过度自信、有限参与和资产价格泡沫

当存在模型不确定性且有限市场参与内生时,过度自信的投资者和理性投资者参与股票市场的程度有着不同的行为模式。本文给出的模型分析了两种投资者在不同情况下对股票市场的参与情况,借此解释有限市场参与、超额进入和资产定价之间的关系。模型在流动性溢价、投资者结构和风险溢价的关系等方面具有明显的实证含义。模型表明,理性投资者有更大的投资区域,但是非理性投资者在其投资区域内更为激进。进而,在不同情形下,模型给出了资产均衡价格与投资者结构之间对应关系。     

Firm‐Specific Learning and the Investment Behavior of Large and Small Firms*

We examine a model of size distribution and growth of firms where firms learn about idiosyncratic productivity parameters through their production experience. Aggregate shocks, by adding noise to learning at the firm level, can produce different responses across firms. In particular, young firms, which are smaller on average than older firms and more uncertain about their productivity, can “overreact” to aggregate shocks. Such differences across firm sizes and ages, which arise here in a model with perfect financial markets, are often attributed to financial frictions that hit small and large firms differently.     

Capacity precommitment as a barrier to entry: A Bertrand-Edgeworth approach

Summary. With few exceptions, the literature on the role of capacity as a strategic entry deterrent has assumed Cournot competition in the post-entry game. In contrast, this paper studies a model in which the incumbent and entrant sequentially precommit to capacity levels before competing in price. Interesting deterrence effects arise because firms need time to build, that is, cannot adjust capacity instantaneously in the post-entry game. This approach produces a simple and intuitive set of equilibrium behaviors and generates clear predictions about when these different outcomes are likely to arise. Our model also departs substantially from the existing literature in concluding that sunkness of capacity costs is neither necessary nor sufficient for capacity to have precommitment value. Received: August 25, 1999; revised version: October 15, 1999     

NEGATIVE CORRELATION BETWEEN STOCK AND FUTURES RETURNS: AN UNEXPLOITED HEDGING OPPORTUNITY?

The negative correlation between equity and commodity futures returns is widely perceived by investors as an unexploited hedging opportunity. A Lucas (1982) asset‐pricing model is adapted to analyse the fundamentals driving equity and commodity futures returns. Using the model we argue that such a negative correlation could arise as an equilibrium relationship which reflects traders' perceptions about the shocks driving the fundamentals such as energy and consumables, and does not necessarily indicate any hedging opportunity.     

Entry and Schumpeterian profits

A large empirical literature has documented differences in Schumpeterian profits, both among firms in single industries and between firms in different industries. Theorists have proposed various institutional and strategic factors to account for such differences but have had relatively little to say about the manner in which technology affects entry and profits. In this paper I present a model in which persistent intraindustry differences in firm profitability arise as the outcomes of learning and imitation, and interindustry differences in the persistence of above normal profits arise solely from production being more technologically complex in some industries than in others.     

A theory on party discipline and vote switching by legislators

We develop a new theory of vote switching by legislators that defect from party line voting. In our model, ideological candidates select their party label and, once elected, vote in parliament. Political parties select their policy platform as to maximize votes while preserving their candidates’ loyalty. We find that legislators that defect from party line voting arise within the majority party. Besides, the more legislators care about their ideology and the less about their own reputation, the more they defect from party line voting. Interestingly, when a party has larger electoral advantage and its candidates sufficiently care about their reputation, such a party can propose a more polarized policy to avoid party defectors. Our model suggests that polarization incentivizes loyalty. Finally, we discuss the robustness of our results in multi-party systems and multi-constituency systems.     

The contractionary effects of tax shocks on productivity: An empirical and theoretical analysis

I analyze the effects of tax policy changes on US Total Factor Productivity. VAR estimates show that permanent and exogenous tax increases have strong, permanent, and negative effects on TFP which represent about 80% of change in output following the tax increase. I then build a DSGE model which has learning-by-doing and endogenous TFP evolution. The benchmark model is able to replicate the empirical impulse responses. However, when I calibrate the model as in the literature, the effect of taxes on TFP is substantially less elastic than in the data. I argue that this divergence may arise because tax changes labeled as exogenous can give spurious results or because of a mis-specified model.     

Environmental Degradation As an Incentive For Trade*

A modified Heckscher-Ohlin-Samuelson model is used in which industries are allocated by historical accident to geographical regions and agents care about their environment. Incentives for international trade arise when economies with identical factor endowments and geophysical characteristics differ in the allocation of industries to regions, and economies will tend to export goods produced in regions with higher environmental assimilative capacity.     

Multi-dimensional skills,specialization, and oligopolistic competition in higher education

This paper develops a differentiated products model of school competition that distinguishes among different dimensions that matter in the skill acquisition process. The model predicts that when identical schools compete for students, specialization may arise as a competition strategy. This serves rich students' education goals well. Poorer students, however, may attend schools with specializations that do not cater to their relative strengths. By doing so, these poorer students complement the weaknesses of the richer students through peer effects and receive financial aid in return. The empirical analysis provides strong support for the model's predictions about within-school implications of specialization.     

Identity, morals, and taboos: beliefs as assets

We develop a theory of moral behavior, individual and collective, based on a general model of identity in which people care about “who they are” and infer their own values from past choices. The model sheds light on many empirical puzzles inconsistent with earlier approaches. Identity investments respond nonmonotonically to acts or threats, and taboos on mere thoughts arise to protect beliefs about the “priceless” value of certain social assets. High endowments trigger escalating commitment and a treadmill effect, while competing identities can cause dysfunctional capital destruction. Social interactions induce both social and antisocial norms of contribution, sustained by respectively shunning free riders or do-gooders.     

