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Articles 31 - 60 of 125
Full-Text Articles in Entire DC Network
A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake
A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake
Cowles Foundation Discussion Papers
The paper broadens the focus of empirical research on salesforce management to include multitasking settings with multidimensional incentives, where salespeople have private information about customers. This allows us to ask novel substantive questions around multidimensional incentive design and job design while managing the costs and benefits of private information. To this end, the paper introduces the first structural model of a multitasking salesforce in response to multidimensional incentives. The model also accommodates (i) dynamic intertemporal tradeoffs in effort choice across the tasks and (ii) salesperson’s private information about customers. We apply our model in a rich empirical setting in microfinance …
On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore
On Her Own Account: How Strengthening Women’S Financial Control Impacts Labor Supply And Gender Norms, Erica Field, Rohini Pande, Natalia Rigol, Simone Schaner, Charity Troyer Moore
Cowles Foundation Discussion Papers
Can greater control over earned income incentivize women to work and influence gender norms? In collaboration with Indian government partners, we provided rural women with individual bank accounts and randomly varied whether their wages from a public workfare program were directly deposited into these accounts or into the male household head’s account (the status quo). Women in a random subset of villages were also trained on account use. In the short run, relative to women just offered bank accounts, those who also received direct deposit and training increased their labor supply in the public and private sectors. In the long …
The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan
The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan
Cowles Foundation Discussion Papers
A data intermediary acquires signals from individual consumers regarding their preferences. The intermediary resells the information in a product market wherein firms and consumers tailor their choices to the demand data. The social dimension of the individual data -whereby a consumer’s data are predictive of others’ behavior- generates a data externality that can reduce the intermediary’s cost of acquiring the information. The intermediary optimally preserves the privacy of consumers’ identities if and only if doing so increases social surplus. This policy enables the intermediary to capture the total value of the information as the number of consumers becomes large.
The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan
The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan
Cowles Foundation Discussion Papers
We propose a model of data intermediation to analyze the incentives for sharing individual data in the presence of informational externalities. A data intermediary acquires signals from individual consumers regarding their preferences. The intermediary resells the information in a product market in which firms and consumers can tailor their choices to the demand data. The social dimension of the individual data - whereby an individual’s data are predictive of the behavior of others - generates a data externality that can reduce the intermediary’s cost of acquiring information. We derive the intermediary’s optimal data policy and establish that it preserves the …
The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan
The Economics Of Social Data, Dirk Bergemann, Alessandro Bonatti, Tan Gan
Cowles Foundation Discussion Papers
A data intermediary pays consumers for information about their preferences, and sells the information so-acquired to firms that use it to tailor their product offers and prices. The social dimension of the individual data - whereby an individual’s data is predictive of the behavior of others - generates a data externality that reduces the intermediary’s cost of acquiring information. We derive the data intermediary’s optimal information policy, and show that it preserves privacy over the identity of the consumers, but provides precise information about market demand to the firms.
Affective Portfolio Analysis: Risk, Ambiguity And (Ir)Rationality, Donald J. Brown
Affective Portfolio Analysis: Risk, Ambiguity And (Ir)Rationality, Donald J. Brown
Cowles Foundation Discussion Papers
Ambiguous assets are characterized as assets where objective and subjective probabilities of tomorrow’s asset-returns are ill-defined or may not exist, e.g., bitcoin, volatility indices or any IPO. Investors may choose to diversify their portfolios of fiat money, stocks and bonds by investing in ambiguous assets, a fourth asset class, to hedge the uncertainties of future returns that are not risks. (IR)rational probabilities are computable alternative descriptions of the distribution of returns for ambiguous assets. (IR)rational probabilities can be used to define an investor’s (IR)rational expected utility function in the class of non-expected utilities. Investment advisors use revealed preference analysis to …
Information, Market Power And Price Volatility, Dirk Bergemann, Tibor Heumann, Stephen Morris
Information, Market Power And Price Volatility, Dirk Bergemann, Tibor Heumann, Stephen Morris
Cowles Foundation Discussion Papers
We consider demand function competition with a finite number of agents and private information. We show that any degree of market power can arise in the unique equilibrium under an information structure that is arbitrarily close to complete information. In particular, regardless of the number of agents and the correlation of payoff shocks, market power may be arbitrarily close to zero (so we obtain the competitive outcome) or arbitrarily large (so there is no trade in equilibrium). By contrast, price volatility is always less than the variance of the aggregate shock across all information structures.
