강의노트(Lecture Notes)

Course:
Professor:
Econ
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논문, 페이퍼

-Endogenous Fluctuations and the Role of Monetary Policy-509 KB (Download or View)
-자료 분류: A
-작성자 정보: Mordecai Kurz
-Abstract or Contents:
This paper studies the dynamic volatility properties of a monetary economy in which agents hold Rational Beliefs (see Kurz (1994), (1997)) rather than Rational Expectations. Except for this feature the examined Rational Belief Equilibrium (in short, RBE) is entirely standard: market are competitive, prices are flexible and all information is symmetric. The paper demonstrates
A. The RBE paradigm offers an integrated theory of real and financial volatility with a high volume of trade. Most volatility in an RBE is induced endogenously through the beliefs of agents.
B. Although our RBE assumes fully competitive markets in which prices are fully flexible,the diverse expectations of agents can explain most of the familiar features of monetary equilibria. This includes, money non-neutrality, Phillips curve and impulse response functions with respect to monetary shocks.
C. Agents with diverse but inconsistent beliefs may induce socially undesirable excess fluctuations even when the allocation is ex-ante Pareto optimal. Central bank policy should aim to reduce the endogenous component of this volatility. ...... 번역의뢰하기

-Discrete Choice Models as Structural Models of Demand: Some Economic Implications of Common Approaches -509 KB(Download or View)
-자료 분류: A
-작성자 정보: Patrick Bajari and Lanier Benkard
-Abstract or Contents:
We derive some theoretical economic properties of standard discrete choice econometric models that we believe are undesirable if the models are to be used as structural models of demand. We show that many standard models have the following properties: as the number of products increases, the compensating variation for removing all of the inside goods tends to infinity, all firms in Bertrand-Nash pricing game have markups that are bounded away from zero, and for each good there is always some consumer that is willing to pay an arbitrarily large sum for the good. These undesirable properties may lead to incorrect conclusions about many policies of interest, including calculation of price indexes, the benefits of new goods, and the welfare loss due to mergers....... 번역의뢰하기

-Monte Carlo Simulation of Macroeconomic Risk with a Continuum of Agents: The Symmetric Case - 219 KB(Download or View)
-자료 분류: A
-작성자 정보: Peter Hammond and Yeneng Sun
-Abstract or Contents:
Suppose a large economy with individual risk is modeled by a continuum of pairwise exchangeable random variables (i.i.d., in particular). Then the relevant stochastic process is jointly measurable only in degenerate cases. Yet in Monte Carlo simulation, the average of a large finite draw of the random variables converges almost surely. Several necessary and sufficient conditions for such "Monte Carlo convergence" are given. Also, conditioned on the associated Monte Carlo sigma-algebra, which represents macroeconomic risk, individual agents' random shocks are independent. Furthermore, a converse to one version of the classical law of large numbers is proved....... 번역의뢰하기

-Demand Estimation With Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach -324 KB(Download or View)
-자료 분류: A
-작성자 정보: Patrick Bajari and C. Lanier Benkard
-Abstract or Contents:
We study the identification and estimation of preferences in hedonic discrete choice models of demand for differentiated products. In the hedonic discrete choice model, products are represented as a finite dimensional bundle of characteristics, and consumers maximize utility subject to a budget constraint. Our hedonic model also incorporates product characteristics that are observed by consumers but not by the economist. We demonstrate that, unlike the case where all product characteristics are observed, it is not in general possible to uniquely recover consumer preferences from data on a consumer's choices. However, we provide several sets of assumptions under which preferences can be recovered uniquely, that we think may be satisfied in many applications. Our identification and estimation strategy is a two stage approach in the spirit of Rosen (1974)....... 번역의뢰하기

-Deciding Between Competition and Collusion - 168 KB (Download or View)
-자료 분류: A
-작성자 정보:Patrick Bajari and Lixin Ye
-Abstract or Contents:
In many studies in empirical industrial organization, the economist needs to decide between several non-nested models of industry equilibrium. In this paper, we develop a new approach to the model selection problem that can be used when the economist must decide between models with bid-rigging and models without bid-rigging. We elicit from industry experts a prior distribution over markups across auctions. This induces a prior distribution over structural cost parameters. We then use Bayes Theorem to compute posterior probabilities for several non-nested models of industry equilibrium. In many settings, we believe that it is useful to formally incorporate the a prior beliefs of industry experts into estimation, especially in small samples where asymptotic approximations may be unreliable....... 번역의뢰하기

