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Articles 331 - 360 of 2768
Full-Text Articles in Social and Behavioral Sciences
Quantitative Easing, Collateral Constraints, And Financial Spillovers, John Geanakoplos, Haobin Wang
Quantitative Easing, Collateral Constraints, And Financial Spillovers, John Geanakoplos, Haobin Wang
Cowles Foundation Discussion Papers
The steady application of Quantitative Easing (QE) has been followed by big and non-monotonic effects on international asset prices and international capital flows. These are difficult to explain in conventional models, but arise naturally in a model with collateral. This paper develops a general-equilibrium framework to explore QE’s international transmission involving an advanced economy (AE) and an emerging market economy (EM) whose assets have less collateral capacity. Capital flows arise as a result of international sharing of scarce collateral. The crucial insight is that private AE agents adjust their portfolios in different ways in response to QE, conditional on whether …
Aiming For The Goal: Contribution Dynamics Of Crowdfunding, Joyee Deb, Aniko Öry, Kevin R. Williams
Aiming For The Goal: Contribution Dynamics Of Crowdfunding, Joyee Deb, Aniko Öry, Kevin R. Williams
Cowles Foundation Discussion Papers
We study reward-based crowdfunding campaigns, a new class of dynamic contribution games where consumption is exclusive. Two types of backers participate: buyers want to consume the product while donors just want the campaign to succeed. The key tension is one of coordination between buyers, instead of free-riding. Donors can alleviate this coordination risk. We analyze a dynamic model of crowdfunding and demonstrate that its predictions are consistent with high-frequency data collected from Kickstarter. We compare the Kickstarter mechanism to alternative platform designs and evaluate the value of dynamically arriving information. We extend the model to incorporate social learning about quality.
Strategically Simple Mechanisms, Tilman Börgers, Jiangtao Li
Strategically Simple Mechanisms, Tilman Börgers, Jiangtao Li
Cowles Foundation Discussion Papers
We define and investigate a property of mechanisms that we call “strategic simplicity,” and that is meant to capture the idea that, in strategically simple mechanisms, strategic choices require limited strategic sophistication. We define a mechanism to be strategically simple if choices can be based on first-order beliefs about the other agents’ preferences and first-order certainty about the other agents’ rationality alone, and there is no need for agents to form higher-order beliefs, because such beliefs are irrelevant to the optimal strategies. All dominant strategy mechanisms are strategically simple. But many more mechanisms are strategically simple. In particular, strategically simple …
Aiming For The Goal: Contribution Dynamics Of Crowdfunding, Joyee Deb, Aniko Öry (Oery), Kevin R. Williams
Aiming For The Goal: Contribution Dynamics Of Crowdfunding, Joyee Deb, Aniko Öry (Oery), Kevin R. Williams
Cowles Foundation Discussion Papers
We study reward-based crowdfunding, a new class of dynamic contribution games where a private good is produced only if the funding goal is reached by a deadline. Buyers face a problem of coordination rather than free-riding. A long-lived donor may alleviate this coordination risk, signaling his wealth through dynamic contributions. We characterize platform-, donor-, and buyer-optimal equilibrium outcomes, attained by Markov equilibria with simple donation strategies. We test the model’s predictions using high-frequency data collected from the largest crowdfunding platform, Kickstarter. The model fits the data well, especially for predictions concerning comparative statistics, donation dynamics, and properties of successful campaigns.
Countering The Winner’S Curse: Optimal Auction Design In A Common Value Model, Dirk Bergemann, Benjamin Brooks, Stephen Morris
Countering The Winner’S Curse: Optimal Auction Design In A Common Value Model, Dirk Bergemann, Benjamin Brooks, Stephen Morris
Cowles Foundation Discussion Papers
We characterize revenue maximizing mechanisms in a common value environment where the value of the object is equal to the highest of bidders’ independent signals. The optimal mechanism exhibits either neutral selection, wherein the object is randomly allocated at a price that all bidders are willing to pay, or advantageous selection, wherein the object is allocated with higher probability to bidders with lower signals. If neutral selection is optimal, then the object is sold with probability one by a deterministic posted price. If advantageous selection is optimal, the object is sold with probability less than one at a random price. …
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Cowles Foundation Discussion Papers
We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into account this potential bias, and therefore differs from the one that is optimal under correct specification. To formally show the near-optimality of these CIs, we develop asymptotic efficiency bounds for …
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Sensitivity Analysis Using Approximate Moment Condition Models, Timothy B. Armstrong, Michal Kolesár
Cowles Foundation Discussion Papers
We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into account this potential bias, and therefore differs from the one that is optimal under correct specification. To formally show the near-optimality of these CIs, we develop asymptotic efficiency bounds for …
A Behavioral Interpretation Of The Origins Of African American Family Structure, Gerald David Jaynes
A Behavioral Interpretation Of The Origins Of African American Family Structure, Gerald David Jaynes
Cowles Foundation Discussion Papers
1960 to 1980 doubling (21% to 41%) of black children in one-parent families emerged from 1940-to-1970 urbanization converging population toward urbanized blacks’ historically stable high rate, not post-1960 welfare liberalization or deindustrialization. Urban and rural child socializations structured different Jim Crow Era black family formations. Agrarian economic enclaves socialized conformity to Jim Crow and two-parent families; urban enclaves rebellion, male joblessness, and destabilized families. Proxying urban/rural residence at age 16 for socialization location, logistic regressions on sixties census data confirm the hypothesis. Racialized urban socialization negatively affected two-parent family formation and poverty status of blacks but not whites.
