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作者：Yenmez, M. Bumin
作者单位：Boston College
摘要：I propose a centralized clearinghouse for college admissions where students can commit to enroll, as in early-decision programs. Furthermore, students can specify financial aid in their preferences, and they can be matched with multiple colleges simultaneously. This clearinghouse keeps the desirable properties of decentralized college admissions, like commitment and yield management, while getting rid of the undesirable aspects, such as unfairness and unraveling. To study centralized college a...
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作者：Bodoh-Creed, Aaron L.; Hickman, Brent R.
摘要：We develop a model of college assignment as a large contest wherein students with heterogeneous learning-costs compete for seats at vertically differentiated colleges through the acquisition of productive human capital. We use a continuum model to approximate the outcomes of a game with large, but finite, sets of colleges and students. The continuum approximation lends tractability to a rich model for studying investment incentives in rank-order competitions. By incorporating two common famili...
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作者：Dai, Liang
作者单位：Shanghai Jiao Tong University
摘要：This paper investigates how a profit-maximizing asset originator can coordinate the information acquisition of investors with different expertise by means of asset bundling. Bundling is beneficial to the originator when it discourages investors from analyzing idiosyncratic risks and focuses their attention on aggregate risks. But it is optimal to sell aggregate risks separately in order to exploit investors' heterogeneous expertise in learning about them and thus lower the risk premium. This a...
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作者：Bengui, Julien; Toan Phan
作者单位：Universite de Montreal; Universite de Montreal; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We develop a simple model of defaultable debt and rational bubbles in the price of an asset, which can be pledged as collateral in a competitive credit pool. When the asset pledgeability is low, the down payment is high, and bubble investment is unleveraged, as in a standard rational bubble model. When the pledgeability is high, the down payment is low, making it easier for leveraged borrowers to invest in the bubbly asset. As loans are packaged together into a competitive pool, the pricing of...
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作者：Hwang, Ilwoo
作者单位：University of Miami
摘要：We study a dynamic trading game in which the information asymmetry between the agents develops over time. A seller and potential buyers start out symmetrically uninformed about the quality of a good, but the seller becomes informed after the game begins. We show that this developing adverse selection gives rise to novel trading dynamics. In particular, if the seller's learning speed is high, the equilibrium features collapse-and-recovery behavior: Both the equilibrium price and the trade proba...
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作者：Cvitanic, Jaksa; Xing, Hao
作者单位：California Institute of Technology; University of London; London School Economics & Political Science
摘要：We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014) by allowing general contracts, and by allowing the portfolio manager to invest privately in individual risky assets or the index. To alleviate the effect of moral hazard, Agent is optimally compensated by benchmarking to t...
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作者：Barthelemy, Jean; Mengus, Eric
作者单位：European Central Bank; Bank of France; Institut d'Etudes Politiques Paris (Sciences Po); Hautes Etudes Commerciales (HEC) Paris
摘要：This paper argues that central bankers should temporarily raise inflation when anticipating liquidity traps to ensure the credibility of otherwise time-inconsistent forward guidance policies. As stable inflation in normal times either stems from central bankers' desire to maintain credibility or from aversion to inflation, the private sector is unable to infer the central banker's willingness to follow through on promises from observing stable inflation, jeopardizing the efficiency of forward ...
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作者：Henderson, Vicky; Hobson, David; Tse, Alex S. L.
作者单位：University of Warwick; University of Cambridge; Imperial College London
摘要：In this paper we study a continuous-time, optimal stopping model of an asset sale with prospect theory preferences under pre-commitment. We show for a wide range of value and probability weighting functions, including those of Tversky and Kahneman (1992), that the optimal prospect takes the form of a stop-loss threshold and a distribution over gains. It is skewed with a long right tail. This is consistent with both the widespread use of stop-loss strategies in financial markets, and recent exp...
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作者：Allen, Franklin; Carletti, Elena; Goldstein, Itay; Leonello, Agnese
作者单位：Imperial College London; Bocconi University; Centre for Economic Policy Research - UK; University of Pennsylvania; European Central Bank
摘要：Banks are intrinsically fragile because of their role as liquidity providers. This results in under-provision of liquidity. We analyze the effect of government guarantees on the interconnection between banks' liquidity creation and likelihood of runs in a global-game model, where banks' and depositors' behavior are endogenous and affected by the amount and form of guarantee. The main insight of our analysis is that guarantees are welfare improving because they induce banks to improve liquidity...
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作者：Juarez, Ruben; Ko, Chiu Yu; Xue, Jingyi
作者单位：University of Hawaii System; National University of Singapore; Singapore Management University
摘要：Consider a sequential process where agents have individual values at every possible step. A planner is in charge of selecting steps and distributing the accumulated aggregate values among a number of agents. We model this process by a directed network, whereby each edge is associated with a vector of individual values. This model applies to several new and existing problems, e.g. developing a connected public facility and distributing total values received by surrounding districts, selecting a...
