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Xavier D'Haultfoeuille (CREST, ENSAE)
TSE, 12 mars 2019, 15h30–17h00, salle MS 001
Dyadic data are samples indexed by two units from the same population. Examples include trade flows between countries, relationships in a network or results of sports matches. Such data exhibit particular dependence patterns, affecting the statistical properties of the estimators. We establish in...
Vasiliki Skreta (University of Texas)
Toulouse : TSE, 12 mars 2019, 11h00–12h30, salle MS 003
We develop a tool akin to the revelation principle for mechanism design with limited commitment. We identify a canonical class of mechanisms rich enough to replicate the payoffs of any equilibrium in a mechanism-selection game between an uninformed designer and a privately informed agent. A corner...
Ariel Zetlin-Jones (Carnegie Mellon University)
12 mars 2019, BDF Paris
We study risk and maturity transformation when bank liabilities facilitate trade in goods markets and households face aggregate liquidity shocks. Banks’ balance sheets transform aggregate investment risk providing a stable source of liquidity to households. When investments are sufficiently risky...
Mirko Wiederholt
TSE, 11 mars 2019, 17h00–18h30, salle MF 323
Information frictions play an important role in many theories of expectation formation and macroeconomic fluctuations. We use a survey experiment to generate direct evidence on how people acquire and process information. Participants can buy different information signals that could help them...
Simon Board (University of California - Los Angeles)
TSE, 11 mars 2019, 14h00–15h30, salle MS 001
This paper proposes a tractable model of Bayesian learning on social networks in which agents choose whether to adopt an innovation. We study the impact of network structure on learning dynamics and diffusion. In tree networks, we provide conditions under which all direct and indirect links...
Dimitrios Tsomocos
Toulouse, 11 mars 2019, 12h30–14h00, salle MF 323
We modify the Diamond and Dybvig (1983) model of banking to jointly study various regulations in the presence of credit and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the liability side. The endogenously determined asset portfolio...
Bård Harstad (University of Oslo)
Toulouse : TSE, 11 mars 2019, 11h00–12h15, salle MS 003
Both the market and the regulator have incomplete information regarding products' characteristics, but non-governmental organizations and activists often have expertise or motivation to investigate and acquire new information. Negative signals about a product's environmental externalities, for...
Enrique Andreu (Compass Lexecon)
Toulouse : TSE, 8 mars 2019, 15h30–17h30, Manufacture des Tabacs, salle MF 323
Claudio Morana (University of Milan)
7 mars 2019, BDF Paris
Since their introduction in the mid-1990s, the return per unit of risk or multiple on catastrophe (cat) bonds has steadily declined. This paper investigates whether this pattern is consistent with the historical evolution of natural disaster risk. Assessing the accuracy of cat bond pricing is...
Qiwei Yao (London School of Economics)
TSE, 5 mars 2019, 15h30–17h00, salle MS 001
We first consider a class of vector autoregressive models with banded coefficient matrices. The setting represents a type of sparse structure for high-dimensional time series, though the implied autocovariance matrices are not banded. The structure is also practically meaningful when the order of...