Real Time Monitoring Of Asset Markets: Bubbles And Crises, Peter C.B. Phillips, Shuping Shi
Real Time Monitoring Of Asset Markets: Bubbles And Crises, Peter C.B. Phillips, Shuping Shi
Cowles Foundation Discussion Papers
While each financial crisis has its own characteristics, there is now widespread recognition that crises arising from sources such as financial speculation and excessive credit creation do inflict harm on the real economy. Detecting speculative market conditions and ballooning credit risk in real time is therefore of prime importance in the complex exercises of market surveillance, risk management, and policy action. This chapter provides an R implementation of the popular real-time monitoring strategy proposed by Phillips, Shi and Yu in the International Economic Review (2015), along with a new bootstrap procedure designed to mitigate the potential impact of heteroskedasticity and …
Countering The Winner’S Curse: Optimal Auction Design In A Common Value Model, Dirk Bergemann, Benjamin Brooks, Stephen Morris
Countering The Winner’S Curse: Optimal Auction Design In A Common Value Model, Dirk Bergemann, Benjamin Brooks, Stephen Morris
Cowles Foundation Discussion Papers
We characterize revenue maximizing mechanisms in a common value environment where the value of the object is equal to the highest of bidders’ independent signals. If the object is optimally sold with probability one, then the optimal mechanism is simply a posted price, with the highest price such that every type of every bidder is willing to buy the object. A sufficient condition for the posted price to be optimal among all mechanisms is that there is at least one potential bidder who is omitted from the auction. If the object is optimally sold with probability less than one, then …
Adaptation Bounds For Confidence Bands Under Self-Similarity, Timothy B. Armstrong
Adaptation Bounds For Confidence Bands Under Self-Similarity, Timothy B. Armstrong
Cowles Foundation Discussion Papers
We derive bounds on the scope for a confidence band to adapt to the unknown regularity of a nonparametric function that is observed with noise, such as a regression function or density, under the self-similarity condition proposed by Gine and Nickl (2010). We find that adaptation can only be achieved up to a term that depends on the choice of the constant used to define self-similarity, and that this term becomes arbitrarily large for conservative choices of the self-similarity constant. We construct a confidence band that achieves this bound, up to a constant term that does not depend on the …
Adaptation Bounds For Confidence Bands Under Self-Similarity, Timothy B. Armstrong
Adaptation Bounds For Confidence Bands Under Self-Similarity, Timothy B. Armstrong
Cowles Foundation Discussion Papers
We derive bounds on the scope for a confidence band to adapt to the unknown regularity of a nonparametric function that is observed with noise, such as a regression function or density, under the self-similarity condition proposed by Gine and Nickl (2010). We find that adaptation can only be achieved up to a term that depends on the choice of the constant used to define self-similarity, and that this term becomes arbitrarily large for conservative choices of the self-similarity constant. We construct a confidence band that achieves this bound, up to a constant term that does not depend on the …
Slippery Fish: Enforcing Regulation When Agents Learn And Adapt, Andres Gonzalez Lira, Ahmed Musfiq Mobarak
Slippery Fish: Enforcing Regulation When Agents Learn And Adapt, Andres Gonzalez Lira, Ahmed Musfiq Mobarak
Cowles Foundation Discussion Papers
Attempts to curb undesired behavior through regulation gets complicated when agents can adapt to circumvent enforcement. We test a model of enforcement with learning and adaptation, by auditing vendors selling illegal fish in Chile in a randomized controlled trial, and tracking them daily using mystery shoppers. Conducting audits on a predictable schedule and (counter-intuitively) at high frequency is less effective, as agents learn to take advantage of loopholes. A consumer information campaign proves to be almost as cost-effective and curbing illegal sales, and obviates the need for complex monitoring and policing. The Chilean government subsequently chooses to scale up this …
Early Stimulation And Nutrition: The Impacts Of A Scalable Intervention, Orazio P. Attanasio, Helen Baker-Henningham, Raquel Bernal, Costas Meghir, Diana Pineda, Marta Rubio-Codina
Early Stimulation And Nutrition: The Impacts Of A Scalable Intervention, Orazio P. Attanasio, Helen Baker-Henningham, Raquel Bernal, Costas Meghir, Diana Pineda, Marta Rubio-Codina
Cowles Foundation Discussion Papers
