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Doubts About the Model and Optimal Policy 对模型和最优策略的质疑
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-07-23 DOI: 10.2139/ssrn.3659447
Anastasios G. Karantounias
{"title":"Doubts About the Model and Optimal Policy","authors":"Anastasios G. Karantounias","doi":"10.2139/ssrn.3659447","DOIUrl":"https://doi.org/10.2139/ssrn.3659447","url":null,"abstract":"This paper analyzes optimal policy in setups where both the leader and the follower have doubts about the probability model of uncertainty. I illustrate the methodology in two environments: a) an industry populated with a large firm and many small firms in a competitive fringe, where both types of firms doubt the probability model of demand shocks, and b) a general equilibrium economy, where a policymaker taxes linearly the labor income of a representative household in order to finance an exogenous stream of stochastic spending shocks. The policymaker can distrust the probability model of spending shocks more, the same, or less than the household. Whenever there are doubts about the model, cautious agents form endogenous worst-case beliefs by assigning high probability on low profitability or low-utility events. There are two forces that shape optimal policy results: the manipulation of the endogenous beliefs of the follower to the benefit of the leader, and the discrepancy (if any) in the pessimistic beliefs between the leader and the follower. Depending on the application, the leader may amplify or mitigate the worst-case beliefs of the follower.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"70 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87581100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Quasi Ex-Post Equilibrium in Competing Mechanisms 竞争机制中的准前后均衡
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-07-15 DOI: 10.2139/ssrn.3655889
Seungjin Han
{"title":"Quasi Ex-Post Equilibrium in Competing Mechanisms","authors":"Seungjin Han","doi":"10.2139/ssrn.3655889","DOIUrl":"https://doi.org/10.2139/ssrn.3655889","url":null,"abstract":"This paper studies competing mechanism games with no restrictions on the complexity of mechanisms where principals can announce mechanisms and agents select and communicate with at most one principal. It proposes the solution concept of robust quasi ex-post equilibrium in which agents' strategies of communicating with a non-deviating principal is ex-post optimal. Two simple revelation principles are established. The Strong Revelation Principle allows us to check if an equilibrium allocation in a specific competition model is a robust quasi ex-post equilibrium allocation. The Weak Revelation Principle leads to the characterization of the set of robust quasi ex-post equilibrium allocations in terms of model primitives.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81723818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Intermediary Leverage Shocks and Funding Conditions 中介杠杆冲击与融资条件
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-07-11 DOI: 10.2139/ssrn.3649065
Jean-Sébastien Fontaine, René Garcia, Sermin Gungor
{"title":"Intermediary Leverage Shocks and Funding Conditions","authors":"Jean-Sébastien Fontaine, René Garcia, Sermin Gungor","doi":"10.2139/ssrn.3649065","DOIUrl":"https://doi.org/10.2139/ssrn.3649065","url":null,"abstract":"The leverage of financial broker-dealers responds to demand- and supply-like shocks. Supply shocks relax their funding constraint and raise leverage, while demand shocks also raise leverage but tighten the constraint. The shocks play opposite roles in financial markets. Leverage supply shocks improve liquidity and carry a positive price of risk, while leverage demand shocks worsen liquidity and carry a negative price of risk. Because of this difference in signs, disentangling the two types of shocks strengthens the evidence for intermediation frictions in asset pricing, resolves some of the existing puzzles, and can help understand the different mechanisms driving broker-dealer leverage.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"53 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77675340","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A Rubric for Estimation of Efficiency of Progression on a General Equilibrium Growth Path 一般均衡增长路径上的级数效率估计
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-07-07 DOI: 10.2139/ssrn.3645293
Oghenovo A. Obrimah
