Microeconomics: Information最新文献

{"title":"Inflation Expectations, Uncertainty and Monetary Policy","authors":"C. Sims","doi":"10.2139/ssrn.1440243","DOIUrl":"https://doi.org/10.2139/ssrn.1440243","url":null,"abstract":"Monetary economics as practiced by central bank modelers has made a great deal of progress in recent years. In a 2002 paper I interviewed research economists at four central banks and surveyed the models in use at those banks. I criticized the models for having lost all touch with statistical inference and with its connection to decision theory. I also criticized them for not following the rational expectations literature by jointly specifying and estimating the equations in their systems. And I pointed out that none of the models had a consistent treatment of asset markets. Since then many central banks, taking advantage of the new computational methods for Bayesian inference that economists are learning to use, have made substantial progress toward meeting the first two of these criticisms. They have still for the most part done little about the third. And academic economists are beginning to question some of the standard assumptions in the rational expectations framework that underlies these models. Recent events in financial markets, and the difficulties that they raise for central banks, make it painfully clear that even the frontier Bayesian DSGE models like that in use at the Swedish Riksbank do not model asset markets in any depth. But the problem goes beyond that: these models, and most academic macro models as well, assume a standard rational expectations framework: there is only one probability measure in play, the \"true\" probability measure from which nature draws realizations. Agents in the model form expectations using this true distribution, conditioning on information sets that consist of all information in the model dated t and earlier. It is well documented that people do not actually behave this way, and in the literature on behavioral finance there is some suggestion that deviations from this standardized assumption of rational behavior given a common probability distribution may be important. The recent events in financial markets - the dotcom boom, the US house price boom, perhaps the continuing commodity price boom - look to some observers like bubbles that must have fed off some sort of irrational behavior. Many observers think that monetary policy might have somehow fueled these bubble-like episodes in asset markets. These are important questions for monetary policy, and it is disturbing that the monetary policy models in use cannot even be used to pose these questions. In this paper I focus on two particular, and related, deviations from the assumption that all agents have the same probability distribution and that they optimally process all information available up to some date t. I consider the implications of agents' being able to process information only at a limited rate, and the implications of agents' assuming differing probability distriubions. This is part of a series of BIS Working Papers (273 to 278) collecting papers presented at the BIS's Seventh Annual Conference on \"Whither monetary policy? Monetary policy","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123864645","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}

{"title":"A Likelihood Analysis of Models with Information Frictions","authors":"Leonardo Melosi","doi":"10.2139/ssrn.1350457","DOIUrl":"https://doi.org/10.2139/ssrn.1350457","url":null,"abstract":"This paper develops a dynamic stochastic general equilibrium model where firms are imperfectly informed. We estimate the model through likelihood-based methods and find that it can explain the highly persistent real effects of monetary disturbances that are documented by a benchmark VAR. The model of imperfect information nests a model of rational inattention where firms optimally choose the variances of signal noise, subject to an information-processing constraint. We present an econometric procedure to evaluate the predictions of this rational inattention model. Implementing this procedure delivers insights on how to improve the fit of rational inattention models.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132168891","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}

{"title":"Advance Selling by a Newsvendor Retailer","authors":"A. Prasad, K. Stecke, Xuying Zhao","doi":"10.2139/ssrn.1375222","DOIUrl":"https://doi.org/10.2139/ssrn.1375222","url":null,"abstract":"Retailers often face a newsvendor problem, i.e., they must order their inventory prior to a short selling period with uncertain demand. The uncertainty can be reduced by advance selling because not only are advance orders certain, but the remaining demand can be better forecasted. Consumers, however, may prefer not to purchase in advance unless given a discount because they are uncertain about their valuation for the product in advance. It is then unclear whether advance selling to pass some uncertainty risk to consumers is optimal for the retailer.This paper examines the advance selling price and inventory decisions in a two-period setting, where the first period is the advance selling period and the second is the selling (and consumption) period. We find that the advance selling strategy is not always optimal, but is contingent on parameters of the market (e.g., market potential, uncertainty), the consumers (e.g., valuation, risk aversion and heterogeneity). For example, we find that retailers should sell in advance if the consumers' expected valuation exceeds consumers' expected surplus when not buying early by a certain threshold at least, and that this threshold increases with risk aversion but decreases with stockout risks.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115578029","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}