This paper evaluates the effects of the implementation of a structured early stimulation curriculum combined with a nutritional intervention through public large-scale parenting support services for vulnerable families in rural Colombia, known as FAMI, using a clustered randomized controlled trial. We randomly assigned 87 towns in rural areas to treatment and control and 1,460 children younger than 1 year of age were assessed at baseline. The interventions were also complemented with training, supervision and coaching of FAMI program facilitators. We assessed program effects on children’s nutritional status, and on cognitive and socio-emotional development; as well as on parental practices. The …
Information Content Of Dsge Forecasts, Ray C. Fair
Information Content Of Dsge Forecasts, Ray C. Fair
Cowles Foundation Discussion Papers
This paper examines the question whether information is contained in forecasts from DSGE models beyond that contained in lagged values, which are extensively used in the models. Four sets of forecasts are examined. The results are encouraging for DSGE forecasts of real GDP. The results suggest that there is information in the DSGE forecasts not contained in forecasts based only on lagged values and that there is no information in the lagged-value forecasts not contained in the DSGE forecasts. The opposite is true for forecasts of the GDP deflator.
Enforcing Regulation Under Illicit Adaptation, Andrés González Lira, Ahmed Mushfiq Mobarak
Enforcing Regulation Under Illicit Adaptation, Andrés González Lira, Ahmed Mushfiq Mobarak
Cowles Foundation Discussion Papers
Attempts to curb illegal activity by enforcing regulations gets complicated when agents react to the new regulatory regime in unanticipated ways to circumvent enforcement. We present a research strategy that uncovers such reactions, and permits program evaluation net of such adaptive behaviors. Our interventions were designed to reduce over-fishing of the critically endangered Pacific hake by either (a) monitoring and penalizing vendors that sell illegal fish or (b) discouraging consumers from purchasing using an information campaign. Vendors attempt to circumvent the ban through hidden sales and other means, which we track using mystery shoppers. Instituting random monitoring visits are much …
Markets For Information: An Introduction, Dirk Bergemann, Alessandro Bonatti
Markets For Information: An Introduction, Dirk Bergemann, Alessandro Bonatti
Cowles Foundation Discussion Papers
We survey a recent and growing literature on markets for information. We offer a comprehensive view of information markets through an integrated model of consumers, information intermediaries, and firms. The model embeds a large set of applications ranging from sponsored search advertising to credit scores to information sharing among competitors. We then review a mechanism design approach to selling information in greater detail. We distinguish between ex ante sales of information (the buyer acquires an information structure) and ex post sales (the buyer pays for specific realizations). We relate this distinction to the different products that brokers, advertisers, and publishers …
Can Network Theory-Based Targeting Increase Technology Adoption?, Lori Beaman, Ariel Benyishay, Jeremy Magruder, Ahmed Mushfiq Mobarak
Can Network Theory-Based Targeting Increase Technology Adoption?, Lori Beaman, Ariel Benyishay, Jeremy Magruder, Ahmed Mushfiq Mobarak
Cowles Foundation Discussion Papers
In order to induce farmers to adopt a productive new agricultural technology, we apply simple and complex contagion diffusion models on rich social network data from 200 villages in Malawi to identify seed farmers to target and train on the new technology. A randomized controlled trial compares these theory-driven network targeting approaches to simpler strategies that either rely on a government extension worker or an easily measurable proxy for the social network (geographic distance between households) to identify seed farmers. Our results indicate that technology diffusion is characterized by a complex contagion learning environment in which most farmers need to …
Risk Aversion And Double Marginalization, Soheil Ghili, Matthew Schmitt
Risk Aversion And Double Marginalization, Soheil Ghili, Matthew Schmitt
Cowles Foundation Discussion Papers
In vertical markets, eliminating double marginalization with a two-part tariff may not be possible due to downstream firms' risk aversion. When demand is uncertain, contracts with large fixed fees expose the downstream rm to more risk than contracts that are more reliant on variable fees. In equilibrium, contracts may thus rely on variable fees, giving rise to double marginalization. Counterintuitively, we show that increased demand risk or risk aversion can actually mitigate double marginalization. We also characterize several sufficient conditions under which increased risk or risk aversion does exacerbate double marginalization. We conclude with an application to merger analysis.
