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Articles 61 - 79 of 79
Full-Text Articles in Social and Behavioral Sciences
Emerging Markets In An Anxious Global Economy, Ana Fostel, John Geanakoplos
Emerging Markets In An Anxious Global Economy, Ana Fostel, John Geanakoplos
Cowles Foundation Discussion Papers
We provide a theory of pricing for emerging asset classes, like emerging markets, that are not yet mature enough to be attractive to the general public. Our model provides an explanation for the volatile access of emerging economies to international financial markets and for several stylized facts we identify in the data during the 1990’s. We present a general equilibrium model with incomplete markets and endogenous collateral and an extension encompassing adverse selection. We show that contagion, flight to liquidity and issuance rationing can occur in equilibrium during what we call global anxious times.
Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis Of The Oil And Gas Field Services Industry, Patrick Kline
Understanding Sectoral Labor Market Dynamics: An Equilibrium Analysis Of The Oil And Gas Field Services Industry, Patrick Kline
Cowles Foundation Discussion Papers
This paper examines the response of employment and wages in the US oil and gas field services industry to changes in the price of crude petroleum using a time series of quarterly data spanning the period 1972-2002. I find that labor quickly reallocates across sectors in response to price shocks but that substantial wage premia are necessary to induce such reallocation. The timing of these premia is at odds with the predictions of standard models-wage premia emerge quite slowly, peaking only as labor adjustment ends and then slowly dissipating. After considering alternative explanations, I argue that a dynamic market clearing …
Conflict Leads To Cooperation In Nash Bargaining, Kareen Rozen
Conflict Leads To Cooperation In Nash Bargaining, Kareen Rozen
Cowles Foundation Discussion Papers
We consider a multilateral Nash demand game where short-sighted players come to the bargaining table with requests for both coalition partners and the potentially generated resource. We prove that group learning leads with probability one to complete cooperation and a strictly self-enforcing allocation (i.e., in the interior of the core). Highlighting group dynamics, we demonstrate that behaviors which appear destructive can themselves lead to beneficial and strictly self-enforcing cooperation.
Foundations Of Intrinsic Habit Formation, Kareen Rozen
Foundations Of Intrinsic Habit Formation, Kareen Rozen
Cowles Foundation Discussion Papers
We provide theoretical foundations for several common (nested) representations of intrinsic linear habit formation. Our axiomatization introduces an intertemporal theory of weaning a decision-maker from her habits using the device of compensation. We clarify differences across specifications of the model, provide measures of habit-forming tendencies, and suggest methods for axiomatizing time-nonseparable preferences.
Semiparametric Efficiency In Gmm Models Of Nonclassical Measurement Errors, Missing Data And Treatment Effects, Xiaohong Chen, Han Hong, Alessandro Tarozzi
Semiparametric Efficiency In Gmm Models Of Nonclassical Measurement Errors, Missing Data And Treatment Effects, Xiaohong Chen, Han Hong, Alessandro Tarozzi
Cowles Foundation Discussion Papers
We study semiparametric efficiency bounds and efficient estimation of parameters defined through general nonlinear, possibly non-smooth and over-identified moment restrictions, where the sampling information consists of a primary sample and an auxiliary sample. The variables of interest in the moment conditions are not directly observable in the primary data set, but the primary data set contains proxy variables which are correlated with the variables of interest. The auxiliary data set contains information about the conditional distribution of the variables of interest given the proxy variables. Identification is achieved by the assumption that this conditional distribution is the same in both …
The Virtues And Vices Of Equilibrium And The Future Of Financial Economics, J. Doyne Farmer, John Geanakoplos
The Virtues And Vices Of Equilibrium And The Future Of Financial Economics, J. Doyne Farmer, John Geanakoplos
Cowles Foundation Discussion Papers
The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then we present a critique and describe why this approach is inherently limited, and why economics needs to move in new directions if it is to continue to make progress. We stress that this shouldn’t be a question of dogma, but should be resolved empirically. There are situations where equilibrium models provide useful predictions and …