{"title":"Information Uncertainty and the Reaction of Stock Prices to News","authors":"P. Angelini, Giovanni Guazzarotti","doi":"10.2139/ssrn.1362466","DOIUrl":"https://doi.org/10.2139/ssrn.1362466","url":null,"abstract":"Recent theoretical papers suggest that high uncertainty about firmsi?½ economic prospects can explain delays in the adjustment of their stock prices to economic news. Using analyst forecast revisions and earnings announcements as proxies of news, we find mixed evidence in support of this hypothesis. We confirm that stocks of firms whose prospects are highly uncertain display a relatively large delayed price reaction (so-called continuation) after the release of news, but we argue that this evidence does not necessarily imply a slower adjustment speed. Indeed, for these stocks the immediate reaction to news is also relatively strong. In fact, the magnitude of the delayed price reaction (the price continuation) depends both on the degree of price sluggishness and on the i?½scalei?½ of the news hitting the stock. We therefore consider both the delayed and immediate responses, and compute measures of adjustment speed that do not depend on the i?½scalei?½ of the news. We then compare these measures across portfolios of stocks characterized by different degrees of uncertainty. Our findings indicate that: (i) stock prices characterized by high uncertainty tend to adjust to bad news more sluggishly than those characterized by low uncertainty; (ii) the opposite holds true in the case of good news; (iii) stock prices characterized by high uncertainty tend to adjust to bad news more sluggishly than to good news. Previous empirical literature focuses on price continuation patterns but neglects to control for the i?½scalei?½ of the news, reaching erroneous conclusions.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132189908","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}

{"title":"Stapled Finance","authors":"Paul Povel, Rajdeep Singh","doi":"10.2139/ssrn.1103562","DOIUrl":"https://doi.org/10.2139/ssrn.1103562","url":null,"abstract":"Stapled Finance is a loan commitment arranged by a seller in an M&A setting. The key feature is that whoever wins the bidding contest has the option (not the obligation) to accept the loan commitment. Stapled finance has become common: in 2004, it was offered in 39% of US deals that involved private equity funds. We show that stapled finance benefits sellers if there are financial buyers in the pool of bidders, because it makes them bid more aggressively. However, the lender expects not to break even and must be compensated for offering the loan. This reduces, but does not eliminate the seller's benefit. It also implies that buyout loans that originated as stapled finance will show poorer performance than other buyout loans.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131790565","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}

{"title":"Investigating the Risk Argument for the Value Premium: A Stochastic Dominance Approach","authors":"Desmond C. Ong, W. Fong, Cheekiat Low","doi":"10.2139/ssrn.1344011","DOIUrl":"https://doi.org/10.2139/ssrn.1344011","url":null,"abstract":"The value premium remains a puzzle despite considerable research effort in accounting for the higher returns earned by value stocks relative to growth stocks. A rational explanation is that value stocks are more risky than growth stocks. We seek to validate the risk argument in a nonparametric framework with the method of stochastic dominance. This approach avoids the model misspecification problem inherent in traditional CAPM or multifactor risk pricing models. We explore the dominance relationship in good and bad states of the economy and equity market to check if the superior performance of value investing persists in regimes where investors have different risk aversion. We find that value stocks stochastically dominate growth stocks very robustly, implying the implausibility of any risk-based explanation for the value premium puzzle.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116706538","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}

