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Human Frictions in the Transmission of Economic Policy 经济政策传导中的人的摩擦
Chicago Booth Research Paper Series Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3451495
Francesco D’Acunto, Daniel Hoang, Maritta Paloviita, Michael Weber
{"title":"Human Frictions in the Transmission of Economic Policy","authors":"Francesco D’Acunto, Daniel Hoang, Maritta Paloviita, Michael Weber","doi":"10.2139/ssrn.3451495","DOIUrl":"https://doi.org/10.2139/ssrn.3451495","url":null,"abstract":"Intertemporal substitution is at the heart of modern macroeconomics and finance as well as economic policymaking, but a large fraction of a representative population of men -- those below the top of the distribution by cognitive abilities (IQ) -- do not change their consumption propensities with their inflation expectations. Low-IQ men are also less than half as sensitive to interest-rate changes when making borrowing decisions. Our microdata include unique administrative information on cognitive abilities, as well as economic expectations, consumption and borrowing plans, and total household debt from Finland. Heterogeneity in observables such as education, income, other expectations, and financial constraints do not drive these patterns. Costly information acquisition and the ability to form accurate forecasts are channels that cannot fully explain these results. Limited cognitive abilities could be human frictions in the transmission and effectiveness of fiscal and monetary policies that operate through household consumption and borrowing decisions.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115897773","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: 64
Financial Intermediation Through Financial Disintermediation: Evidence from the ECB Corporate Sector Purchase Programme 通过金融脱媒实现金融中介:来自欧洲央行企业部门购买计划的证据
Chicago Booth Research Paper Series Pub Date : 2020-08-18 DOI: 10.2139/ssrn.3197214
Aytekin Ertan, Anya Kleymenova, M. Tuijn
{"title":"Financial Intermediation Through Financial Disintermediation: Evidence from the ECB Corporate Sector Purchase Programme","authors":"Aytekin Ertan, Anya Kleymenova, M. Tuijn","doi":"10.2139/ssrn.3197214","DOIUrl":"https://doi.org/10.2139/ssrn.3197214","url":null,"abstract":"We study the spillover effects of financial disintermediation on the supply of credit to small and medium enterprises (SMEs). We find that direct central bank lending to large corporations induces banks to increase lending to SMEs by 8 to 12 percent. This effect is stronger for liquidity-constrained banks. SMEs with relationship banks affected by disintermediation borrow approximately €77,750 more relative to SMEs in the same country and industry. SMEs use these funds to invest in real activities and increase employment. We verify that our inferences are not due to changing economic fundamentals, demand from SMEs, or selection in central bank financing. Despite documenting positive effects, we also find that they disappear once new liquidity injections stop and the policy reaches a steady state. Our findings provide some insights on the ability of this macroeconomic policy tool to increase employment during the ongoing COVID-19 pandemic through financial disintermediation serving as an additional channel to provide access to financing for SMEs.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124863853","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: 26
Multi-Item Online Order Fulfillment in a Two-Layer Network 两层网络中的多项目在线订单履行
Chicago Booth Research Paper Series Pub Date : 2020-08-16 DOI: 10.2139/ssrn.3675117
Yanyang Zhao, Xinshang Wang, Linwei Xin
{"title":"Multi-Item Online Order Fulfillment in a Two-Layer Network","authors":"Yanyang Zhao, Xinshang Wang, Linwei Xin","doi":"10.2139/ssrn.3675117","DOIUrl":"https://doi.org/10.2139/ssrn.3675117","url":null,"abstract":"The boom of e-commerce around the globe in recent years has expedited the expansion of fulfillment infrastructures by e-retailers. While e-retailers are building more warehouses to offer faster delivery service than ever, the associated fulfillment costs have skyrocketed over the past decade. In this paper, we study the problem of minimizing fulfillment costs, in which an e-retailer must decide which warehouse(s) will fulfill each order, subject to warehouses’ inventory constraints. The e-retailer can split an order, at an additional cost, and fulfill it from different warehouses. Making effective real-time fulfillment decisions at the occurrence of order split is notoriously challenging, which has become a major problem for e-retailers. We focus on an RDC-FDC distribution network that major e-retailers have implemented in practice. In such a network, the upper layer contains larger regional distribution centers (RDCs) and the lower layer contains smaller front distribution centers (FDCs). We analyze the performance of a simple myopic policy that does not rely on demand forecasts and has been widely implemented in practice. We provide theoretical bounds on the performance ratio of the myopic policy compared with an optimal clairvoyant policy. We also empirically estimate our upper bound on the ratio by using FedEx shipping rates and demonstrate the bound can be as low as 1.13 for reasonable scenarios in practice. Moreover, we extend our study to the setting in which demand forecasting is available and prove the asymptotic optimality of a linear program rounding policy. Finally, we complement our theoretical results with a numerical study.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"132 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123227958","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: 5
