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作者：Fostel, Ana; Geanakoplos, John
作者单位：George Washington University; Yale University; The Santa Fe Institute
摘要：A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second moments of asset returns. This paper suggests a reason why bad news is more often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest mostly in t...
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作者：Jensen, Martin Kaae
作者单位：University of Birmingham
摘要：This study proves various global stability results for unbounded optimal growth models. The main theorem states that any optimal path will eventually be in the neighborhood of a balanced growth path if future utility is sufficiently weakly discounted. The assumptions allow for non-smooth technologies, joint production, and production in independent sectors. Hence, the results form the integration of new growth and turnpike theory sought by McKenzie (1998) [31] in his Ely lecture. The applicabi...
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作者：d'Albis, Hippolyte; Lau, Sau-Him Paul; Sanchez-Romero, Miguel
作者单位：University of Hong Kong; Paris School of Economics; heSam Universite; Universite Pantheon-Sorbonne; Max Planck Society
摘要：Many studies specify human mortality patterns parametrically, with a parameter change affecting mortality rates at different ages simultaneously. Motivated by the stylized fact that a mortality decline affects primarily younger people in the early phase of mortality transition but mainly older people in the later phase, we study how a mortality change at an arbitrary age affects optimal retirement age. Using the Volterra derivative for a functional, we show that mortality reductions at older a...
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作者：Lauermann, Stephan
作者单位：University of Michigan System; University of Michigan
摘要：I consider bilateral trade between a seller and a buyer with private valuations. The seller makes a take-it-or-leave-it price offer. If the seller observes the buyer's valuation (symmetric information), bilateral trade is trivially efficient. If the seller cannot observe the valuation (asymmetric information), bilateral trade is inefficient. This bilateral trading game is embedded into a large matching market. In the steady-state equilibrium of the market game, the relation between the informa...
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作者：Bottazzi, Jean-Marc; Luque, Jaime; Pascoa, Mario R.
作者单位：Universidade Nova de Lisboa; Universidad Carlos III de Madrid
摘要：By introducing repo markets we understand how agents need to borrow issued securities before shorting them: (re)-hypothecation is at the heart of shorting. Non-negative amounts of securities in the box of an agent (amounts borrowed or owned but not lent on) can be sold, and recursive use of securities as collateral allows agents to leverage their positions. A binding box constraint induces a liquidity premium: the repo rat:, becomes special and the security price higher than expected discounte...
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作者：Huang, Pidong; Igarashi, Yoske
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Lotteries are introduced into Cavalcanti and Erosa (2008) [2], a version of Trejos and Wright (1995) [4] with aggregate shocks. Lotteries improve welfare and eliminate the two notable features of the optimum with deterministic trades: over-production and history-dependence. Moreover, the optimum can be supported by buyer take-it-or-leave-it offers. (C) 2011 Elsevier Inc. All rights reserved.
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作者：Okada, Daijiro; Tercieux, Olivier
作者单位：Paris School of Economics; Centre National de la Recherche Scientifique (CNRS)
摘要：We show that local potential maximizer (Morris and Ui (2005) [14]), a generalization of potential maximizer, is stochastically stable in the log-linear dynamic if the payoff functions are, or the associated local potential is, supermodular. Thus an equilibrium selection result similar to those on robustness to incomplete information (Morris and Ui (2005) [14]), and on perfect foresight dynamic (Oyama et al. (2008) [18]) holds for the log-linear dynamic. An example shows that stochastic stabili...
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作者：Jovanovic, Boyan; Yatsenko, Yuri
作者单位：New York University
摘要：We study an economy in which firms use labor and various vintages of capital in a CES production function for the final good. We explicitly solve for the investment in capital of a given vintage as a function of its age, and for the resulting stocks of capital. We show that for reasonable parameter values, inverted-U-shaped dynamics of investment and S-shaped dynamics for capital arise in equilibrium. We view the model as an explanation of intra-firm adoption lags, i.e., the observation that f...
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作者：Shell, Karl
作者单位：Cornell University
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作者：Abraham, Arpad; Koehne, Sebastian; Pavoni, Nicola
作者单位：Stockholm University; European University Institute; Bocconi University
摘要：We provide sufficient conditions for the validity of the first-order approach for two-period dynamic moral hazard problems where the agent can save and borrow secretly. The first-order approach is valid if the following conditions hold: (i) the agent has non-increasing absolute risk aversion utility (NIARA), (ii) the output technology has monotone likelihood ratios (MLR), and (iii) the distribution function of output is log-convex in effort (LCDF). Moreover, under these three conditions, the o...
