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Social and Behavioral Sciences Commons™
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- Compromise (2)
- Incentive compatibility (2)
- Random social choice functions (2)
- Strategy-proofness (2)
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- Capital adjustment costs (1)
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- Dynamic mechanism design (1)
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- High-frequency data; Occupation measure; Semimartingale; Specification test; Stochastic volatility (1)
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- Information Cascade (1)
- Information Criteria (1)
- Informativeness (1)
- Investment lumpiness (1)
- Local-to-unit-root Model (1)
- Mildly Explosive Model (1)
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- Network (1)
- Observable payoff (1)
- Optimal linear taxes (1)
- Precautionary Saving (1)
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Articles 1 - 14 of 14
Full-Text Articles in Social and Behavioral Sciences
Sharing Sequential Values In A Network, Ruben Juarez, Chiu Yu Ko, Jingyi Xue
Sharing Sequential Values In A Network, Ruben Juarez, Chiu Yu Ko, Jingyi Xue
Research Collection School Of Economics
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 agents. We model this process by a directed network where 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 long-term production plan and sharing final profits among partners of a firm; choosing a machine schedule to serve different tasks and distributing total outputs among task owners. …
Associationistic Luce Rule, Jiangtao Li, Rui Tang
Associationistic Luce Rule, Jiangtao Li, Rui Tang
Research Collection School Of Economics
We develop an extension of Luce’s random choice model that incorporates a role forthe association of alternatives. Each alternative is characterized by a salience value, aLuce value, and its associated alternatives. The salience value captures the alternative’sability to attract the decision maker’s attention, and the Luce value measures thealternative’s desirability. The decision maker is first attracted by some alternativeaccording to a salience-based Luce-type formula, and then chooses among its associatedalternatives according to another desirability-based Luce-type formula. While retainingthe simplicity of the Luce rule, the theory accommodates some well-known behavioralphenomena in individual choice, such as the attraction effect (violations of regularity),and …
Gray's Anatomy: Understanding Uncertainty, Juliana Yu Sun, Roberto M. Samaniego
Gray's Anatomy: Understanding Uncertainty, Juliana Yu Sun, Roberto M. Samaniego
Research Collection School Of Economics
We explore the key mechanisms whereby uncertainty impacts the business cycle by exploring the interaction of uncertainty with growth in industries with di⁄erent technologies of production. We nd that uncertainty shocks are particularly detrimental to growth in industries with rapid capital depreciation or high investment adjustment costs. The ndings are consistent with real options theory: uncertainty leads rms to delay investment in new projects, but high depreciation and xed costs of investment make delay more costly. On the other hand, we do not nd evidence of a signicant role of nancial markets in the generation nor propagation of uncertainty shocks.
Inference Theory On Volatility Functional Dependencies, Jia Li, Viktor Todorov, George. Tauchen
Inference Theory On Volatility Functional Dependencies, Jia Li, Viktor Todorov, George. Tauchen
Research Collection School Of Economics
We develop inference theory for models involving possibly nonlinear transforms of the elements of the spot covariance matrix of a multivariate continuous-time process observed at high frequency. The framework can be used to study the relationship among the elements of the latent spot covariance matrix and processes defined on the basis of it such as systematic and idiosyncratic variances, factor betas and correlations on a fixed interval of time. The estimation is based on matching model-implied moment conditions under the occupation measure induced by the spot covariance process. We prove consistency and asymptotic mixed normality of our estimator of the …
Precautionary Saving With Changing Income Ambiguity, Atsushi Kajii, Jingyi Xue
Precautionary Saving With Changing Income Ambiguity, Atsushi Kajii, Jingyi Xue
Research Collection School Of Economics
We study a two-period saving model where theagent’s future income might be ambiguous. Our agent has a version of the smoothambiguity decision criterion (Klibano, Marinacci and Mukerji (2005)), where theagent’s perception about ambiguity is described by a second-order belief overfirst-order risks. We model increasing ambiguity as a spreading-out of thesecond-order belief. We show that under a “Risk Comonotonicity” condition, ouragent saves more when ambiguity in future income increases. We argue that thecondition is indispensable for our result.
A Characterization Of Single-Peaked Preferences Via Random Social Choice Functions, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
A Characterization Of Single-Peaked Preferences Via Random Social Choice Functions, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
Research Collection School Of Economics
This paper proves the following result: every path-connected domain of preferences that admits a strategy-proof, unanimous, tops-only random social choice function satisfying a compromise property is single-peaked. Conversely, every single-peaked domain admits a random social choice function satisfying these properties. Single-peakedness is defined with respect to arbitrary trees. The paper provides a justification of the salience of single-peaked preferences and evidence in favor of the Gul conjecture (Barber\303\240 2010).
Efficient Dynamic Mechanisms With Interdependent Valuations, Wei He, Jiangtao Li
Efficient Dynamic Mechanisms With Interdependent Valuations, Wei He, Jiangtao Li
Research Collection School Of Economics
This paper considers a dynamic environment with interdependent valuations and evolving private information. Under the assumption of “independent types”, we construct an efficient, incentive-compatible mechanism that is also budget-balanced in every period of the game. Our mechanism works in environments where in each period, each agent observes her own realized outcome-decision payoff from the previous period. This extends the insight of Mezzetti (2004) to the dynamic setting.