1.79-Approximation Algorithms for Continuous Review Single-Sourcing Lost-Sales and Dual-Sourcing Inventory Models 1.79-连续评审单源损失销售和双源库存模型的近似算法
Chicago Booth Research Paper Series Pub Date : 2020-04-29 DOI: 10.2139/ssrn.3484315
Linwei Xin
{"title":"1.79-Approximation Algorithms for Continuous Review Single-Sourcing Lost-Sales and Dual-Sourcing Inventory Models","authors":"Linwei Xin","doi":"10.2139/ssrn.3484315","DOIUrl":"https://doi.org/10.2139/ssrn.3484315","url":null,"abstract":"Stochastic inventory systems with lead times are often challenging to optimize, including single-sourcing lost-sales and dual-sourcing systems. Recent numerical results suggest that capped policies demonstrate superior performance over existing heuristics. However, the superior performance lacks a theoretical foundation. In “1.79-Approximation Algorithms for Continuous Review Single-Sourcing Lost-Sales and Dual-Sourcing Inventory Models,” the author provides a theoretical foundation for this phenomenon in two classical inventory models. First, in a continuous review lost-sales model with lead times and Poisson demand, he proves that a capped base-stock policy has a worst-case performance guarantee of 1.79 by conducting an asymptotic analysis under a large penalty cost and lead time. Second, in a more complex continuous review dual-sourcing model with general lead times and Poisson demand, he proves that a similar capped dual-index policy has a worst-case performance guarantee of 1.79 under large lead time and ordering cost differences. The results provide a deeper understanding of the superior numerical performance of capped policies and present a new approach to proving worst-case performance guarantees of simple policies in hard inventory problems.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"151 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131057822","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: 7
The Black Market for Beijing License Plates 北京车牌黑市
Chicago Booth Research Paper Series Pub Date : 2019-12-02 DOI: 10.2139/ssrn.3497076
Øystein Daljord, Mandy Hu, G. Pouliot, Junji Xiao
{"title":"The Black Market for Beijing License Plates","authors":"Øystein Daljord, Mandy Hu, G. Pouliot, Junji Xiao","doi":"10.2139/ssrn.3497076","DOIUrl":"https://doi.org/10.2139/ssrn.3497076","url":null,"abstract":"Black markets can reduce the effects of distortionary regulations by reallocating scarce resources towards those who value them the most. The illegal nature of black markets however creates transaction costs that reduce the gains from trade. We take a partial identification approach to infer gains from trade and transaction costs in the black market for Beijing car license plates which emerged following their recent rationing. We use optimal transport methods to non-parametrically estimate a lower bound on the volume of unobserved black market trade under weak assumptions using comprehensive car sales data. We find that at least 11% of the quota of license plates is illegally traded. We next infer gains from trade and transaction costs and tighten the bounds on the volume of trade under further assumptions on black market transactions. The inferred size of the transaction costs suggests severe market frictions: between 61% and 82% of the realized gains from trade are lost to transaction costs, while between 7% and 28% of the potential gains from trade are realized in the black market.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126423229","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: 6
High-Frequency Factor Models and Regressions 高频因子模型与回归
Chicago Booth Research Paper Series Pub Date : 2019-01-18 DOI: 10.2139/ssrn.3319890
Yacine Ait-Sahalia, I. Kalniņa, D. Xiu
{"title":"High-Frequency Factor Models and Regressions","authors":"Yacine Ait-Sahalia, I. Kalniņa, D. Xiu","doi":"10.2139/ssrn.3319890","DOIUrl":"https://doi.org/10.2139/ssrn.3319890","url":null,"abstract":"We consider a nonparametric time series regression model. Our framework allows precise estimation of betas without the usual assumption of betas being piecewise constant. This property makes our framework particularly suitable to study individual stocks. We provide an inference framework for all components of the model, including idiosyncratic volatility and idiosyncratic jumps. Our empirical analysis investigates the largest dataset in the high-frequency literature. First, we use all traded stocks from NYSE, AMEX, and NASDAQ stock markets for 1996–2017 to construct the five Fama–French factors and the momentum factor at the 5-minute frequency. Second, we document the key empirical properties across all the stocks and the new factors, and apply the nonparametric time series regression model with the new high-frequency Fama–French factors. We find that this factor model is effective in explaining the systematic component of the risk of individual stocks. In addition, we provide evidence that idiosyncratic jumps are related to idiosyncratic events such as earnings disappointments.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126879028","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: 35
Interest Rates and Inflation Revisited 重新审视利率和通货膨胀
Chicago Booth Research Paper Series Pub Date : 2018-12-26 DOI: 10.2139/ssrn.3269310
E. Fama