{"title":"A Rubric for Estimation of Efficiency of Progression on a General Equilibrium Growth Path","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.3645293","DOIUrl":"https://doi.org/10.2139/ssrn.3645293","url":null,"abstract":"This study develops a formal theoretical rubric for estimation of the efficiency with which a country progresses on its general equilibrium growth path towards its steady state growth phase. Empirical tests confirm robustness of the metric, and show, contrary to assumptions of growth theory that, in most countries, between 10 and 70 percent of GDP Per Capita growth is generated not by technical change that is induced by innovations, but by any or all of 'demand-pull entrepreneurship', rent seeking, and crony capitalism. This finding yields the important implication that innovation systems of many developed countries inherently are unable to cater to growth demands that are implied by population levels and standards of living. Inequality then is traceable, in part at least, to inadequacies of countries' innovation systems. Empirical findings yield the insight that whereas countries ought to be engaged in searches for highest quality innovations (i.e. 'top-down innovation systems'), most countries are engaged with innovation strategies in context of which they attempt to leverage higher quality innovations on 'already existing' innovations (i.e. 'low-high innovation systems'). Given low-high innovation systems reward incumbency, there is arrival at innovation systems that stifle, rather than stimulate arrival of new types of innovations, with outcome dependence on any or all of demand-pull entrepreneurship, rent seeking, or crony capitalism is exacerbated. Consistent with superiority of top-down innovation systems, all sample countries, which adopt the innovation system progress efficiently on the general equilibrium growth path.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82683054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short-Run Disequilibrium Adjustment and Long-Run Equilibrium in the International Stock Markets: A Network-Based Approach 国际股票市场的短期非均衡调整与长期均衡:一种基于网络的方法
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-05-29 DOI: 10.2139/ssrn.3586251
Yanhua Chen, Youwei Li, A. Pantelous, H. Stanley
{"title":"Short-Run Disequilibrium Adjustment and Long-Run Equilibrium in the International Stock Markets: A Network-Based Approach","authors":"Yanhua Chen, Youwei Li, A. Pantelous, H. Stanley","doi":"10.2139/ssrn.3586251","DOIUrl":"https://doi.org/10.2139/ssrn.3586251","url":null,"abstract":"In this paper, we propose a network-based analytical framework that exploits cointegration and the error correction model to systematically investigate the directional interconnectedness of the short-run disequilibrium adjustment towards long-run equilibrium affecting the international stock market during the period of 5 January 2007 to 30 June 2017. Under this setting, we investigate whether and how the cross-border directional interconnectedness within the world's 23 developed and 23 emerging stock markets altered during the 2007-2009 Global Financial Crisis, 2010-2012 European Sovereign Debt Crisis, and the entire period of 2007-2017. The main results indicate that changes in directional interconnectedness within stock markets worldwide did occur under the impact of the recent financial crises. The extent of the short-run disequilibrium adjustment towards long-run equilibrium for individual stock markets is not homogeneous over different time scales. The derived networks of stock markets interconnectedness allow us to visually characterize how specific stock markets from different regions form interconnected groups when exhibiting similar behaviours, which none the less provides significant information for strategic portfolio and risk management.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84263712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Returns to Scale Among Corporate Bond Mutual Funds 公司债券共同基金的规模回报
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-05-23 DOI: 10.2139/ssrn.3339511
Zhen Yan
{"title":"Returns to Scale Among Corporate Bond Mutual Funds","authors":"Zhen Yan","doi":"10.2139/ssrn.3339511","DOIUrl":"https://doi.org/10.2139/ssrn.3339511","url":null,"abstract":"I document a (within-fund) hump-shaped relation between fund size and subsequent fund performance among U.S. corporate bond mutual funds. When funds are small, they exhibit increasing returns to scale but when they become large, they exhibit decreasing returns to scale. This sharply contrasts with the previous finding of decreasing returns to scale among equity mutual funds. Further, I show that the nature of trading cost in the corporate bond market --- in particular, a U-shaped relation between trade size and unit trading cost at the corporate bond level --- is relevant for explaining hump-shaped returns to scale. Interpreting these empirical patterns is not straightforward, though. In a rational expectations framework, we expect a fund's net alpha always to be zero and hence, no time-series relation between fund size and subsequent fund alpha. To help interpret the empirical findings, I propose a dynamic model in which investors learn about a fund's ability to manage its trading cost from its past returns. The evolution of investors' beliefs provides a source of variation in fund size and further, in fund alpha in equilibrium over time.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"34 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74439516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Existence of Structured Perfect Bayesian Equilibrium in Dynamic Games of Asymmetric Information
