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作者：Abbassi, Puriya; Iyer, Rajkamal; Peydro, Jose-Luis; Soto, Paul E.
作者单位：Deutsche Bundesbank; Imperial College London; ICREA; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We study short-term and medium-term changes in bank risk-taking as a result of supervision and the associated real effects. For identification, we exploit the European Central Bank's asset-quality-review (AQR) in conjunction with security and credit registers. After the AQR announcement, reviewed banks reduce riskier securities and credit supply, with the greatest effect on riskiest securities. We find negative spillovers on asset prices and firm-level credit availability. Moreover, nonbanks w...
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作者：Acharya, Viral; Plantin, Guillaume
作者单位：Centre for Economic Policy Research - UK; New York University; National Bureau of Economic Research; Institut d'Etudes Politiques Paris (Sciences Po)
摘要：We study a model in which a low monetary policy rate lowers the cost of corporate debt, potentially spurring productive investment; low interest rates, however, also induce firms to lever up so as to increase payouts to equity. Whereas such leveraged payouts privately benefit shareholders, leverage comes at the social cost of distorting their incentives, thereby lowering productivity and discouraging investment. If leverage is unregulated (for example, because of the presence of a shadow banki...
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作者：Liu, Sheng; Siddiq, Auyon; Zhang, Jingwei
作者单位：University of Toronto; University of California System; University of California Los Angeles; Cornell University
摘要：Urban infrastructure is vital for sustainable cities. In recent years, municipal governments have invested heavily in the expansion of bike lane networks to meet growing demand, promote ridership, and reduce emissions. However, reallocating road capacity to cycling is often contentious because of the risk of amplifying traffic congestion. In this paper, we develop a method for planning bike lanes that accounts for ridership and congestion effects. We first present a procedure for estimating pa...
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作者：Fongoni, Marco; Schaefer, Daniel; Singleton, Carl
作者单位：Centre National de la Recherche Scientifique (CNRS); Aix-Marseille Universite; Johannes Kepler University Linz; University of Stirling; IZA Institute Labor Economics
摘要：We investigate how the incompleteness of an employment contract-discretionary and noncontractible effort-can affect an employer's decision about cutting nominal wages. Using matched employer-employee payroll data from Great Britain linked to a survey of managers, we find support for the main predictions of a stylized theoretical framework of wage determination: nominal cuts are at most half as likely when managers believe that their employees have significant discretion over how they do their ...
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作者：Aouad, Ali; Feldman, Jacob; Segev, Danny; Zhang, Dennis J.
作者单位：Massachusetts Institute of Technology (MIT); Washington University (WUSTL); Tel Aviv University; Tel Aviv University
摘要：We introduce the click-based MNL choice model, a framework for capturing customer purchasing decisions in e-commerce settings. Specifically, we augment the classical Multinomial Logit choice model by assuming that customers only consider the items they have clicked on before they proceed to compare their random utilities. In this context, we study the resulting assortment optimization problem, where the objective is to select a subset of products, made available for purchase, to maximize the e...
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作者：Keskin, N. Bora; Li, Chenghuai; Song, Jing-Sheng
作者单位：Duke University
摘要：Motivated by blockchain applications in the fresh produce industry, we consider a newsvendor problem in which a retailer faces stochastic and freshness-dependent consumer demand. The retailer can adopt blockchain technology to have more transparent information on the freshness of supply. We quantify the value of blockchain-enabled freshness transparency by deriving closed-form expressions for the retailer's expected profit growth and food waste reduction brought by blockchain adoption. Using p...
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作者：Bennouna, Amine; Pachamanova, Dessislava; Perakis, Georgia; Lami, Omar Skali
作者单位：Massachusetts Institute of Technology (MIT); Babson College; Massachusetts Institute of Technology (MIT)
摘要：This paper proposes a framework for learning the most concise Markov decision process (MDP) model of a continuous state-space dynamic system from observed transition data. This setting is encountered in numerous important applications, such as patient treatment, online advertising, recommender systems, and estimation of treatment effects in econometrics. Most existing methods in offline reinforcement learning construct functional approximations of the value or the transition and reward functio...
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作者：Caglayan, Mustafa O.; Duarte, Diogo; Duarte, Victor F.; Lu, Xiaomeng
作者单位：State University System of Florida; Florida International University; University of Illinois System; University of Illinois Urbana-Champaign; University System of Georgia; Georgia College & State University
摘要：We develop a general equilibrium model in which investors simultaneously experience money and nominal price illusions. We show that the combined effects of these illusions widen the gap between the elasticities of the earnings yield of low-and highpriced stocks relative to the nominal interest rate. Empirically, we show that the compounded effects of money and nominal price illusions are stronger for low-priced stocks during periods of high inflation and economic downturns and for stocks with ...
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作者：Wu, Yuhang; Zheng, Zeyu; Zhang, Guangyu; Zhang, Zuohua; Wang, Chu
作者单位：University of California System; University of California Berkeley; Amazon.com
摘要：We develop an analytical framework to appropriately model and adequately analyze A/B tests in presence of nonparametric nonstationarities in the targeted business metrics. A/B tests, also known as online randomized controlled experiments, have been used at scale by data-driven enterprises to guide decisions and test innovative ideas to improve core business metrics. Meanwhile, nonstationarities, such as the time-of-day effect and the day-of-week effect, can often arise nonparametrically in key...
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作者：Bertomeu, Jeremy; Cheynel, Edwige; Liao, Yifei; Milone, Mario
作者单位：Washington University (WUSTL); University of California System; University of California Irvine; University of California System; University of California San Diego
摘要：This study proposes an approach to measure conservatism using machine learning techniques that are not constrained by functional form restrictions. We extend the differential timeliness model to allow for observable characteristics related to conservatism to follow nonlinear relationships. By developing machine learning measures of conservatism, we draw attention to potential benefits and drawbacks and show how its insights complement conventional measures. Our broader goal is to investigate t...