The Value of Vocation. The Crucial Role of Intrinsically Motivated People in Values-based Organizations

The aim of the paper is to analyze the dynamics that arise in Values-based Organizations when ideal quality deteriorates. On the basis of Hirschman's “exit and voice” model, we analyze the mechanism that encourage the best subjects, the ones intrinsically motivated who care most about the mission and ideal quality of the organization, to leave the organization if their voice is ignored. By combining Hirschman's and a “critical mass” model, we show the possible cumulative effects caused by the “exit” of the intrinsically motivated members, which can bring the organization into a deterioration process.     

Thinking Ahead: The Decision Problem

We propose a model of costly decision making based on time-costs of deliberating current and future decisions. We model an individual decision-maker's thinking process as a thought-experiment that takes time, and lets the decision maker 'think ahead' about future decision problems in yet unrealized states of nature. By formulating an intertemporal, state-contingent, planning problem which may involve costly deliberation in every state of nature, and by letting the decision maker deliberate ahead of the realization of a state, we attempt to capture the basic observation that individuals generally do not think through a complete action plan. Instead, individuals prioritize their thinking and leave deliberations on less important decisions to the time or event when they arise.     

Green Business and Blue Angels

This paper presents a model of a monopolist'svoluntary overcompliance with legal environmentalstandards under asymmetric information about thefirm's environmental impacts. The key assumptions are:the existence of quality premia for environmentalsoundness, a positive but imperfect degree ofmonitoring, and adaptive consumer expectations.Conditions necessary for overcompliance to arise in aprofit-maximizing equilibrium are derived. The effectsof a third-party eco-labeling system are analyzed. Itis shown that the existence of an independent labelingauthority increases the likelihood of overcomplianceto be profit-maximizing. Moreover, firms might have anincentive to lobby for the introduction of such asystem. The effect of consumers' risk preferences andan instrument for preventing ``Greenwash' (companieslying about their environmental performance) is alsodiscussed.     

Financial Instability under a Flexible Exchange Rate*

Many governments in developing countries contemplate the possibility of increasing the flexibility of their exchange rates despite having accumulated substantial dollar‐denominated debt. Using a model of corporate dollar debt in which the future exchange rate is uncertain, this paper studies the financial risks that might arise as a consequence of increased exchange rate flexibility. Since a firm may default on its debt either because its dollar income is too low or because investors refuse to roll over its debt, the measure of the overall risk of default should take into account both factors, as well as their interaction. Solving the model for the no‐default rational expectations equilibrium, we find that a small risk of insolvency may bring about a substantial risk of illiquidity.     

CARBON LOCK‐IN: THE ROLE OF EXPECTATIONS

We argue that expectations about future energy use affect the transition from fossil to renewables because of an interaction between innovation and resource scarcity. This article presents a model of directed technical change to study this interaction. We find that fossil‐saving technical change erodes the incentives to implement renewables. Conversely, the anticipation of a transition to renewables diminishes the incentives to invest in fossil technology. As a result, two equilibria may arise, one with a transition to renewables and with low fossil efficiency and one without renewables and with high fossil efficiency. Expectations determine which equilibrium arises.     

Mergers and the market for organization capital

In this paper, mergers are an equilibrium outcome in which acquirers “marry” targets so as to gain access to their organization capital. Firms with lower learning costs about the new technology are not necessarily those that manage it best once it is mature. Since there are gains from trade, a market for organization capital can arise through mergers. This model generates a merger wave after a shock to technology and is consistent with several other stylized facts on mergers documented in the literature.     

The necessity of imperfect decisions

I construct a general model which neither postulates decisions are always optimal, nor that decision errors necessarily arise when ‘real world’ agents are involved. Nevertheless, I show that agents always have a positive marginal incentive to use some information imperfectly, but never to use all potential information even if they have costless access to perfect information about how to select every action. These results imply that in order for a decision problem to be internally consistent without simply postulating the extreme limit of perfect decisions, it must explicitly incorporate the effects of both information and decision errors on behavior.     

Fostering civil society to build institutionsWhy and when1

We revisit the ubiquitous claim that aiding civil society improves institutional outcomes. In our model, a vibrant civil society initiates public debate in a reform process otherwise dominated by partisan interest groups and politicians. Civil society involvement can alleviate or aggravate adverse selection problems that arise because interest groups are better informed about reform consequences than politicians. Since aid increases the cost to the politician of excluding civil society, it affects institution building. We show analytically, and illustrate empirically, that the welfare implications of fostering civil society critically depend on the specifics of local politics, thereby casting new light on the experience of civil society aid in transition and developing countries.     

Expectation traps in a new Keynesian open economy model

This paper illustrates that the presence of a money demand distortion in an otherwise standard new Keynesian open economy model results in multiple discretionary equilibria that arise in the form of expectations traps. If private sector inflation expectations become sufficiently unanchored, the model predicts that a monetary authority can easily be trapped into validating these expectations, thereby pushing the economy to a lower welfare equilibrium. Given the ease with which expectation traps arise in the presence of international linkages, the main result presented here suggests that maintaining well-anchored inflation expectations is a critically important policy goal for central banks in open economies.     

Public versus private demand for covering long-term care expenditures

This article studies the determinants of the Willingness to Pay (WTP) for Long-Term Care (LTC) insurance coverage. Two alternatives are considered: one compulsory, financed through taxes, the other purchased on a voluntary basis and paid through a premium. WTP was elicited through open-ended contingent valuation within a survey conducted in the Italian region Emilia-Romagna about LTC population needs. We model information on individual WTP as a two-stage process, where respondents first establish their interest for LTC cover, then state their WTP. Results show that interest and WTP are influenced by different variables, and that differences arise also between the WTP for public and private coverage.