A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake
A Structural Model Of A Multitasking Salesforce: Multidimensional Incentives And Plan Design, Minkyung Kim, K. Sudhir, Kosuke Uetake
Cowles Foundation Discussion Papers
We develop the first structural model of a multitasking salesforce to address questions of job design and incentive compensation design. The model incorporates three novel features: (i) multitasking effort choice given a multidimensional incentive plan; (ii) salesperson’s private information about customers and (iii) dynamic intertemporal tradeoffs in effort choice across the tasks. The empirical application uses data from a micro nance bank where loan officers are jointly responsible and incentivized for both loan acquisition repayment but has broad relevance for salesforce management in CRM settings involving customer acquisition and retention. We extend two-step estimation methods used for unidimensional compensation plans …
Jacob Marschak And The Cowles Approaches To The Theory Of Money And Assets, Robert W. Dimand, Harald Hagemann
Jacob Marschak And The Cowles Approaches To The Theory Of Money And Assets, Robert W. Dimand, Harald Hagemann
Cowles Foundation Discussion Papers
Jacob Marschak shaped the emergence of monetary theory and portfolio choice at the Cowles Commission (which he directed from 1943 to 1948, but with which he was involved already from 1937) at the University of Chicago, where he was the doctoral teacher of Leonid Hurwicz, Harry Markowitz and Don Patinkin, and then from 1955 at the Cowles Foundation at Yale University, where he was a senior colleague of James Tobin until moving to UCLA in 1960. Marschak’s later attempts to clarify the concept of liquidity and to emphasize the role of new information for economic behavior date back as far …
Macroeconomic Dynamics At The Cowles Commission From The 1930s To The 1950s, Robert W. Dimand
Macroeconomic Dynamics At The Cowles Commission From The 1930s To The 1950s, Robert W. Dimand
Cowles Foundation Discussion Papers
This paper explores the development of dynamic modelling of macroeconomic fluctuations at the Cowles Commission from Roos, Dynamic Economics (Cowles Monograph No. 1, 1934) and Davis, Analysis of Economic Time Series (Cowles Monograph No. 6, 1941) to Koopmans, ed., Statistical Inference in Dynamic Economic Models (Cowles Monograph No. 10, 1950) and Klein’s Economic Fluctuations in the United States, 1921-1941 (Cowles Monograph No. 11, 1950), emphasizing the emergence of a distinctive Cowles Commission approach to structural modelling of macroeconomic fluctuations influenced by Cowles Commission work on structural estimation of simulation equations models, as advanced by Haavelmo (“A Probability Approach to Econometrics,” …
Lessons Learned: James B. Lockhart Iii, Ben Henken, Dan Thompson
Lessons Learned: James B. Lockhart Iii, Ben Henken, Dan Thompson
Journal of Financial Crises
Insights from discussions with James B. Lockhart III, who was the Director (CEO) and Chairman of the Oversight Board of the Federal Housing Finance Agency (FHFA) upon the agency’s creation on July 30, 2008. Topics include the conservatorships of Fannie Mae and Freddie Mac as well as other elements of the Bush Administration's 2008 crisis response activities.
