Representative consumer's risk aversion and efficient risk-sharing rules

We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must the representative consumer. We also identify a relationship between the curvature of an individual consumer's individual risk sharing rule and his absolute cautiousness, the first derivative of absolute risk-tolerance. Furthermore, we discuss some consequences of these results and refinements of these results for the class of HARA utility functions.     

Repetition and signalling: experimental evidence from games with efficient equilibria

We report experiments where subjects generally fail to attain the efficient equilibrium of a one-shot game, but attain the efficient equilibrium of the repeated version. The results suggest that in the repeated game actions are used to signal future intentions.     

社会资本规制与产权安排的替代效用和替代规则

按照科斯定理的逻辑,可以证明社会资本规制与产权安排具有相互替代的效用;而两者之间的替代规则,可以在交易成本理论的平台上,从交易的频率、专用性、异质性三个维度进行刻画;对于现实中的社会资本规制和产权安排的互补现象,也可以通过交易成本递增和外部性分析,在满足两者效用替代的基础上得到解释。     

Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling

The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. No-arbitrage conditions are given in terms of risk adjusted priors. A sufficient condition for existence of efficient allocations is the overlapping of the interiors of the risk adjusted sets of priors or the inexistence of mutually compatible trades, with non-negative expectation with respect to any risk adjusted prior. These conditions are necessary when agents are not risk neutral at extreme levels of wealths. It is shown that the more uncertainty averse or risk averse the agents, the more likely are efficient allocations and equilibria to exist.     

Cycles and multiple equilibria in the market for durable lemons

Summary. The paper investigates the nature of market failure in a dynamic version of Akerlof (1970) where identical cohorts of a durable good enter the market over time. In the dynamic model, equilibria with qualitatively different properties emerge. Typically, in equilibria of the dynamic model, sellers with higher quality wait in order to sell and wait more than sellers of lower quality. The main result is that for any distribution of quality there exist an infinite number of cyclical equilibria where all goods are traded within a certain number of periods after entering the market. Received: December 21, 2000; revised version: September 5, 2001     

Mixed-strategy equilibria and strong purification for games with private and public information

This paper shows the existence of mixed-strategy equilibria for games with private and public information under general conditions. Under the additional assumptions of finiteness of action spaces and diffuseness and conditional independence of private information, a strong purification result is obtained for the mixed strategies in such games. As a corollary, the existence of pure-strategy equilibria follows. I am very grateful to Yeneng Sun, Nicholas C. Yannelis and M. Ali Khan for helpful discussions and suggestions. I also wish to thank an anonymous referee whose comments led to many improvements in the paper.     

Existence,uniqueness and some comparative statics for ratio and Lindahl equilibria

We present a rigorous, yet elementary, demonstration of the existence of a unique Lindahl equilibrium under the assumptions that characterize the standard n-player public good model. Indeed, our approach, which exploits the aggregative structure of the public good model, lends itself to a transparent geometric representation. Moreover, it can handle the more general concept of the cost share or ratio equilibrium. Finally, we indicate how it may be exploited to facilitate comparative static analysis of Lindahl and cost share equilibria.      

Firm dynamics and markup variations: Implications for sunspot equilibria and endogenous economic fluctuations

This paper analyzes how the interaction between firms’ entry-and-exit decisions and variations in competition gives rise to self-fulfilling, expectation-driven fluctuations in aggregate economic activity and in measured total factor productivity (TFP). The analysis is based on a dynamic general equilibrium model in which net business formation is endogenously procyclical and leads to endogenous countercyclical variations in markups. This interaction leads to indeterminacy in which economic fluctuations occur as a result of self-fulfilling shifts in the beliefs of rational forward looking agents. When calibrated with empirically plausible parameter values and driven solely by self-fulfilling shocks to expectations, the model can quantitatively account for the main empirical regularities characterizing postwar U.S. business cycles and for 65% of the fluctuations in measured TFP.     

国际商业银行监管模式演进及对我国的启示

随着世界银行业的变革和发展,银行规制理论和监管模式日趋完善.从世界银行业监管历史来看,国际商业银行监管模式渐渐由"刚性"、"半刚性"向"柔性"转化,先后经历了行政命令式、标准化方法、内部模型法、预先承诺法四个规制阶段.随着我国成功入世及银行业改革不断向纵深推进,现有银行监管模式将面临强有力的挑战.为此,加强银行规制理论研究,探索国际商业银行监管模式演进轨迹,对构建我国有效银行监管模式将起到重大启示和推动作用.     

Renegotiation-proof contracting, disclosure, and incentives for efficient investment

Disclosure by firms would seem to reduce investment inefficiency by reducing informational asymmetry. However, the impact of disclosure is endogenous and depends on incentives within the firm. Given optimal renegotiation-proof contracts, disclosing only accepted contracts does not solve the Myers-Majluf problem. What solves the problem is having either full transparency of all compensation negotiations or, more reasonably, additional forward-looking announcements. The model is robust to renegotiation in equilibrium, the order of moves, and moral hazard. The analysis illuminates disclosure regulation: forward-looking disclosure is beneficial when the manager's contract is optimal and induces truth-telling.     