{"title":"Interest Rates and Inflation Revisited","authors":"E. Fama","doi":"10.2139/ssrn.3269310","DOIUrl":"https://doi.org/10.2139/ssrn.3269310","url":null,"abstract":"\u0000 The continuously compounded (CC) interest rate on a one-month Treasury bill observed at the end of month t–1 is the sum of a CC expected real return and a CC expected inflation rate, Rt–1 = Et–1(rt) + Et–1(It). Two approaches are used to split Rt–1 between its two components. In the first, models for rt produce estimates of Et–1(rt), which are used to infer Et–1(It) as Rt–1 – Et–1(rt). The second approach models It to produce estimates of Et–1(It) and infer Et–1(rt) as Rt–1 – Et–1(It). By design, the estimates of Et–1(rt) and Et–1(It) from both approaches have the properties implied by rational bill prices.\u0000 Received October 10, 2018; Editorial decision December 31, 2018 By Editor Jeffrey Pontiff","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127680805","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
Consistency and Recovery in Retail Supply Chains 零售供应链的一致性和恢复
Chicago Booth Research Paper Series Pub Date : 2017-06-21 DOI: 10.2139/ssrn.2757134
E. Bendoly, N. Craig, Nicole DeHoratius
{"title":"Consistency and Recovery in Retail Supply Chains","authors":"E. Bendoly, N. Craig, Nicole DeHoratius","doi":"10.2139/ssrn.2757134","DOIUrl":"https://doi.org/10.2139/ssrn.2757134","url":null,"abstract":"Practitioners and researchers describe inventory service level using uni-dimensional metrics, e.g., in-stock and fill rate. However, prior research identifies dynamic aspects of supplier performance: consistency (the ability of a supplier to fulfill orders repeatedly) and recovery (the ability of a supplier to fulfill orders after a lapse in service). We develop a method for measuring consistency and recovery, and we test the method in the retail supply chain context using more than 40,000 order and fulfillment records provided by suppliers to retailers in two distinct settings. We model a retailer purchasing from competing suppliers with different levels of consistency and recovery. This model incorporates the retailer's uncertainty about demand and the retailer's uncertainty about its suppliers' service levels, which the retailer assesses using each supplier's prior performance. We characterize how the retailer's orders change with a supplier's performance through numerical experiments designed using field-based data. Specifically, we find pronounced contrasts in market share across suppliers with similar traditional inventory service levels metrics but differences in consistency and recovery. Given the influence of consistency and recovery on supply chain outcomes, we discuss implications for practice and future research.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127499408","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: 21
A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data 高频数据中市场微观结构噪声存在的豪斯曼检验
Chicago Booth Research Paper Series Pub Date : 2017-02-17 DOI: 10.2139/ssrn.2741911
Yacine Ait-Sahalia, D. Xiu
{"title":"A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data","authors":"Yacine Ait-Sahalia, D. Xiu","doi":"10.2139/ssrn.2741911","DOIUrl":"https://doi.org/10.2139/ssrn.2741911","url":null,"abstract":"We develop tests that help assess whether a high frequency data sample can be treated as reasonably free of market microstructure noise at a given sampling frequency for the purpose of implementing high frequency volatility and other estimators. The tests are based on the Hausman principle of comparing two estimators, one that is efficient but not robust to the deviation being tested, and one that is robust but not as efficient. We investigate the asymptotic properties of the test statistic in a general nonparametric setting, and compare it with several alternatives that are also developed in the paper. Empirically, we find that improvements in stock market liquidity over the past decade have increased the frequency at which simple, uncorrected, volatility estimators can be safely employed.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130555395","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: 51
Financial Market Frictions and Diversification 金融市场摩擦与多元化
Chicago Booth Research Paper Series Pub Date : 2016-09-01 DOI: 10.2139/ssrn.2857986
Gregor Matvos, Amit Seru, Rui C. Silva
{"title":"Financial Market Frictions and Diversification","authors":"Gregor Matvos, Amit Seru, Rui C. Silva","doi":"10.2139/ssrn.2857986","DOIUrl":"https://doi.org/10.2139/ssrn.2857986","url":null,"abstract":"We find new facts that relate the evolution of firm scope to the changing frictions in external capital markets over the last three decades. We find that large, diversified publicly traded firms increase their scope during times of high external capital market frictions, such as in the recent Great Recession. Moreover, during these times firms diversify their investment needs and cash flow across industries. We also find similar phenomena outside diversified public firms. Examining the mergers and acquisitions activity of stand-alone and diversified private firms, we uncover similar patterns. In aggregate data, we find that the composition of mergers shifts from focused to diversifying and back with changes in external market conditions. Our evidence is broadly consistent with the notion that firms diversify their scope in response to tightening in external capital markets.","PeriodicalId":224732,"journal":{"name":"Chicago Booth Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115402021","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: 52
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