Unobserved Heterogeneity In Auctions, Philip A. Haile, Yuichi Kitamura
Unobserved Heterogeneity In Auctions, Philip A. Haile, Yuichi Kitamura
Cowles Foundation Discussion Papers
A common concern in the empirical study of auctions is the likely presence of auction-specific factors that are common knowledge among bidders but unobserved to the econometrician. Such unobserved heterogeneity confounds attempts to uncover the underlying structure of demand and information, typically a primary feature of interest in an auction market. Unobserved heterogeneity presents a particular challenge in first-price auctions, where identification arguments rely on the econometrician’s ability to reconstruct from observables the conditional probabilities that entered each bidder’s equilibrium optimization problem; when bidders condition on unobservables, it is not obvious that this is possible. Here we discuss several approaches …
Apologia Pro Vita Sua: The Vanishing Of The White Whale In The Mists, Martin Shubik
Apologia Pro Vita Sua: The Vanishing Of The White Whale In The Mists, Martin Shubik
Cowles Foundation Discussion Papers
There are many analogies among fortune hunting in business, politics, and science. The prime task of the gold digger was to go to the Klondikes, find the right mine and mine the richest veins. This task requires motivation, sense of purpose and ability. Techniques and equipment must be developed. Fortune hunting in New England was provided at one time by hunting for whales. One went to a great whalers’ station such as New Bedford and joined the whale hunters. The hunt in academic research is similar. A single-minded passion is called for. These notes here are the wrap-up comments containing …
Intertemporal Price Discrimination In Sequential Quantity-Price Games, James D. Dana Jr., Kevin R. Williams
Intertemporal Price Discrimination In Sequential Quantity-Price Games, James D. Dana Jr., Kevin R. Williams
Cowles Foundation Discussion Papers
This paper develops an oligopoly model in which firms first choose capacity and then compete in prices in a series of advance-purchase markets. We show the existence of multiple sales opportunities creates strong competitive forces that prevent firms from utilizing intertemporal price discrimination. We then show that intertemporal price discrimination is possible, but only when firms adopt inventory controls (sales limit restrictions) and demand becomes more inelastic over time. Therefore, in addition to being useful to manage demand uncertainty, we show that inventory controls are also a tool to soften price competition. We discuss model extensions, including product differentiation, aggregate …
Extrapolation Using Selection And Moral Hazard Heterogeneity From Within The Oregon Health Insurance Experiment, Amanda E. Kowalski
Extrapolation Using Selection And Moral Hazard Heterogeneity From Within The Oregon Health Insurance Experiment, Amanda E. Kowalski
Cowles Foundation Discussion Papers
I aim to shed light on why emergency room (ER) utilization increased following the Oregon Health Insurance Experiment but decreased following a Massachusetts policy. To do so, I unite the literatures on insurance and treatment effects. Under an MTE model that assumes no more than the LATE assumptions, comparisons across always takers, compliers, and never takers can inform the impact of polices that expand and contract coverage. Starting from the Oregon experiment as the “gold standard,” I make comparisons within Oregon and extrapolate my findings to Massachusetts. Within Oregon, I find adverse selection and heterogeneous moral hazard. Although previous enrollees …
Intertemporal Price Discrimination In Sequential Quantity-Price Games, James D. Dana Jr., Kevin R. Williams
Intertemporal Price Discrimination In Sequential Quantity-Price Games, James D. Dana Jr., Kevin R. Williams
Cowles Foundation Discussion Papers
When firms first choose capacity and then compete on prices in a series of advance-purchase markets, we show that strong competitive forces prevent firms from utilizing intertemporal price discrimination. We then enrich the model by allowing firms to use inventory controls, or sales limits assigned to individual prices. We show that firms will choose to set inventory controls in order to engage in intertemporal price discrimination, but only if demand becomes more inelastic over time. Thus, although typically viewed as a tool to manage demand uncertainty, we show that inventory controls can also facilitate price discrimination in oligopoly.
