platforms. In this paper, I introduce incumbent policy persistence in a dynamic game of electoral competition between two policy-motivated parties and characterise the long-run outcomes of its Markov perfect equilibria. Incumbents' reduced policy flexibility leads to alternation in power and policy dynamics...
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作者：Hellman, Ziv
作者单位：Bar Ilan University
摘要：Harsanyi [4] showed that Bayesian games over finite games of payoff uncertainty with finite sets of belief types always admit Bayesian equilibria. That still left the question of whether Bayesian games over finite games of payoff uncertainty with infinitely many types are guaranteed to have equilibria. Simon [7] presented an example of a Bayesian game with no measurable Bayesian equilibria, even though the underlying game of payoff uncertainty is finite. We present a new and shorter proof of S...
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作者：McLean, Richard; Obara, Ichiro; Postlewaite, Andrew
作者单位：Rutgers University System; Rutgers University New Brunswick; University of California System; University of California Los Angeles; University of Pennsylvania
摘要：A repeated game with private monitoring is close to a repeated game with public monitoring (or perfect monitoring) when (i) the expected payoff structures are close and (ii) the informational structures are close in the sense that private signals in the private monitoring game can be aggregated by some public coordination device to generate a public signal whose distribution is close to the distribution of the public signal in the public monitoring game. We provide a sufficient condition for t...
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作者：Ferraris, Leo; Mattesini, Fabrizio
作者单位：Universidad Carlos III de Madrid; University of Rome Tor Vergata
摘要：This paper addresses the rate of return puzzle of monetary theory. Similarly to the legal restrictions theory of the demand for money, we assume that Government bonds are subject to a minimum purchase requirement. Differently from this theory, however, we assume that intermediaries, when issuing private notes, cannot commit to always redeem them. First, we study an environment with legal restrictions to intermediation and show that cash and interest bearing bonds both circulate in the economy....
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作者：Dell'Ariccia, Giovanni; Laeven, Luc; Marquez, Robert
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK; University of California System; University of California Davis
摘要：Do low interest rate environments lead to greater bank risk-taking? We show that, when banks can adjust their capital structures, reductions in real interest rates lead to greater leverage and higher risk for any downward sloping loan demand function. However, if the capital structure is fixed, the effect depends on the degree of leverage: following a decrease in interest rates, well capitalized banks increase risk, while highly levered banks may decrease it if loan demand is linear or concave...
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作者：Camargo, Braz; Lester, Benjamin
作者单位：Getulio Vargas Foundation; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We study a dynamic, decentralized lemons market with one-time entry and characterize its set of equilibria. Our framework offers a theory of how frozen markets suffering from adverse selection recover or thaw over time endogenously; given an initial fraction of lemons, our model delivers sharp predictions about the length of time it takes for the market to recover, and how prices and the composition of assets in the market behave over this horizon. We use our framework to analyze a form of gov...
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作者：Mueller-Frank, Manuel
作者单位：University of Navarra; IESE Business School
摘要：This paper develops a model of repeated interaction in social networks among agents with differing degrees of sophistication. The focus of the model is observational learning; that is, each agent receives initial private information and makes inferences regarding the private information of others through the repeated interaction with his neighbors in the network. The main question is how well agents aggregate private information through their local interactions. I show that in finite networks ...
