DYNAMIC ASSET ALLOCATION AND CONSUMPTION CHOICE IN INCOMPLETE MARKETS*

We study the optimal investment and consumption problem of a CRRA investor when the drift and volatility of the stock are driven by a correlated factor. The myopic and non‐myopic components of the optimal portfolio process are characterised in terms of the market price of traded and non‐traded risk of the minimax martingale measure. We find that the optimal policies depend crucially on the nature of the agent, aggressive versus conservative, and the market incompleteness, improving versus deteriorating investment opportunities. Furthermore, we show that the original problem cannot be decomposed into a pure consumption and a pure terminal wealth problem, unless the market is complete.     

BUBBLES,CRASHES, AND ENDOGENOUS UNCERTAINTY IN LINKED ASSET AND PRODUCT MARKETS*

In laboratory asset markets, subjects trade shares of a firm whose profits in a linked product market determine dividends. Treatments vary whether dividend information is revealed once per period or in real time and whether the firm is controlled by a profit‐maximizing robot or human subject. The latter variation induces uncertainty about firm behavior, bridging the gap between laboratory and field markets. Our data replicate well‐known features of laboratory asset markets (e.g., bubbles), suggesting these are robust to a market‐based dividend process. Compared to a sample of previous experiments, both real‐time information revelation and endogenous uncertainty impede the bubble‐mitigating impact of experience.     

PROFIT SHIFTING AND TRADE AGREEMENTS IN IMPERFECTLY COMPETITIVE MARKETS*

Do new rationales for trade agreements arise once imperfectly competitive markets are allowed? We consider several trade models that feature imperfectly competitive markets and argue that the basic rationale for a trade agreement is, in fact, the same rationale that arises in perfectly competitive markets. In all of the models that we consider, and whether or not governments have political–economic objectives, the only rationale for a trade agreement is to remedy the inefficient terms‐of‐trade‐driven restrictions in trade volume. We also show that the principles of reciprocity and nondiscrimination continue to be efficiency enhancing in these settings.     

基于高斯冲击和习惯形成的资产定价模型

在卢卡斯提出的资产定价模型中,消费增长率是独立同分布的和投资者效用函数是可分的。卢卡斯模型无法解释著名的股票溢价之谜和无风险利率之谜,对卢卡斯模型做的两个修改是:消费增长率服从一阶高斯自回归随机过程和投资者偏好是具有习惯形成的效用函数,修改后的模型,一是存在资产定价的显示解;二是可以解释股票溢价之谜和无风险利率之谜。     

国内、国际期货市场期货价格之间的关联研究

该文利用协整检验和Granger因果检验等技术,首次对国内和国际期货市场的铜、铝、大豆和小麦的期货价格之间的动态关系进行了实证研究.结果显示:上海期货交易所与伦敦金属交易所铜、铝的期货价格之间存在长期均衡关系,大连商品交易所与芝加哥期货交易所大豆的期货价格之间存在协整关系;相对而言,国外市场的影响力较大;郑州商品交易所与芝加哥期货交易所小麦期货价格之间不存在协整关系.     

EXPERIMENTAL WORK ON SUBSIDIES,MORAL HAZARD,AND MARKET POWER IN AGRICULTURAL MARKETS

Laboratory markets are created to capture the important features of agricultural commodity markets. Sellers make production decisions and hold inventories before goods are sold. In a posted‐bid auction environment, price supports create a moral hazard for sellers. Part of the price‐support subsidy is transferred to buyers in the form of lower prices, which are close to those predicted by the buyers' Cournot level. The subsidy program is expensive for this reason. Lump‐sum payments correct the moral hazard problem and are better at transferring income to sellers. However, transfers made at the beginning of each production period cause a decline in production levels. (JEL D44, C92)     

JOB SEARCH AND ASSET ACCUMULATION UNDER BORROWING CONSTRAINTS*

This article examines the relationship between wealth accumulation and job search dynamics. It proposes a model in which risk‐averse individuals search for jobs, save, and borrow to smooth their consumption. One motivation for accumulating wealth is to finance voluntary quits in order to search for better jobs. Using data on men from the National Longitudinal Survey (1979 cohort), I estimate the individual's dynamic decision problem. The results show that borrowing constraints are tight and reinforce the influence of wealth on job acceptance decisions, namely that more initial wealth and access to larger amounts of credit increase wages and unemployment duration.     

CREDENCE GOODS MARKETS WITH CONSCIENTIOUS AND SELFISH EXPERTS*

In a credence good market, sellers know more about buyers’ necessity of the good. Because of this information asymmetry, a selfish seller may exaggerate buyers’ necessity of the good. This article investigates how the presence of conscientious experts affects selfish experts’ behavior. In a monopoly setting, it shows that the presence of a conscientious expert may result in more fraudulent behavior by the selfish expert. This result holds in a competitive setting.     

COMMITMENT AND COSTLY SIGNALING IN DECENTRALIZED MARKETS

I propose a search model of a decentralized market with asymmetric information in which sellers are unable to commit to asking prices announced ex ante. Relaxing the commitment assumption prevents sellers from using price posting as a signaling device to direct buyers' search. Private information about the gains from trade and inefficient entry on the demand side then contribute to market illiquidity. Endogenous sorting among costly marketing platforms can facilitate the search process by segmenting the market to alleviate information frictions. Seemingly irrelevant but incentive compatible listing fees are implementable provided that the market is not already sufficiently active.     

2002 LAWRENCE R. KLEIN LECTURE LIQUIDITY AND ASSET PRICES*

We broadly define liquid assets, or monetary assets, as any asset that can be readily sold in the market and can be held by a number of people in succession before maturity. We ask in what environment is the circulation of liquid assets essential for the smooth running of the economy. By developing a canonical model of a monetary economy (i.e., where the circulation of liquid assets is essential), we are able to examine the interaction between liquidity, asset prices, and aggregate economic activity.