Three Essays On Random Mechanism Design, Huaxia Zeng
Three Essays On Random Mechanism Design, Huaxia Zeng
Dissertations and Theses Collection (Open Access)
This dissertation studies a standard voting formulation with randomization. Formally, there is a finite set of voters, a finite set of alternatives and a lottery space over the alternative set. Each voter has a strict preference over alternatives. The domain of preferences contains all admissible preferences. Every voter reports a preference in the domain; a preference profile is generated; and the social lottery then is determined by a Random Social Choice Function (or RSCF). This dissertation focuses on RSCFs which provide every voter incentives to truthfully reveal her preference, and hence follows the formulation of strategyproofness in [26] which requires …
Entrepreneurship, College And Credit: The Golden Triangle, Roberto M Samaniego, Juliana Yu Sun
Entrepreneurship, College And Credit: The Golden Triangle, Roberto M Samaniego, Juliana Yu Sun
Research Collection School Of Economics
We develop a model to evaluate the impact of college education finance on welfare, inequality and aggregate outcomes. Our model captures the stylized fact that entrepreneurs with college are more common and more profitable. Our calibration to US data suggests this is mainly because higher labor earnings allow college educated agents to ameliorate credit constraints when they become entrepreneurs. The welfare benefits of subsidizing education are greater than those of eliminating financing constraints on education because subsidies ameliorate the impact of financing constraints on would-be entrepreneurs.
Entrepreneurship, Education And Credit: The Golden Triangle, Roberto M. Samaniego, Juliana Yu Sun
Entrepreneurship, Education And Credit: The Golden Triangle, Roberto M. Samaniego, Juliana Yu Sun
Research Collection School Of Economics
We develop a model to evaluate the impact of college education finance on welfare, inequality and aggregate outcomes. Our model captures the stylized fact that entrepreneurs with college are more common and more profitable. Our calibration to US data suggests this is mainly because higher labor earnings allow college educated agents to ameliorate credit constraints when they become entrepreneurs. The welfare benefits of subsidizing education are greater than those of eliminating financing constraints on education because subsidies ameliorate the impact of financing constraints on would-be entrepreneurs.
Model Selection For Explosive Models, Yubo Tao, Jun Yu
Model Selection For Explosive Models, Yubo Tao, Jun Yu
Research Collection School Of Economics
This paper examines the limit properties of information criteria for distinguishing between the unit root model and the various kinds of explosive models. The information criteria include AIC, BIC, HQIC. The explosive models include the local-to-unit-root model, the mildly explosive model and the regular explosive model. Initial conditions with different order of magnitude are considered. Both the OLS estimator and the indirect inference estimator are studied. It is found that BIC and HQIC, but not AIC, consistently select the unit root model when data come from the unit root model. When data come from the local-to-unit-root model, both BIC and …
Implementation With Transfers, Yi-Chun Chen, Takashi Kunimoto, Yifei Sun
Implementation With Transfers, Yi-Chun Chen, Takashi Kunimoto, Yifei Sun
Research Collection School Of Economics
We say that a social choice rule is implementable with (small) transfers if one candesign a mechanism whose set of equilibrium outcomes coincides with that speciÖed bythe rule but the mechanism allows for (small) ex post transfers among the players. Weshow in private-value environments that any incentive compatible rule is implementablewith small transfers. We obtain this permissive implementation result by proposinga natural extension of Abreu and Matsushima (1994) to incomplete information environments.Furthermore, in order to showcase the applicability of our results, we relatethem to the recent developments in implementation theory. Next we revisit the conjectureby Abreu and Matsushima (1994), who …
Constrained Inefficiency And Optimal Taxation With Uninsurable Risks, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima
Constrained Inefficiency And Optimal Taxation With Uninsurable Risks, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima
Research Collection School Of Economics
When individuals' labor and capital income are subject to uninsurable idiosyncratic risks, should capital and labor be taxed, and if so how? In a two-period general equilibrium model with production, we derive a decomposition formula of the welfare effects of these taxes into insurance and distribution effects. This allows us to determine how the sign of the optimal taxes on capital and labor depend on the nature of the shocks and the degree of heterogeneity among consumers' income, as well as on the way in which the tax revenue is used to provide lump-sum transfers to consumers. When shocks affect …
Robust Information Cascade With Endogenous Ordering, Yi Zhang
Robust Information Cascade With Endogenous Ordering, Yi Zhang
Research Collection School Of Economics
We analyze a sequential decision model with endogenous ordering in which decision makers are allowed to choose the time of acting (exercising a risky investment option) or waiting. We show the existence of a unique symmetric equilibrium and characterize information cascade under endogenous ordering. Further, if there are two or more risky investment options, individuals tend to wait longer with competition. Hence, we could end up with a dilemma: more options might be worse.