{"title":"Information and Intertemporal Decision Processes in Banking: The Run on Northern Rock","authors":"A. O'Connor, F. Santos-Arteaga","doi":"10.1504/IJADS.2008.022976","DOIUrl":"https://doi.org/10.1504/IJADS.2008.022976","url":null,"abstract":"The run on Northern Rock was due to its business and funding model and to external events in global markets that prompted it to resort to the Bank of England for liquidity support. The vast majority of its funding was sourced from wholesale market depositors and these had more information, and earlier, on issues with Northern Rock's funding strategy than retail market depositors. In 2007, following an announcement of liquidity support to Northern Rock, retail market depositors reacted and there was a run on it. Deposit insurance was only partial and it was only when there was an assurance by the government that it would be extended to the full amount of deposits did the run discontinue. There was not a run on the banking system. A theoretical model of a bank run, based on those of Diamond and Dybvig, Jacklin and Bhattacharya, Alonso and Peck and Shell is proposed. This differs from previous models in that it is capable of generating a run on a bank, or a subset of banks, based on bank reputation, among other factors, when there is the same external shock for all banks in an economy. The model incorporates many of the characteristics of the Northern Rock run and is developed to reiterate, within the confines of such an analysis, these events.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133579416","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}

{"title":"Optimal Monetary Policy Rules: The Problem of Stability Under Heterogeneous Learning","authors":"A. Bogomolova, D. Kolyuzhnov","doi":"10.2139/ssrn.1480756","DOIUrl":"https://doi.org/10.2139/ssrn.1480756","url":null,"abstract":"In this paper we extend the analysis of optimal monetary policy rules in terms of stability of an economy, started by Evans and Honkapohja (2003b), to the case of heterogeneous private agents learning. Following Giannitsarou (2003), we pose the question about the applicability of the representative agent hypothesis to learning. This hypothesis was widely used in learning literature at early stages to demonstrate convergence of an economic system under adaptive learning of agents to one of the rational expectations equilibria in the economy. We test these monetary policy rules in the general setup of the New Keynesian model that is a work horse of monetary policy models today. It is of interest to see that the results obtained by Evans and Honkapohja (2003b) for the homogeneous learning case are replicated for the case when the representative agent hypothesis is lifted.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124619438","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}

{"title":"Economic Dynamics Under Heterogeneous Learning: Necessary and Sufficient Conditions for Stability","authors":"D. Kolyuzhnov","doi":"10.2139/ssrn.1480760","DOIUrl":"https://doi.org/10.2139/ssrn.1480760","url":null,"abstract":"I provide sufficient conditions and necessary conditions for stability of a structurally heterogeneous economy under heterogeneous learning of agents. These conditions are written in terms of the structural heterogeneity independent of heterogeneity in learning. I have found an easily interpretable unifying condition which is sufficient for convergence of an economy under mixed RLS/SG learning with different degrees of inertia towards a rational expectations equilibrium for a broad class of economic models and a criterion for such a convergence in the univariate case. The conditions are formulated using the concept of a subeconomy and a suitably defined aggregate economy. I demonstrate and provide interpretation of the derived conditions and the criterion on univariate and multivariate examples, including two specifications of the overlapping generations model and the model of simultaneous markets with structural heterogeneity.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122323293","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}

{"title":"Public versus Private Ownership: Quantity Contracts and the Allocation of Investment Tasks","authors":"Eva I. Hoppe, P. Schmitz","doi":"10.2139/ssrn.1350386","DOIUrl":"https://doi.org/10.2139/ssrn.1350386","url":null,"abstract":"The government wants a certain good or service to be provided. Should the required assets be publicly or privately owned or should a partnership be formed? Building on the incomplete contracting approach, we argue that the initially specified quantity of an ex ante describable basic good can have important effects on investment incentives, which has been neglected in the literature so far. We also study how the tasks of investing in quality improvements and cost reductions should be assigned. We show how the optimal contracts and governance structures depend on the exogenous parameters of the model such as the nature of the investments and the parties' bargaining powers.","PeriodicalId":400873,"journal":{"name":"Microeconomics: Information","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116275050","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}