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作者：Arseneau, David M.; Rappoport, David E. W.; Vardoulakis, Alexandros P.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We show that trade frictions in over-the-counter (OTC) markets result in inefficient private liquidity provision. We develop a dynamic model of market-based financial intermediation with a two-way interaction between primary credit markets and secondary OTC markets. Private allocations are generically inefficient due to a congestion externality operating through market liquidity in the OTC market. This inefficiency can lead to liquidity that is suboptimally low or high compared to the second b...
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作者：Dutta, Rohan
作者单位：McGill University
摘要：Guided by evidence from eye-tracking studies of choice, pairwise comparison is assumed to be the building block of the decision-making procedure. A decision-maker with a rational preference may nevertheless consider the constituent pairwise comparisons gradually, easier comparisons preceding difficult ones. Facing a choice problem, she may be unable to complete all relevant comparisons and choose with equal odds from alternatives not found inferior. Stochastic choice data consistent with such ...
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作者：Chiappori, Pierre-Andre; Gugl, Elisabeth
作者单位：Columbia University; University of Victoria
摘要：While many theoretical works, particularly in family economics, rely on the transferable utility (TU) assumption, its exact implications in terms of individual preferences have never been fully worked out. In this paper, we provide a set of necessary and sufficient conditions for a group to satisfy the TU property. We express these conditions in terms of both individual indirect utilities and individual demand functions. Last, we describe the link between this question and a standard problem i...
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作者：Nirei, Makoto; Stachurski, John; Watanabe, Tsutomu
作者单位：University of Tokyo; Australian National University
摘要：This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a two-state model with binary actions, where traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior accordingly. We prove that this leads to power laws for equilibrium volume and returns whenever the number of traders is large and the signals for asset value are sufficiently noisy. We also provide numerical re...
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作者：Asseyer, Andreas
作者单位：Free University of Berlin
摘要：This paper studies how information control affects incentives for collusion and optimal organizational structures in principal-supervisor-agent relationships. I consider a model in which the principal designs the supervisor's signal on the productive agent's private information, and the supervisor and agent may collude. I show that the principal optimally delegates the interaction with the agent to the supervisor if either the supervisor's budget is large or the value of production is small. T...
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作者：Dindo, Pietro; Massari, Filippo
作者单位：Universita Ca Foscari Venezia; Bocconi University; University of East Anglia
摘要：The wisdom of the crowd applied to financial markets asserts that prices represent a consensus belief that is more accurate than individual beliefs. However, a market selection argument implies that prices eventually reflect only the beliefs of the most accurate agent. In this paper, we show how to reconcile these alternative points of view. In markets in which agents naively learn from equilibrium prices, a dynamic wisdom of the crowd holds. Market participation increases agents' accuracy, an...
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作者：Cerreia-Vioglio, Simone; Dillenberger, David; Ortoleva, Pietro
作者单位：Bocconi University; University of Pennsylvania; Princeton University; Princeton University
摘要：One of the most well known models of non-expected utility is Gul's (1991) model of disappointment aversion. This model, however, is defined implicitly, as the solution to a functional equation; its explicit utility representation is unknown, which may limit its applicability. We show that an explicit representation can be easily constructed, using solely the components of the implicit representation. We also provide a more general result: an explicit representation for preferences in the betwe...
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作者：Fu, Qiang; Wu, Zenan
作者单位：National University of Singapore; Peking University
摘要：This paper explores the optimal design of biased contests. A designer imposes an identity-dependent treatment on contestants that varies the balance of the playing field. A generalized lottery contest typically yields no closed-form equilibrium solutions, which nullifies the usual implicit programming approach to optimal contest design and limits analysis to restricted settings. We propose an alternative approach that allows us to circumvent this difficulty and characterize the optimum in a ge...
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作者：Ryvkin, Dmitry; Drugov, Mikhail
作者单位：State University System of Florida; Florida State University; New Economic School; Centre for Economic Policy Research - UK
摘要：In winner-take-all tournaments, agents' performance is determined jointly by effort and luck, and the top performer is rewarded. We study the impact of the shape of luck-the details of the distribution of performance shocks-on incentives in such settings. We are concerned with the effects of increasing the number of competitors, which can be deterministic or stochastic, on individual and aggregate effort. We show that these effects are determined by the shape of the density and failure (hazard...
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作者：Bergemann, Dirk; Brooks, Benjamin; Morris, Stephen
作者单位：Yale University; University of Chicago; Massachusetts Institute of Technology (MIT)
摘要：We characterize revenue maximizing mechanisms in a common value environment where the value of the object is equal to the highest of the bidders' independent signals. If the revenue maximizing solution is to sell the object with probability 1, then an optimal mechanism is simply a posted price, namely, the highest price such that every type of every bidder is willing to buy the object. If the object is optimally sold with probability less than 1, then optimal mechanisms skew the allocation tow...