A Positive Theory Of Income Taxation Where Politicians Focus Upon Swing And Core Voters, John E. Roemer
A Positive Theory Of Income Taxation Where Politicians Focus Upon Swing And Core Voters, John E. Roemer
Cowles Foundation Discussion Papers
We construct an equilibrium model of party competition, in which parties are especially concerned with their core and swing voters, concerns which American political scientists have focused upon in their attempts to understand party behavior in general elections. Parties compete on a large policy space of possible income-tax policies. An element in this infinite-dimensional space is a function which maps pre-fisc income into post-fisc income. The only restrictions are that the function be continuous, and satisfy exogenously specified upper and lower bounds on its derivative, where it is differentiable. Only a fraction of each voter type will vote for each …
Do Local Economic Development Programs Work? Evidence From The Federal Empowerment Zone Program, Matias Busso, Patrick Kline
Do Local Economic Development Programs Work? Evidence From The Federal Empowerment Zone Program, Matias Busso, Patrick Kline
Cowles Foundation Discussion Papers
This paper evaluates the impact of Round I of the federal urban Empowerment Zone (EZ) program on neighborhood level labor and housing market outcomes over the period 1994-2000. Using four decades of Census data in conjunction with information on the proposed boundaries of rejected EZs, we find that neighborhoods receiving EZ designation experienced substantial improvements in labor market conditions and moderate increases in rents relative to rejected and future zones. These effects were accompanied by small changes in the demographic composition of the neighborhoods, though evidence from disaggregate Census tabulations suggests that these changes account for little of the observed …
Communication And Learning, Luca Anderlini, Dino Gerardi, Roger Lagunoff
Communication And Learning, Luca Anderlini, Dino Gerardi, Roger Lagunoff
Cowles Foundation Discussion Papers
We study the intergenerational accumulation of knowledge in an infinite-horizon model of communication. Each in a sequence of players receives an informative but imperfect signal of the once-and-for-all realization of an unobserved state. The state affects all players’ preferences over present and future decisions. Each player observes his own signal but does not directly observe the realized signals or actions of his predecessors. Instead, he must rely on cheap-talk messages from the previous players to fathom the past. Each player is therefore both a receiver of information with respect to his decision, and a sender with respect to all future …
Efficient Estimation Of Semiparametric Conditional Moment Models With Possibly Nonsmooth Residuals, Xiaohong Chen, Demian Pouzo
Efficient Estimation Of Semiparametric Conditional Moment Models With Possibly Nonsmooth Residuals, Xiaohong Chen, Demian Pouzo
Cowles Foundation Discussion Papers
This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components ( theta ) and unknown functions ( h ) of endogenous variables. We show that: (1) the penalized sieve minimum distance (PSMD) estimator ( theta\hat,h\hat ) can simultaneously achieve root- n asymptotic normality of theta\hat and nonparametric optimal convergence rate of h\hat , allowing for noncompact function parameter spaces; (2) a simple weighted bootstrap procedure consistently estimates the limiting distribution of the PSMD theta\hat ; (3) the semiparametric efficiency bound formula of Ai and Chen (2003) remains valid for conditional models with …
Efficient Estimation Of Semiparametric Conditional Moment Models With Possibly Nonsmooth Residuals, Xiaohong Chen, Demian Pouzo
Efficient Estimation Of Semiparametric Conditional Moment Models With Possibly Nonsmooth Residuals, Xiaohong Chen, Demian Pouzo
Cowles Foundation Discussion Papers
For semi/nonparametric conditional moment models containing unknown parametric components (theta) and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (theta, h) and derive the large sample properties. This paper greatly extends their results by establishing the followings: (1) The penalized SMD (PSMD) estimator (hat{theta}, hat{h}) can simultaneously achieve root- n asymptotic normality of theta hat and nonparametric optimal convergence rate of hat{h}, allowing for models with possibly nonsmooth residuals and/or noncompact infinite dimensional parameter spaces. (2) A simple weighted bootstrap procedure can consistently estimate the limiting …
Yul Annual Report; 2007-2008, Yale University Library
Yul Annual Report; 2007-2008, Yale University Library
Yale University Library Annual Reports
No abstract provided.