Optimal simple rules for the conduct of monetary and fiscal policy

Stabilization policy involves joint monetary and fiscal rules. We develop a model enabling us to characterize systematic simple monetary and fiscal policy over the business cycle. We principally focus on the following question. What are the key properties of the joint simple rule governing the conduct of systematic stabilization policy? We find that conducting stabilization policy incorporates not only a set of monetary policy choices governed by the so-called ‘Taylor principle’ but also fiscal policy that gives considerable force to automatic stabilizers. Recent US and UK monetary and fiscal choices seem broadly consistent with this model. This result is found to be robust to a number of alternate modeling strategies.     

Toxicogenomic predictive modeling: Emerging opportunities for more efficient drug discovery and development

Drug discovery companies are coming under increasing pressure to prove the long-term safety of their products more precisely, and to provide more data on them. As highlighted by Vioxx, for many drugs, the existence of adverse drug reactions (ADRs) becomes apparent once the compound has been extensively prescribed and a population base of considerable size has been exposed to the therapeutic agent. The ability to make decisions regarding termination of clinical development of a non-viable drug candidate as early as possible will have a large financial impact for a pharmaceutical company. Knowledge regarding the interactions of chemicals, genes, and cell function can improve chemical risk analyses. These efforts will be aided by continued improvement and expansion of predictive toxicology in combination with a range of mutually supportive technologies to develop strategies to facilitate better and more focused decision-making throughout the drug discovery process. Failure to implement such an approach causes companies to withdraw drugs from development or the market. This not only presents human health consequences but also has a negative economic impact on the industry. As such, one of the major challenges in drug discovery is to accurately predict which new drugs will be associated with a significant incidence of ADRs. The ability to produce information on potential toxicity early in the discovery phase will become the basis for judging whether a drug candidate merits further development.     

Linear efficient and symmetric values for TU-games: Sharing the joint gain of cooperation

Recently, Hermandez-Lamoneda et al. (2008) and independently Chameni and Andjiga (2008) gave an analytic formulation for all valued solutions to the n-person TU-games that satisfy linearity, efficiency and symmetry axioms. Our main purpose in this paper is to recast the proposed formulation to a more potentially interpretational one. We are focused on an interpretation based on the idea of marginal contribution, a concept already familiar in the Shapley value and the Solidarity value. A general null player axiom is introduced, and it turns out that any valued solution satisfying the three properties is characterized by a null player model.     

Monetary policy rules and directions of causality: A test for the euro area

Abstract

Using a VAR model in first differences with quarterly data for the euro zone, the study aims to ascertain whether decisions on monetary policy can be interpreted in terms of a “monetary policy rule” with specific reference to the so-called nominal GDP targeting rule (Hall and Mankiw, 1994 Granger, C.W.J. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica, 1969, 37 (3), 424–438.[Crossref], [Web of Science ®] , [Google Scholar]; McCallum, 1988 McCallum, B. “Nominal GDP Targeting”, Shadow Open Market Committee, October 21, 2011. [Google Scholar]; Woodford, 2012 Taylor, J.B., Williams, J.C. “Simple and Robust Rules for Monetary Policy”, NBER Working Paper No. 15908, April, 2010. [Google Scholar]). The results obtained indicate a causal relation proceeding from deviation between the growth rates of nominal gross domestic product (GDP) and target GDP to variation in the three-month market interest rate. The same analyses do not, however, appear to confirm the existence of a significant inverse causal relation from variation in the market interest rate to deviation between the nominal and target GDP growth rates. Similar results were obtained on replacing the market interest rate with the European Central Bank refinancing interest rate. This confirmation of only one of the two directions of causality does not support an interpretation of monetary policy based on the nominal GDP targeting rule and gives rise to doubt in more general terms as to the applicability of the Taylor rule and all the conventional rules of monetary policy to the case in question. The results appear instead to be more in line with other possible approaches, such as those based on post Keynesian analyses of monetary theory and policy and more specifically the so-called solvency rule (Brancaccio and Fontana, 2013 ———. Macroeconomics, 2nd ed., Pearson Education Company, ch. 30. [Google Scholar], 2015 Brancaccio, E. The Central Banker as “Regulator” of Conflict. In G. Fontana and M. Setterfield (eds.), Macroeconomic Theory and Macroeconomic Pedagogy. Basingstoke: Palgrave Macmillan, 2009, 295–308.[Crossref] , [Google Scholar]). These lines of research challenge the simplistic argument that the scope of monetary policy consists in the stabilization of inflation, real GDP, or nominal income around a “natural equilibrium” level. Rather, they suggest that central banks actually follow a more complex purpose, which is the political regulation of the financial system with particular reference to the relations between creditors and debtors and the related solvency of economic units.