Jpmorgan Chase London Whale H: Cross-Border Regulation, Arwin G. Zeissler, Andrew Metrick
Jpmorgan Chase London Whale H: Cross-Border Regulation, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
As a global financial service provider, JPMorgan Chase (JPM) is supervised by banking regulatory agencies in different countries. Bruno Iksil, the derivatives trader primarily responsible for the $6 billion trading loss in 2012, was based in JPM’s London office. This office was regulated both by the Office of the Comptroller of the Currency (OCC) of the United States (US) and by the Financial Services Authority (FSA), which served as the sole regulator of all financial services in the United Kingdom (UK). Banking regulators in the US and the UK have entered into agreements with one another to define basic parameters …
Jpmorgan Chase London Whale D: Risk-Management Practices, Arwin G. Zeissler, Andrew Metrick
Jpmorgan Chase London Whale D: Risk-Management Practices, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
JPMorgan Chase (JPM) prided itself on having the best risk-management practices in the financial industry, having survived the 2007-09 financial crisis in better shape than many competitors. Chief Executive Officer Jamie Dimon often spoke of the bank’s “fortress balance sheet.” A keen focus on risk management is vital to JPM’s longevity, as is the case with all highly leveraged financial institutions. However, the JPM Task Force that investigated the $6 billion 2012 London Whale trading loss concluded that risk-management practices at the bank’s Chief Investment Office (CIO), the unit in which the loss occurred, were given less scrutiny by senior …
Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models, Arwin G. Zeissler, Andrew Metrick
Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
Value at Risk (VaR) is one of the most commonly used ways to measure and monitor market risk. At JPMorgan Chase (JPM), very large derivative positions established by Bruno Iksil in the Synthetic Credit Portfolio (SCP) caused the bank’s Chief Investment Office (CIO) to exceed its VaR limit for four days in a row in January 2012. In response, the CIO changed to a new VaR model on January 30, which appeared to immediately reduce VaR by half. However, JPM soon discovered that this new VaR model had not been properly implemented and the bank went back to using the …
Jpmorgan Chase London Whale B: Derivatives Valuation, Arwin G. Zeissler, Andrew Metrick
Jpmorgan Chase London Whale B: Derivatives Valuation, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
After consistently producing positive results through 2011, the JPMorgan Chase (JPM) traders who oversaw the bank’s Synthetic Credit Portfolio (SCP) grew alarmed by a consistent string of losses beginning in January 2012. (The SCP was maintained by JPM to help hedge default risk and was the source of the 2012 London Whale trading loss.) To minimize the losses reported to their superiors until such time that market prices hopefully turned in their favor, the SCP traders began valuing their largest derivative positions in a manner that was not consistent with Generally Accepted Accounting Principles (GAAP) and JPM policy. The fair …
Jpmorgan Chase London Whale A: Risky Business, Arwin G. Zeissler, Daisuke Ikeda, Andrew Metrick
Jpmorgan Chase London Whale A: Risky Business, Arwin G. Zeissler, Daisuke Ikeda, Andrew Metrick
Journal of Financial Crises
In December 2011, the Chief Executive Officer and Chief Financial Officer of JPMorgan Chase (JPM) instructed the bank’s Chief Investment Office to reduce the size of its Synthetic Credit Portfolio (SCP) during 2012, so that JPM could decrease its RiskWeighted Assets as the bank prepared to adopt the impending Basel III bank capital regulations. However, the SCP traders were also told to minimize the trading costs incurred to reduce Risk-Weighted Assets, while still maintaining the opportunity to profit from unexpected corporate bankruptcies. In an attempt to balance these competing objectives, head SCP derivatives trader Bruno Iksil suggested in January 2012 …
The Temporary Liquidity Guarantee Program: A Systemwide Systemic Risk Exception, Lee Davison
The Temporary Liquidity Guarantee Program: A Systemwide Systemic Risk Exception, Lee Davison
Journal of Financial Crises
In the fall of 2008, short-term credit markets were all but frozen, creating liquidity issues for banks and bank holding companies that could not rollover their debt at reasonable rates. Fearing that the situation would worsen if something was not done, the Federal Deposit Insurance Corporation (FDIC) and the Federal Reserve Board invoked, and the Secretary of the Treasury approved, the use of the “systemic risk exception” (SRE) under the Federal Deposit Insurance Corporation Improvement Act of 1991, to provide unprecedented broad-based relief to struggling banks. The SRE permitted the FDIC to depart from its “least-cost” requirement when addressing failing …
Business Cycle During Structural Change: Arthur Lewis' Theory From A Neoclassical Perspective, Kjetil Storesletten, Bo Zhao, Fabrizio Zilibotti
Business Cycle During Structural Change: Arthur Lewis' Theory From A Neoclassical Perspective, Kjetil Storesletten, Bo Zhao, Fabrizio Zilibotti
Cowles Foundation Discussion Papers
We document that the nature of business cycles evolves over the process of development and structural change. In countries with large declining agricultural sectors, aggregate employment is uncorrelated with GDP. During booms, employment in agriculture declines while labor productivity increases in agriculture more than in other sectors. We construct a unified theory of business cycles and structural change consistent with the stylized facts. The focal point of the theory is the simultaneous decline and modernization of agriculture. As capital accumulates, agriculture becomes increasingly capital intensive as modern agriculture crowds out traditional agriculture. Structural change accelerates in booms and slows down …
On The Existence Of Equilibrium In Bayesian Games Without Complementarities, Idione Meneghel, Rabee Tourky
On The Existence Of Equilibrium In Bayesian Games Without Complementarities, Idione Meneghel, Rabee Tourky
Cowles Foundation Discussion Papers
This paper presents new results on the existence of pure-strategy Bayesian equilibria in specified functional forms. These results broaden the scope of methods developed by Reny (2011) well beyond monotone pure strategies. Applications include natural models of first-price and all-pay auctions not covered by previous existence results. To illustrate the scope of our results, we provide an analysis of three auctions: (i) a first-price auction of objects that are heterogeneous and imperfect substitutes; (ii) a first-price auction in which bidders’ payoffs have a very general interdependence structure; and (iii) an all-pay auction with non-monotone equilibrium.