Oligopoly Price Discrimination: The Role Of Inventory Controls, James D. Dana Jr., Kevin R. Williams
Oligopoly Price Discrimination: The Role Of Inventory Controls, James D. Dana Jr., Kevin R. Williams
Cowles Foundation Discussion Papers
Inventory controls, used most notably by airlines, are sales limits assigned to individual prices. While typically viewed as a tool to manage demand uncertainty, we argue that inventory controls can also facilitate intertemporal price discrimination in oligopoly. In our model, competing firms first choose quantity and then choose prices in a series of advance-purchase markets. When demand becomes less elastic over time, as is the case in airline markets, a monopolist can easily price discriminate; however, we show that oligopoly firms generally cannot. We also show that using inventory controls allows oligopoly firms to set increasing prices, regardless of whether …
Oligopoly Price Discrimination: The Role Of Inventory Controls, James D. Dana Jr., Kevin R. Williams
Oligopoly Price Discrimination: The Role Of Inventory Controls, James D. Dana Jr., Kevin R. Williams
Cowles Foundation Discussion Papers
Inventory controls, used most notably by airlines, are sales limits assigned to individual prices. While typically viewed as a tool to manage demand uncertainty, we argue that inventory controls also facilitate intertemporal price discrimination. In our model, competing firms first choose quantity and then choose prices in a series of advance-purchase markets. When demand becomes more inelastic over time, as in the airline and hotel markets, a monopolist can easily price discriminate; however, we show that oligopoly firms generally cannot. Inventory controls let firms set increasing prices regardless of whether or not demand is uncertain.
Speculation And Price Indeterminacy In Financial Markets: An Experimental Study, Shinichi Hirota, Juergen Huber, Thomas Stöckl, Shyam Sunder
Speculation And Price Indeterminacy In Financial Markets: An Experimental Study, Shinichi Hirota, Juergen Huber, Thomas Stöckl, Shyam Sunder
Cowles Foundation Discussion Papers
To explore how speculative trading influences prices in financial markets we conduct a laboratory market experiment with speculating investors (who do not collect dividends and trade only for capital gains) as well as dividend-collecting investors. We find that in markets with only speculating investors (i) price deviations from fundamentals are larger; (ii) prices are more volatile; (iii) the “mispricing” is likely to be strategic and not irrational; (iv) mispricing increases with the number of transfers until maturity; and (v) speculative trading pushes prices upward (downward) when liquidity is high (low).
Understanding Temporal Aggregation Effects On Kurtosis In Financial Indices, Offer Lieberman, Peter C.B. Phillips
Understanding Temporal Aggregation Effects On Kurtosis In Financial Indices, Offer Lieberman, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that STUR specifications provide two sources of excess kurtosis, both of which decline with the sampling interval. Limiting kurtosis is shown to be random and is a functional of the limiting price process. Using a continuous time version of the model under no-drift, local drift, and drift inclusions, we suggest a new continuous time kurtosis measure for financial …
Common Values, Unobserved Heterogeneity, And Endogenous Entry In U.S. Offshore Oil Lease Auctions, Giovanni Compiani, Philip A. Haile, Marcelo Sant'anna
Common Values, Unobserved Heterogeneity, And Endogenous Entry In U.S. Offshore Oil Lease Auctions, Giovanni Compiani, Philip A. Haile, Marcelo Sant'anna
Cowles Foundation Discussion Papers
In a "common values" environment, some market participants have private information relevant to others' assessments of their own valuations or costs. Economic theory shows that this type of informational asymmetry can have important implications for market performance and market design. Yet even for the classic example of an oil lease auction, formal evidence on the presence and strength of common values has been limited by the problem of auction-level unobserved heterogeneity that is likely to affect both participation in an auction and bidders' willingness to pay. Here we develop an empirical approach for first-price sealed bid auctions with affiliated values, …
Common Values, Unobserved Heterogeneity, And Endogenous Entry In U.S. Offshore Oil Lease Auctions, Giovanni Compiani, Philip A. Haile, Marcelo Sant'anna
Common Values, Unobserved Heterogeneity, And Endogenous Entry In U.S. Offshore Oil Lease Auctions, Giovanni Compiani, Philip A. Haile, Marcelo Sant'anna
Cowles Foundation Discussion Papers
An oil lease auction is the classic example motivating a common values model. However, formal testing for common values has been hindered by unobserved auction-level heterogeneity, which is likely to affect both participation in an auction and bidders' willingness to pay. We develop and apply an empirical approach for first-price sealed bid auctions with affiliated values, unobserved heterogeneity, and endogenous bidder entry. The approach also accommodates spatial dependence and sample selection. Following Haile, Hong and Shum (2003), we specify a reduced form for bidder entry outcomes and rely on an instrument for entry. However, we relax their control function requirements …