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-05-10 DOI: 10.2139/ssrn.3597475
Deepanshu Vasal
{"title":"Existence of Structured Perfect Bayesian Equilibrium in Dynamic Games of Asymmetric Information","authors":"Deepanshu Vasal","doi":"10.2139/ssrn.3597475","DOIUrl":"https://doi.org/10.2139/ssrn.3597475","url":null,"abstract":"In~[1],authors considered a general finite horizon model of dynamic game of asymmetric information, where N players have types evolving as independent Markovian process, where each player observes its own type perfectly and actions of all players. The authors present a sequential decomposition algorithm to find all structured perfect Bayesian equilibria of the game. The algorithm consists of solving a class of fixed-point of equations for each time $t,pi_t$, whose existence was left as an open question. In this paper, we prove existence of these fixed-point equations for compact metric spaces.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"127 10 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79586992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Price Change Attribution During the Settlement Window 结算窗口期间的价格变动归属
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-22 DOI: 10.2139/ssrn.3582532
K. Danger, Matthew Flagge, James Outen
{"title":"Price Change Attribution During the Settlement Window","authors":"K. Danger, Matthew Flagge, James Outen","doi":"10.2139/ssrn.3582532","DOIUrl":"https://doi.org/10.2139/ssrn.3582532","url":null,"abstract":"This paper proposes a novel and simple measure for evaluating trader impact on prices during the settlement period of price-taking derivative contracts, which we call the Price Change Attribution (PCA). We discuss how to calculate this measure, and demonstrate how it could be used to inform an analysis of whether a trader potentially engaged in manipulative conduct. We also discuss potential shortfalls and extensions from this measure, and demonstrate how it evolves over time for a sample of traders and products.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"70 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88430095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Recovery from Fast Crashes: Role of Mutual Funds 从快速崩溃中复苏:共同基金的角色
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-17 DOI: 10.2139/ssrn.3239440
R. Jagannathan, L. Pelizzon, E. Schaumburg, Mila Getmansky Sherman, Darya Yuferova
{"title":"Recovery from Fast Crashes: Role of Mutual Funds","authors":"R. Jagannathan, L. Pelizzon, E. Schaumburg, Mila Getmansky Sherman, Darya Yuferova","doi":"10.2139/ssrn.3239440","DOIUrl":"https://doi.org/10.2139/ssrn.3239440","url":null,"abstract":"We study the role mutual funds play in the recovery from fast intraday crashes based on data from the National Stock Exchange of India for a single large stock. During normal times, trading activity and liquidity provision by mutual funds is negligible compared to other traders at around 4% of overall activity. Nevertheless, for the two intraday market- wide crashes in our sample, price recovery took place only after mutual funds moved in. Market stability may require the presence of well-capitalized standby liquidity providers for recovery from crashes.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"47 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87814245","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Natural Gas Announcement Day Puzzle 天然气公告日谜题
ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2020-04-14 DOI: 10.2139/ssrn.3575861
Marcel Prokopczuk, Chardin Wese Simen, R. Wichmann
{"title":"The Natural Gas Announcement Day Puzzle","authors":"Marcel Prokopczuk, Chardin Wese Simen, R. Wichmann","doi":"10.2139/ssrn.3575861","DOIUrl":"https://doi.org/10.2139/ssrn.3575861","url":null,"abstract":"This paper studies natural gas futures returns on EIA storage announcement days. More than 50% of the annual return is earned on these days. We find a significant difference between announcement and non-announcement day returns, which cannot be explained by the announcement surprise or other control variables. At the intraday level, the return splits half into a pre- and post-announcement part. The pre-announcement return is entirely generated on days when storage levels exceed analysts’ expectations casting doubt on explanations based on informed trading. After transaction and funding cost, a simple trading strategy yields substantial returns.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":"244 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82762885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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