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作者：Sanches, Daniel
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We study the terms of credit in a competitive market in which sellers (lenders) are willing to repeatedly finance the purchases of buyers (borrowers) by engaging in a credit relationship. The key frictions are: (i) the lender cannot observe the borrower's ability to repay a loan; (ii) the borrower cannot commit to any long-term contract; (iii) it is costly for the lender to contact a borrower and to walk away from a contract; and (iv) transactions within each credit relationship are not public...
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作者：Weintraub, Gabriel Y.; Benkard, C. Lanier; Van Roy, Benjamin
作者单位：Columbia University; Yale University; National Bureau of Economic Research; Stanford University; Stanford University
摘要：This paper explores the connection between three important threads of economic research offering different approaches to studying the dynamics of an industry with heterogeneous firms. Finite models of the form pioneered by Ericson and Pakes (1995) capture the dynamics of a finite number of heterogeneous firms as they compete in an industry, and are typically analyzed using the concept of Markov perfect equilibrium (MPE). Infinite models of the form pioneered by Hopenhayn (1992), on the other h...
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作者：Antoci, Angelo; Galeotti, Marcello; Russu, Paolo
作者单位：University of Sassari; University of Florence
摘要：In this paper we use global analysis techniques to analyze an economic growth model with environmental negative externalities, giving rise to a three-dimensional dynamic system (the framework is the one introduced by Wirl (1997) [53]). The dynamics of our model admits a locally attracting stationary state P-1*, which is, in fact, a poverty trap, coexisting with another stationary state P-2* possessing saddle-point stability. Global dynamical analysis shows that, under some conditions on the pa...
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作者：Grochulski, Borys; Zhang, Yuzhe
作者单位：University of Iowa; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We study a continuous-time version of the optimal risk-sharing problem with one-sided commitment. In the optimal contract, the agent's consumption is a time-invariant, strictly increasing function of a single state variable: the maximal level of the agent's income realized to date. We characterize this function in terms of the agent's outside option value function and the discounted amount of time in which the agent's income process is expected to reach a new to-date maximum. Under constant re...
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作者：Dai, Min; Jin, Hanqing; Liu, Hong
作者单位：Washington University (WUSTL); National University of Singapore; University of Oxford; University of Oxford
摘要：We study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity. We provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy. We show that the optimal trading boundaries are increasing in both the lower and the upper position limits. We find that position limits can affect current trading strategy even when they are not currently binding and othe...
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作者：Huggett, Mark; Kaplan, Greg
作者单位：University of Pennsylvania; Georgetown University
摘要：We provide theory for calculating bounds on both the value of an individual's human capital and the return on an individual's human capital, given knowledge of the process governing earnings and financial asset returns. We calculate bounds using U.S. data on male earnings and financial asset returns. The large idiosyncratic component of earnings risk implies that bounds on values and returns are quite loose. However, when aggregate shocks are the only source of earnings risk, both bounds are t...
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作者：Engelage, Daniel
作者单位：University of Bonn
摘要：We solve optimal stopping problems in uncertain environments for agents assessing utility by virtue of dynamic variational preferences as in Maccheroni, Marinacci and Rustichini (2006) [16] or, equivalently, assessing risk in terms of dynamic convex risk measures as in Cheridito, Delbaen and Kupper (2006) [4]. The solution is achieved by generalizing the approach in Riedel (2009) [21] introducing the concept of variational supemiartingales and variational Snell envelopes with an accompanying t...
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作者：Mason, Robin; Valimaki, Juuso
作者单位：University of Exeter; Aalto University
摘要：We analyse optimal stopping when the economic environment changes because of learning. A primary application is optimal selling of an asset when demand is uncertain. The seller learns about the arrival rate of buyers. As time passes without a sale, the seller becomes more pessimistic about the arrival rate. When the arrival of buyers is not observed, the rate at which the seller revises her beliefs is affected by the price she sets. Learning leads to a higher posted price by the seller. When t...
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作者：Chen, Ying
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper studies communication games in which the sender is possibly honest (tells the truth) and the receiver is possibly naive (follows messages as if truthful). The characterization of message-monotone equilibria in the perturbed games explain several important aspects of strategic communication including sender exaggeration, receiver skepticism and message clustering. Surprisingly, the strategic receiver may respond to more aggressive claims with more moderate actions. In the limit as th...
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作者：Chen, An; Pelsser, Antoon; Vellekoop, Michel
作者单位：University of Bonn; Maastricht University; University of Amsterdam
摘要：We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk averse for very low values of wealth. The class contains the well-known exponential and power utility functions as limiting cases. We investigate the optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual optimization methods. ...
