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作者：Ozsoylev, Han N.; Walden, Johan
作者单位：University of Oxford; University of California System; University of California Berkeley
摘要：We study asset pricing in economies with large information networks. We focus on networks that are sparse and have power law degree distributions, in line with empirical studies of large scale social networks. Our theoretical framework yields a rich set of novel asset pricing implications. We derive closed form expressions for price, volatility, profitability and trading volume, as functions of the network topology. We also study agent welfare and show that the network that optimizes total wel...
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作者：Bergemann, Dirk; Morris, Stephen; Tercieux, Olivier
作者单位：Princeton University; Yale University; Paris School of Economics
摘要：We consider the implementation of social choice functions under complete information in rationalizable strategies. A strict version of the monotonicity condition introduced by Maskin is necessary under the solution concept of rationalizability. Assuming the social choice function is responsive, i.e. in distinct states it selects distinct outcomes, we show that strict Maskin monotonicity is also sufficient under a mild no worst alternative condition. In particular, no economic condition is requ...
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作者：Chone, Philippe; Laroque, Guy
摘要：We study optimal taxation under extensive preferences: the agents' utilities are constant for positive actions up to a maximal productivity level. Utilities may be discontinuous at the origin, reflecting fixed costs of participation. Allowing for general distributions of work opportunity costs and productivity and for income effects, we characterize optimal, incentive-compatible tax schedules. We then give sufficient conditions for society to desire redistribution. When these conditions hold, ...
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作者：Lagos, Ricardo; Rocheteau, Guillaume; Weill, Pierre-Olivier
作者单位：University of California System; University of California Los Angeles; New York University; National Bureau of Economic Research; University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：We study the efficiency of liquidity provision by dealers and the desirability of policy intervention in over-the-counter (OTC) markets during crises. We emphasizes two OTC frictions: finding counterparties takes time, and trade is bilateral and involves bargaining. We model a crisis as a shock that reduces investors' asset demands, lasting until a random recovery time. In this context, dealers can provide liquidity to investors by accumulating asset inventories. When OTC frictions are severe,...
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作者：Bierbrauer, Felix J.
作者单位：University of Cologne
摘要：The Mirrleesian model of income taxation restricts attention to simple allocation mechanism with no strategic interdependence, i.e., the optimal labor supply of any one individual does not depend on the labor supply of others. It has been argued by Piketty (2009) [121 that this restriction is substantial because more sophisticated mechanisms can reach first-best allocations that are out of reach with simple mechanisms. In this paper, we assess the validity of Piketty's critique in an independe...
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作者：Brandt, Felix
作者单位：Technical University of Munich
摘要：We propose a systematic methodology for defining tournament solutions as extensions of maximality. The central concepts of this methodology are maximal qualified subsets and minimal stable sets. We thus obtain an infinite hierarchy of tournament solutions, encompassing the top cycle, the uncovered set, the Banks set, the minimal covering set, and the tournament equilibrium set. Moreover, the hierarchy includes a new tournament solution, the minimal extending set, which is conjectured to refine...
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作者：Ellison, Martin; Pearlman, Joseph
作者单位：University of Oxford; London Metropolitan University
摘要：Saddlepath learning occurs when agents learn adaptively using a perceived law of motion that has the same form as the saddlepath relationship in rational expectations equilibrium. Under saddlepath learning, we obtain a completely general relationship between determinacy and e-stability, and generalise minimum state variable results previously derived only under full information. When the system is determinate, we show that a learning process based on the saddlepath is always e-stable. When the...
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作者：Buera, Francisco J.; Shin, Yongseok
作者单位：Washington University (WUSTL); University of California System; University of California Los Angeles; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：We study the welfare cost of market incompleteness in a generalized Bewley model where idiosyncratic risk takes the form of entrepreneurial productivity shocks. Market incompleteness in our framework has two dimensions. First, in the Bewley tradition, only a limited set of instruments for consumption smoothing is available. Second, entrepreneurs' capital rental is subject to collateral constraints. As is well known, it is harder to self-insure against more persistent shocks, and the welfare co...
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作者：Krusell, Per; Mukoyama, Toshihiko; Smith, Anthony A., Jr.
作者单位：Yale University; National Bureau of Economic Research; University of Virginia
摘要：This paper explores asset pricing in economies where there is no direct insurance against idiosyncratic risks but other assets can be used for self-insurance, subject to exogenously-imposed borrowing limits. We analyze an endowment economy, based on Huggett (1993) [11], both with and without aggregate risk. Our main innovation is that we obtain full analytical tractability by studying the case with maximally tight borrowing constraints. We illustrate by looking at riskless bonds, equity, and t...
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作者：Marimon, Ramon; Quadrini, Vincenzo
作者单位：University of Southern California; Pompeu Fabra University; National Bureau of Economic Research
摘要：We develop a dynamic model with two-sided limited commitment to study how barriers to competition, such as restrictions to business start-up and non-competitive covenants, affect the incentive to accumulate human capital. When contracts are not enforceable, high barriers lower the outside value of 'skilled workers' and reduce the incentive to accumulate human capital. In contrast, low barriers can result in over-accumulation of human capital. This can be socially optimal if there are positive ...
