Econometrica 17年11/18年1月目录和摘要
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Acharya, A. and J. Ortner (2017)."Progressive Learning." Econometrica 85(6): 1965-1990.
Westudy a dynamic principal–agent relationship with adverse selection and limitedcommitment. We show that when the relationship is subject to productivityshocks, the principal may be able to improve her value over time byprogressively learning the agent's private information. She may even achieveher first-best payoff in the long run. The relationship may also exhibit pathdependence, with early shocks determining the principal's long-run value. Thesefindings contrast sharply with the results of the ratchet effect literature, inwhich the principal persistently obtains low payoffs, giving up substantialinformational rents to the agent.
Bandi, F. M., et al. (2017). "EXcessIdle Time." Econometrica 85(6):1793-1846.
Weintroduce a novel economic indicator, named excess idle time (EXIT), measuringthe extent of sluggishness in financial prices. Under a null and an alternativehypothesis grounded in no-arbitrage (the null) and market microstructure (thealternative) theories of price determination, we derive a limit theory for EXITleading to formal tests for staleness in the price adjustments. Empiricalimplementation of the theory indicates that financial prices are often moresluggish than implied by the (ubiquitous, in frictionless continuous-time assetpricing) semimartingale assumption. EXIT is interpretable as an illiquidityproxy and is easily implementable, for each trading day, using transactionprices only. By using EXIT, we show how to estimate structurally marketmicrostructure models with asymmetric information.
Berry, S. T. and P. A. Haile (2018)."Identification of Nonparametric Simultaneous Equations Models With aResidual Index Structure." Econometrica 86(1): 289-315.
Wepresent new identification results for a class of nonseparable nonparametricsimultaneous equations models introduced by Matzkin (2008). These modelscombine traditional exclusion restrictions with a requirement that eachstructural error enter through a “residual index.” Our identification resultsare constructive and encompass a range of special cases with varying demands onthe exogenous variation provided by instruments and the shape of the jointdensity of the structural errors. The most important results demonstrateidentification when instruments have only limited variation. Even wheninstruments vary only over a small open ball, relatively mild conditions on thejoint density suffice. We also show that the primary sufficient conditions foridentification are verifiable and that the maintained hypotheses of the modelare falsifiable.
Bogomolnaia, A., et al. (2017)."Competitive Division of a Mixed Manna." Econometrica 85(6): 1847-1871.
Amixed manna contains goods (that everyone likes) and bads (that everyonedislikes), as well as items that are goods to some agents, but bads or satiatedto others. If all items are goods and utility functions are homogeneous ofdegree 1 and concave (and monotone), the competitive division maximizes theNash product of utilities (Gale–Eisenberg): hence it is welfarist (determinedby the set of feasible utility profiles), unique, continuous, and easy tocompute. We show that the competitive division of a mixed manna is stillwelfarist. If the zero utility profile is Pareto dominated, the competitiveprofile is strictly positive and still uniquely maximizes the product ofutilities. If the zero profile is unfeasible (for instance, if all items arebads), the competitive profiles are strictly negative and are the criticalpoints of the product of disutilities on the efficiency frontier. The latterallows for multiple competitive utility profiles, from which no single-valuedselection can be continuous or resource monotonic. Thus the implementation of competitivefairness under linear preferences in interactive platforms like SPLIDDIT willbe more difficult when the manna contains bads that overwhelm the goods.
de Paula, Á., et al. (2018)."Identifying Preferences in Networks With Bounded Degree." Econometrica86(1): 263-288.
Thispaper provides a framework for identifying preferences in a large network wherelinks are pairwise stable. Network formation models present difficulties foridentification, especially when links can be interdependent, for example, whenindirect connections matter. We show how one can use the observed proportionsof various local network structures to learn about the underlying preferenceparameters. The key assumption for our approach restricts individuals to havebounded degree in equilibrium, implying a finite number of payoff-relevantlocal structures. Our main result provides necessary conditions for parametersto belong to the identified set. We then develop a quadratic programmingalgorithm that can be used to construct this set. With further restrictions onpreferences, we show that our conditions are also sufficient for pairwisestability and therefore characterize the identified set precisely. Overall, theuse of both the economic model along with pairwise stability allows us toobtain effective dimension reduction.
Eeckhout, J. and P. Kircher (2018)."Assortative Matching With Large Firms." Econometrica 86(1): 85-132.
Twocornerstones of empirical and policy analysis of firms, in macro, labor andindustrial organization, are the determinants of the firm size distribution andthe determinants of sorting between workers and firms. We propose a unifyingtheory of production where management resolves a tradeoff between hiring moreversus better workers. The span of control or size is therefore intimatelyintertwined with the sorting pattern. We provide a condition for sorting thatcaptures this tradeoff between the quantity and quality of workers and thatgeneralizes Becker's sorting condition. A system of differential equationsdetermines the equilibrium allocation, the firm size, and wages, and allows usto characterize the allocation of the quality and quantity of labor to firms ofdifferent productivity. We show that our model nests a large number of widelyused existing models. We also augment the model to incorporate labor marketfrictions in the presence of sorting with large firms.