-Information and the Market for Lemons - 606 KB (Download or View)
-자료 분류: A
-작성자 정보:Jonathan Levin
-Abstract or Contents:
This paper revisits Akerlof's (1970) classic adverse selection market and asks the following question: do greater information asymmetries reduce the gains from trade? Perhaps surprisingly, the answer is no. Better information on the selling side worsens the "buyer's curse," thus lowering demand, but may shift supply as well. Whether trade increases or decreases depends on the relative sizes of these effects. A characterization is given. On the other hand, improving the buyer's information --- i.e. making private information public --- unambiguously improves trade so long as market demand is downward sloping....... 번역의뢰하기

-The Value of Information in Monotone Decision Problems - 424 KB (Download or View)
-자료 분류: A
-작성자 정보: Jonathan Levin and Susan Athey
-Abstract or Contents:
This paper studies decision problems under uncertainty where a decision-maker observes an imperfect signal about the true state of the world. We analyze the information preferences and information demand of such decision-makers, based on properties of their payoff functions. We restrict attention to "monotone decision problems," whereby the posterior beliefs induced by the signal can be ordered so that higher actions are chosen in response to higher signal realizations. Monotone decision problems are frequently encountered in economic modeling. We provide necessary and sufficient conditions for all decision makers with different classes of payoff functions to prefer one information structure to another. We also provide conditions under which two decision-makers in a given class can be ranked in terms of their marginal value for information and hence information demand. Applications and examples are given....... 번역의뢰하기

-Balance of Payments Crisis: The Role of Short-Term Debt -3362 KB(Download or View)
-자료 분류: A
-작성자 정보: Michael Kumhof
-Abstract or Contents:
This paper presents a dynamic general equilibrium model of balance of payments crises to analyze the role of sterilization policies during speculative attacks. It is shown that if domestic bond interest rates are not allowed to rise real money balances increase and the attack takes place entirely in the domestic bond market, leading to a sharp increase in central bank domestic credit. Data for the 1994 Mexican crisis are consistent with this theory....... 번역의뢰하기

-The Political Economy of Public Science - 613 KB(Download or View)
-자료 분류: A
-작성자 정보: Paul A. David
-Abstract or Contents:
A contribution to The Regulation of Science and Technology, edited by Helen Lawton Smith, forthcoming from Macmillan Publishers, London in 1998....... 번역의뢰하기

-Was an Industrial Revolution Inevitable? Economic Growth Over the Very Long Run 308 KB(Download or View)
-자료 분류: A
-작성자 정보: Charles I. Jones
-Abstract or Contents:
This paper studies a growth model that is able to match several key facts of economic history. For thousands of years, the average standard of living seems to have risen very little, despite increases in the level of technology and large increases in the level of the population. Then, after thousands of years of little change, the level of per capita consumption increased dramatically in less than two centuries. Quantitative analysis of the model highlights two factors central to understanding this history. The first is a virtuous circle: more people produce more ideas, which in turn makes additional population growth possible. The second is an improvement in institutions that promote innovation, such as property rights: the simulated economy indicates that the single most important factor in the transition to modern growth has been the increase in the fraction of output paid to compensate inventors for the fruits of their labor....... 번역의뢰하기

-Endogenous Uncertainty and Market Volatility - 354 KB(Download or View)
-자료 분류: A
-작성자 정보: Mordecai Kurz and Maurizio Motolese
-Abstract or Contents:
Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold diverse beliefs and consequently, a Rational Belief Equilibrium (in short, RBE) may exhibit diverse patterns of Endogenous Uncertainty. This paper shows that most of the observed volatility in financial markets is generated by the beliefs of the agents and the diverse market puzzles which are examined in this paper, such as the equity premium puzzle, are all driven by the structure of market expectations. To make the case for this theory we present a single RBE model, which builds on developments in Kurz and Beltratti [1997] and Kurz and Schneider [1996], with which we study a list of phenomena that have been viewed as "anomalies" in financial markets....... 번역의뢰하기