On The Existence Of Equilibrium In Bayesian Games Without Complementarities, Idione Meneghel, Rabee Tourky
On The Existence Of Equilibrium In Bayesian Games Without Complementarities, Idione Meneghel, Rabee Tourky
Cowles Foundation Discussion Papers
In a recent paper, Reny (2011) generalized the results of Athey (2001) and McAdams (2003) on the existence of monotone strategy equilibrium in Bayesian games. Though the generalization is subtle, Reny introduces far-reaching new techniques applying the fixed point theorem of Eilenberg and Montgomery (1946, Theorem 5). This is done by showing that with atomless type spaces the set of monotone functions is an absolute retract and when the values of the best response correspondence are non-empty sub-semilattices of monotone functions, they too are absolute retracts. In this paper, we provide an extensive generalization of Reny (2011), McAdams (2003), and …
Progressive Participation, Dirk Bergemann, Philipp Strack
Progressive Participation, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
A single seller faces a sequence of buyers with unit demand. The buyers are forwardlooking and long-lived but vanish (and are replaced) at a constant rate. The arrival time and the valuation is private information of each buyer and unobservable to the seller. Any incentive compatible mechanism has to induce truth-telling about the arrival time and the evolution of the valuation. We derive the optimal stationary mechanism in closed form and characterize its qualitative structure. As the arrival time is private information, the buyer can choose the time at which he reports his arrival. The truth-telling constraint regarding the arrival …
On The Existence Of Equilibrium In Bayesian Games Without Complementarities, Idione Meneghel, Rabee Tourky
On The Existence Of Equilibrium In Bayesian Games Without Complementarities, Idione Meneghel, Rabee Tourky
Cowles Foundation Discussion Papers
This paper presents new results on the existence of pure-strategy Bayesian equilibria in specified functional forms. These results broaden the scope of methods developed by Reny (2011) well beyond monotone pure strategies. Applications include natural models of first-price and all-pay auctions not covered by previous existence results. To illustrate the scope of our results, we provide an analysis of three auctions: (i) a first-price auction of objects that are heterogeneous and imperfect substitutes; (ii) a first-price auction in which bidders’ payoffs have a very general interdependence structure; and (iii) an all-pay auction with non-monotone equilibrium.