Japan And The World: Japan’S Contemporary Geopolitical Challenges – A Volume In Honor Of The Memory And Intellectual Legacy Of Asakawa Kan’Ichi, Frances Rosenbluth, Masaru Kohno
Japan And The World: Japan’S Contemporary Geopolitical Challenges – A Volume In Honor Of The Memory And Intellectual Legacy Of Asakawa Kan’Ichi, Frances Rosenbluth, Masaru Kohno
CEAS Occasional Publication Series
Yale CEAS Occasional Publication Series - Volume 2
The Politic 2008 Winter, The Politic, Inc.
From Debate To Design: Issues In Clean Energy And Climate Change Law And Policy, Leslie Parker, Jennifer Ronk, Rachel Maxwell, Bradford Gentry, Marijn Wilder, James Cameron
From Debate To Design: Issues In Clean Energy And Climate Change Law And Policy, Leslie Parker, Jennifer Ronk, Rachel Maxwell, Bradford Gentry, Marijn Wilder, James Cameron
Yale School of the Environment Publications Series
A report on the work of the REIL Network 2007-2008
Life-Cycle Investing And Leverage: Buying Stock On Margin Can Reduce Retirement Risk, Ian Ayres, Barry Nalebuff
Life-Cycle Investing And Leverage: Buying Stock On Margin Can Reduce Retirement Risk, Ian Ayres, Barry Nalebuff
Ian Ayres
By employing leverage to gain more exposure to stocks when young, individuals can achieve better diversification across time. Using stock data going back to 1871, we show that buying stock on margin when young combined with more conservative investments when older stochastically dominates standard investment strategies—both traditional life-cycle investments and 100%-stock investments. The expected retirement wealth is 90% higher compared to life-cycle funds and 19% higher compared to 100% stock investments. The expected gain would allow workers to retire almost six years earlier or extend their standard of living during retirement by 27 years.
Estimating Term Structure Equations Using Macroeconomic Variables, Ray C. Fair
Estimating Term Structure Equations Using Macroeconomic Variables, Ray C. Fair
Cowles Foundation Discussion Papers
This paper begins with the expectations theory of the term structure of interest rates with constant term premia and then postulates how expectations of future short term interest rates are formed. Expectations depend in part on predictions from a set of VAR equations and in part on the current and two lagged values of the short term interest rate. The results suggest that there is relevant independent information in both the VAR equations’ predictions and the current and two lagged values of the short rate. The model fits the long term interest rate data well, including the 2004-2006 period, which …
Estimating Exchange Rate Equations Using Estimated Expectations, Ray C. Fair
Estimating Exchange Rate Equations Using Estimated Expectations, Ray C. Fair
Cowles Foundation Discussion Papers
This paper takes a somewhat different approach from the recent literature in estimating exchange rate equations. It assumes uncovered interest rate parity and models how expectations are formed. Agents are assumed to base their expectations of future interest rates and prices, which are needed in the determination of the exchange rate, on predictions from a ten equation VAR model. The overall model is estimated by FIML under model consistent expectations. The model generally does better than the random walk model, and its properties are consistent with observed effects on exchange rates from surprise interest rate and price announcements. Also, the …
Optimal Resource Extraction Contracts Under Threat Of Expropriation, Eduardo Engel, Ronald Fischer
Optimal Resource Extraction Contracts Under Threat Of Expropriation, Eduardo Engel, Ronald Fischer
Cowles Foundation Discussion Papers
The government contracts with a foreign firm to extract a natural resource that requires an upfront investment and which faces price uncertainty. In states where profits are high, there is a likelihood of expropriation, which generates a social cost that increases with the expropriated value. In this environment, the planner’s optimal contract avoids states with high probability of expropriation. The contract can be implemented via a competitive auction with reasonable informational requirements. The bidding variable is a cap on the present value of discounted revenues, and the firm with the lowest bid wins the contract. The basic framework is extended …