Goussé, M., et al. (2017). "Marriage,Labor Supply, and Home Production." Econometrica 85(6): 1873-1919.
Wedevelop a search model of marriage where men and women draw utility fromprivate consumption and leisure, and from a non-market good that is produced inthe home using time resources. We condition individual decisions on wages,education, and an index of family attitudes. A match-specific, stochastic blissshock induces variation in matching given wages, education, and family values,and triggers renegotiation and divorce. Using BHPS (1991–2008) data, we take asgiven changes in wages, education, and family values by gender, and study theirimpact on marriage decisions and intrahousehold resource allocation. The modelallows to evaluate how much of the observed gender differences in labor supplyresults from wages, education, and family attitudes. We find that familyattitudes are a strong determinant of comparative advantages in home productionof men and women, whereas education complementarities induce assortative matingthrough preferences.
Grossman, G. M. and E. Helpman (2018)."Growth, Trade, and Inequality." Econometrica 86(1): 37-83.
Weintroduce firm and worker heterogeneity into a model of innovation-drivenendogenous growth. Individuals who differ in ability sort into either aresearch activity or a manufacturing sector. Research projects generate newvarieties of a differentiated product. Projects differ in quality and theresulting technologies differ in productivity. In both sectors, there is acomplementarity between firm quality and worker ability. We study theco-determination of growth and income inequality in both the closed and openeconomy, as well as the spillover effects of policy in one country to outcomesin others.
Hastings, J., et al. (2017). "SalesForce and Competition in Financial Product Markets: The Case of Mexico's SocialSecurity Privatization." Econometrica 85(6): 1723-1761.
Thispaper examines how sales force impacts competition and equilibrium prices inthe context of a privatized pension market. We use detailed administrative dataon fund manager choices and worker characteristics at the inception of Mexico'sprivatized social security system, where fund managers had to set prices(management fees) at the national level, but could select sales force levels bylocal geographic areas. We develop and estimate a model of fund manager choicewhere sales force can increase or decrease customer price sensitivity. We findexposure to sales force lowered price sensitivity, leading to inelastic demandand high equilibrium fees. We simulate oft proposed policy solutions: asupply-side policy with a competitive government player and a demand-sidepolicy that increases price elasticity. We find that demand-side policies arenecessary to foster competition in social safety net markets with largesegments of inelastic consumers.
Heckman, J. J. and R. Pinto (2018)."Unordered Monotonicity." Econometrica 86(1): 1-35.
Thispaper defines and analyzes a new monotonicity condition for the identificationof counterfactuals and treatment effects in unordered discrete choice modelswith multiple treatments, heterogeneous agents, and discrete-valued instruments.Unordered monotonicity implies and is implied by additive separability ofchoice of treatment equations in terms of observed and unobserved variables.These results follow from properties of binary matrices developed in thispaper. We investigate conditions under which unordered monotonicity arises as aconsequence of choice behavior. We characterize IV estimators ofcounterfactuals as solutions to discrete mixture problems.
Kolotilin, A., et al. (2017)."Persuasion of a Privately Informed Receiver." Econometrica 85(6): 1949-1964.
Westudy persuasion mechanisms in linear environments. A receiver has a privatetype and chooses between two actions. A sender designs a persuasion mechanismor an experiment to disclose information about a payoff-relevant state. Apersuasion mechanism conditions information disclosure on the receiver's reportabout his type, whereas an experiment discloses information independent of thereceiver's type. We establish the equivalence of implementation by persuasion mechanismsand by experiments, and characterize optimal persuasion mechanisms.
Martinez-Bravo, M., et al. (2017)."The Non-Democratic Roots of Elite Capture: Evidence From Soeharto Mayorsin Indonesia." Econometrica 85(6):1991-2010.
Democracieswidely differ in the extent to which powerful elites and interest groups retaininfluence over politics. While a large literature argues that elite capture isrooted in a country's history, our understanding of the determinants of elitepersistence is limited. In this paper, we show that allowing old-regime agentsto remain in office during democratic transitions is a key determinant of theextent of elite capture. We exploit quasi-random from Indonesia:Soeharto-regime mayors were allowed to finish their terms before being replacedby new leaders. Since mayors' political cycles were not synchronized, thisevent generated exogenous variation in how long old-regime mayors remained intheir position during the democratic transition. Districts with longer exposureto old-regime mayors experience worse governance outcomes, higher elitepersistence, and lower political competition in the medium run. The resultssuggest that slower transitions towards democracy allow the old-regime elitesto capture democracy.
Masten, M. A. and A. Poirier (2018)."Identification of Treatment Effects Under Conditional PartialIndependence." Econometrica 86(1):317-351.
