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Caio Almeida, and René Garcia
vol. 63, n. 10, 2017, pp. 3361–3380
Based on a family of discrepancy functions, we derive nonparametric stochastic discount factor bounds that naturally generalize variance, entropy, and higher-moment bounds. These bounds are especially useful to identify how parameters affect pricing kernel dispersion in asset pricing models. In...
Hans Gersbach, and Jean-Charles Rochet
vol. 90, 2017, pp. 113–124
Credit cycle stabilization can be a rationale for imposing counter-cyclical capital requirements on banks. The model comprises two productive sectors: in one sector, firms can finance investments through a bond market. In the other, firms rely on bank credit. Financial frictions limit banks’...
Shui Feng, Laurent Miclo, and Feng-Yu Wang
vol. 14, n. 1, 2017, pp. 361–380
Laurent Miclo
vol. 26, n. 6, 2017, pp. 417–435
vol. 53, n. 2, 2017, pp. 957–996
Sangmin Aum, Tim Lee, and Yongseok Shin
2017
The U.S. labor market contracted sharply during the Great Recession. The ensuing recovery has been sluggish and by some measures still incomplete. In this paper, we break down aggregate employment during the Recession and the recovery into changes across industries and occupations. There is a clear...
Daniel Bump, Persi Diaconis, Angela Hicks, Laurent Miclo, and Harold Widom
vol. 26, n. 6, 2017, pp. 263–288
Tiziana Assenza, A. Brock, and C.H. Hommes
Western Economic Association International, vol. 55, n. 1, 2017, pp. 542–564
We introduce a simple equilibrium model of a market for loans, where households lend to firms based on heterogeneous expectations about their loan default probability. Agents select endogenously among heterogeneous expectation rules, based upon their relative performance. Due to strong...
Ingela Alger, and Jörgen W. Weibull
vol. 8, 2017
Does altruism and morality lead to socially better outcomes in strategic interactions than selfishness? We shed some light on this complex and non-trivial issue by examining a few canonical strategic interactions played by egoists, altruists and moralists. By altruists, we mean people who do not...
Sylvain Chabé-Ferret, and Nicolas Treich
vol. 211, n. 2, 2017, pp. 1–34