Estimated Costs Of Injuries In College And High School Female Sports, Ray C. Fair, Christopher Champa
Estimated Costs Of Injuries In College And High School Female Sports, Ray C. Fair, Christopher Champa
Cowles Foundation Discussion Papers
Injury rates in thirteen U.S. women’s college sports and four U.S. girls’ high school sports are examined in this paper. The sports are categorized as high injury (H) or low injury (L) and differences in injury rates between the two are examined. Estimates are presented of the injury savings that would result if the H sports were changed to have injury rates similar to those in the L sports. The estimated college savings are 13,610 fewer injuries per year and 2,020 fewer healthy years lost-to-injury per year. The estimated high school savings are 143,900 fewer injuries per year and 24,300 …
Progressive Participation, Dirk Bergemann, Philipp Strack
Progressive Participation, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
A single seller faces a sequence of buyers with unit demand. The buyers are forward-looking and long-lived but vanish (and are replaced) at a constant rate. The arrival time and the valuation is private information of each buyer and unobservable to the seller. Any incentive compatible mechanism has to induce truth-telling about the arrival time and the evolution of the valuation. We derive the optimal stationary mechanism, characterize its qualitative structure, and derive a closed-form solution. As the arrival time is private information, the buyer can choose the time at which he reports his arrival. The truth-telling constraint regarding the …
Progressive Participation, Dirk Bergemann, Philipp Strack
Progressive Participation, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
A single seller faces a sequence of buyers with unit demand. The buyers are forward-looking and long-lived but vanish (and are replaced) at a constant rate. The arrival time and the valuation is private information of each buyer and unobservable to the seller. Any incentive-compatible mechanism has to induce truth-telling about the arrival time and the evolution of the valuation. We derive the optimal stationary mechanism, characterize its qualitative structure and derive a closed-form solution. As the arrival time is private information, the agent can choose the time at which he reports his arrival. The truth-telling constraint regarding the arrival …
U.S. Infrastructure: 1929-2017, Ray C. Fair
U.S. Infrastructure: 1929-2017, Ray C. Fair
Cowles Foundation Discussion Papers
This paper examines the history of U.S. infrastructure since 1929 and in the process reports an interesting fact about the U.S. economy. Infrastructure as a percent of GDP began a steady decline around 1970, and the government budget deficit became positive and large at roughly the same time. The infrastructure pattern in other countries does not mirror that in the United States, so the United States appears to be a special case. The overall results suggest that the United States became less future oriented beginning around 1970. This change has persisted. This is the interesting fact. Whether it can be …
Progressive Participation, Dirk Bergemann, Philipp Strack
Progressive Participation, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
A single seller faces a sequence of buyers with unit demand. The buyers are forward-looking and long-lived. The arrival time and the valuation is private information of each buyer. Any incentive compatible mechanism has to induce truth-telling about the arrival time and the evolution of the valuation. We derive the optimal stationary mechanism in closed form and characterize its qualitative structure. As the arrival time is private information, the buyer can choose the time at which he reports his arrival. The truth-telling constraint regarding the arrival time can be represented as an optimal stopping problem. The stopping time determines the …
Progressive Participation, Dirk Bergemann, Philipp Strack
Progressive Participation, Dirk Bergemann, Philipp Strack
Cowles Foundation Discussion Papers
A single seller faces a sequence of buyers with unit demand. The buyers are forward-looking and long-lived. Each buyer has private information about his arrival time and valuation where the latter evolves according to a geometric Brownian motion. Any incentive-compatible mechanism has to induce truth-telling about the arrival time and the evolution of the valuation. We establish that the optimal stationary allocation policy can be implemented by a simple posted price. The truth-telling constraint regarding the arrival time can be represented as an optimal stopping problem which determines the first time at which the buyer participates in the mechanism. The …
Migration And Informal Insurance, Costas Meghir, Ahmed Mushfiq Mobarak, Corina Mommaerts, Melanie Morten
Migration And Informal Insurance, Costas Meghir, Ahmed Mushfiq Mobarak, Corina Mommaerts, Melanie Morten
Cowles Foundation Discussion Papers
Do new migration opportunities for rural households change the nature and extent of informal risk sharing? We experimentally document that randomly offering poor rural households subsidies to migrate leads to a 40% improvement in risk sharing in their villages. Our model of endogenous migration and risk sharing shows that risky and temporary migration opportunities can induce an improvement in risk sharing enabling profitable migration. Accounting for improved risk sharing, the migration experiment increased welfare by 12.9%. However, permanent declines in migration costs improve outside options for households and can lead to reductions in risk sharing. The short-run experimental results for …
Migration And Informal Insurance, Costas Meghir, Ahmed Mushfiq Mobarak, Corina Mommaerts, Melanie Morten
Migration And Informal Insurance, Costas Meghir, Ahmed Mushfiq Mobarak, Corina Mommaerts, Melanie Morten
Cowles Foundation Discussion Papers
We document that an experimental intervention offering transport subsidies for poor rural households to migrate seasonally in Bangladesh improved risk sharing. A theoretical model of endogenous migration and risk sharing shows that the effect of subsidizing migration depends on the underlying economic environment. If migration is risky, a temporary subsidy can induce an improvement in risk sharing and enable profitable migration. We estimate the model and find that the migration experiment increased welfare by 12.9%. Counterfactual analysis suggests that a permanent, rather than temporary, decline in migration costs in the same environment would result in a reduction in risk sharing.