Conditionalindependence of treatment assignment from potential outcomes is a commonly usedbut nonrefutable assumption. We derive identified sets for various treatmenteffect parameters under nonparametric deviations from this conditionalindependence assumption. These deviations are defined via a conditionaltreatment assignment probability, which makes it straightforward to interpret.Our results can be used to assess the robustness of empirical conclusionsobtained under the baseline conditional independence assumption.
Milgrom, P. and J. Mollner (2018)."Equilibrium Selection in Auctions and High Stakes Games." Econometrica86(1): 219-261.
Weintroduce the test-set equilibrium refinement of Nash equilibrium to formalizethe idea that players contemplate only deviations from equilibrium play inwhich a single competitor plays a non-equilibrium best response. We then applythis refinement to three well-known auction games, comparing our findings tosimilar ones previously obtained by specialized equilibrium selections. We alsointroduce a theory of high stakes versions of games, in which strategies arefirst proposed and then subjected to a potentially costly review-and-reviseprocess. We demonstrate a sense in which the test-set equilibria emerge fromsuch processes when the cost of revision is small.
Miller, N. H. and M. C. Weinberg (2017)."Understanding the Price Effects of the MillerCoors Joint Venture." Econometrica85(6): 1763-1791.
Wedocument abrupt increases in retail beer prices just after the consummation ofthe MillerCoors joint venture, both for MillerCoors and its major competitor,Anheuser-Busch. Within the context of a differentiated-products pricing model,we test and reject the hypothesis that the price increases can be explained bymovement from one Nash–Bertrand equilibrium to another. Counterfactualsimulations imply that prices after the joint venture are 6%–8% higher thanthey would have been with Nash–Bertrand competition, and that markups are17%–18% higher. We relate the results to documentary evidence that the jointventure may have facilitated price coordination.
Pavoni, N., et al. (2018). "The DualApproach to Recursive Optimization: Theory and Examples." Econometrica86(1): 133-172.
Wedevelop a recursive dual method for solving dynamic economic problems. Themethod uses a Lagrangian to pair a dynamic recursive economic problem with adual problem. We show that such dual problems can be recursively decomposedwith costates (i.e., Lagrange multipliers on laws of motion) functioning asstate variables. In dynamic contracting and policy settings, the method oftenreplaces an endogenous state space of forward-looking utilities with anexogenously given state space of costates. We provide a principle of optimalityfor dual problems and give conditions under which the dual Bellman operator isa contraction with the optimal dual value function its unique fixed point. Werelate economic problems to their duals, address computational issues, and giveexamples.
Pęski, M. and J. Toikka (2017). "Valueof Persistent Information." Econometrica 85(6): 1921-1948.
Wedevelop a theory of how the value of an agent's information advantage dependson the persistence of information. We focus on strategic situations with strictconflict of interest, formalized as stochastic zero-sum games where only one ofthe players observes the state that evolves according to a Markov operator.Operator Q is said to be better for the informed player than operator P if thevalue of the game under Q is higher than under P regardless of the stage game.We show that this defines a convex partial order on the space of ergodic Markovoperators. Our main result is a full characterization of this partial order,intepretable as an ordinal notion of persistence relevant for games. Theanalysis relies on a novel characterization of the value of a stochastic gamewith incomplete information.
Schaal, E. (2017). "Uncertainty andUnemployment." Econometrica 85(6):1675-1721.
Thispaper studies the impact of time-varying idiosyncratic risk at theestablishment level on unemployment fluctuations over 1972–2009. I build atractable directed search model with firm dynamics and time-varyingidiosyncratic volatility. The model allows for endogenous separations, entryand exit, and job-to-job transitions. I show that the model can replicatesalient features of the microeconomic behavior of firms and that theintroduction of volatility improves the fit of the model for standard businesscycle moments. In a series of counterfactual experiments, I show thattime-varying risk is important to account for the magnitude of fluctuations inaggregate unemployment for past U.S. recessions. Though the model can accountfor about 40% of the total increase in unemployment for the 2007–2009recession, uncertainty alone is not sufficient to explain the magnitude andpersistence of unemployment during that episode.
Schweighofer-Kodritsch, S. (2018)."Time Preferences and Bargaining." Econometrica 86(1): 173-217.
Thispaper presents an analysis of general time preferences in the canonicalRubinstein (1982) model of bargaining, allowing for arbitrarilyhistory-dependent strategies. I derive a simple sufficient structure foroptimal punishments and thereby fully characterize (i) the set of equilibriumoutcomes for any given preference profile, and (ii) the set of preferenceprofiles for which equilibrium is unique. Based on this characterization, Iestablish that a weak notion of present bias—implied, for example, by anyhyperbolic or quasi-hyperbolic discounting—is sufficient for equilibrium to beunique, stationary, and efficient. Conversely, I demonstrate how certain violationsof present bias give rise to multiple (non-stationary) equilibria that featuredelayed agreement under gradually increasing offers.
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