1、一般均衡寡頭壟斷與所有制結(jié)構(gòu)

我們建立了一個易于處理的一般均衡框架，在這個框架中，企業(yè)規(guī)模較大，對產(chǎn)品和勞動力都具有市場支配力，企業(yè)的決策受其所有權(quán)結(jié)構(gòu)的影響。我們描述了一個經(jīng)濟(jì)體的古諾-瓦爾拉斯均衡，其中每個公司最大化股東公用事業(yè)的加權(quán)平均份額，使得均衡獨立于價格正?；Ｔ谝粋€單一部門經(jīng)濟(jì)中，如果規(guī)?；貓舐什辉黾?，那么“有效”市場集中度（占共同所有制）的增加會導(dǎo)致就業(yè)、實際工資和勞動力份額的下降。然而，當(dāng)存在多個部門時，由于部門間的貨幣外部性，當(dāng)勞動力供給彈性相對于產(chǎn)品市場的替代彈性較高時，共同所有權(quán)的增加可以刺激經(jīng)濟(jì)。我們刻畫了當(dāng)經(jīng)濟(jì)中的部門數(shù)量增加時，哪些所有制結(jié)構(gòu)達(dá)到壟斷競爭極限或寡頭壟斷極限。我們發(fā)現(xiàn)，當(dāng)企業(yè)的規(guī)模技術(shù)具有異質(zhì)性的固定收益時，共同所有權(quán)的增加會導(dǎo)致市場更加集中。

摘要原文：We develop a tractable general equilibrium framework in which firms are large and have market power with respect to both products and labor, and in which a firm's decisions are affected by its ownership structure. We characterize the Cournot–Walras equilibrium of an economy where each firm maximizes a share‐weighted average of shareholder utilities—rendering the equilibrium independent of price normalization. In a one‐sector economy, if returns to scale are non‐increasing, then an increase in “effective” market concentration (which accounts for common ownership) leads to declines in employment, real wages, and the labor share. Yet when there are multiple sectors, due to an intersectoral pecuniary externality, an increase in common ownership could stimulate the economy when the elasticity of labor supply is high relative to the elasticity of substitution in product markets. We characterize for which ownership structures the monopolistically competitive limit or an oligopolistic one is attained as the number of sectors in the economy increases. When firms have heterogeneous constant returns to scale technologies, we find that an increase in common ownership leads to markets that are more concentrated.

參考文獻(xiàn)：Azar J, Vives X. General Equilibrium Oligopoly and Ownership Structure[J]. Econometrica, 2021, 89(3): 999-1048.

2、內(nèi)生錯定學(xué)習(xí)的極限點

我們研究當(dāng)一個主體的先驗信念被錯誤指定時，它是如何從內(nèi)生數(shù)據(jù)中學(xué)習(xí)的。我們證明了只有一致的伯克-納什均衡才可能是長期結(jié)果，并且對于某些初始信念，所有一致嚴(yán)格的伯克納什均衡都有任意高的概率成為長期結(jié)果。當(dāng)代理認(rèn)為結(jié)果分布是外生的，對于任何初始信念，每個一致嚴(yán)格的Berk Nash均衡都有正的概率成為長期結(jié)果。我們將這些結(jié)果推廣到代理在行動前觀察信號的設(shè)置。

摘要原文：We study how an agent learns from endogenous data when their prior belief is misspecified. We show that only uniform Berk–Nash equilibria can be long‐run outcomes, and that all uniformly strict Berk–Nash equilibria have an arbitrarily high probability of being the long‐run outcome for some initial beliefs. When the agent believes the outcome distribution is exogenous, every uniformly strict Berk–Nash equilibrium has positive probability of being the long‐run outcome for any initial belief. We generalize these results to settings where the agent observes a signal before acting.

參考文獻(xiàn)：Fudenberg D, Lanzani G, Strack P. Limit Points of Endogenous Misspecified Learning[J]. Econometrica, 2021, 89(3): 1065-1098.

3、具有隱藏儲蓄的最優(yōu)資產(chǎn)管理合同

我們描述了一個經(jīng)典組合投資設(shè)置下的最優(yōu)資產(chǎn)管理合同。當(dāng)代理人有機會獲得隱性儲蓄時，其行為不端的動機取決于其預(yù)防性儲蓄動機。契約動態(tài)地扭曲了代理人獲取資本的渠道，以操縱其預(yù)防性儲蓄動機，減少不當(dāng)行為的誘因。我們給出了最優(yōu)契約中一階方法有效性的一個充分條件：如果代理的預(yù)防性儲蓄動機在不良結(jié)果發(fā)生后減弱，則全局激勵相容性得到保證。我們將我們的結(jié)果擴展到包括市場風(fēng)險、隱性投資和重新談判。

摘要原文：We characterize optimal asset management contracts in a classic portfolio‐investment setting. When the agent has access to hidden savings, his incentives to misbehave depend on his precautionary saving motive. The contract dynamically distorts the agent's access to capital to manipulate his precautionary saving motive and reduce incentives for misbehavior. We provide a sufficient condition for the validity of the first‐order approach, which holds in the optimal contract: global incentive compatibility is ensured if the agent's precautionary saving motive weakens after bad outcomes. We extend our results to incorporate market risk, hidden investment, and renegotiation.

參考文獻(xiàn)：Di Tella S, Sannikov Y. Optimal asset management contracts with hidden savings[J]. Econometrica, 2021, 89(3): 1099-1139.

4、無混雜條件下平均處理效果的有限樣本最優(yōu)估計與推斷

我們考慮在無混雜條件下，在處理變量和協(xié)變量實現(xiàn)的情況下，對平均處理效果的估計和推斷。假設(shè)結(jié)果變量的條件均值具有非參數(shù)光滑性和/或形狀限制，當(dāng)回歸誤差為正態(tài)且方差已知時，我們得到了有限樣本下最優(yōu)的估計量和置信區(qū)間。與傳統(tǒng)的置信區(qū)間相比，我們的置信區(qū)間使用了一個更大的臨界值，明確地考慮了估計量的潛在偏差。當(dāng)誤差分布未知時，我們的置信區(qū)間的可行版本是漸近有效的。我們還導(dǎo)出了條件平均上的最小光滑條件，這是推理所必需的。當(dāng)條件均值被限制為利普希茨常數(shù)，且利普希茨常數(shù)有足夠大的界時，最優(yōu)估計量退化為匹配估計量，匹配數(shù)為1。我們將該方法應(yīng)用到國家支持的工作示范中。

摘要原文：We consider estimation and inference on average treatment effects under unconfoundedness conditional on the realizations of the treatment variable and covariates. Given nonparametric smoothness and/or shape restrictions on the conditional mean of the outcome variable, we derive estimators and confidence intervals (CIs) that are optimal in finite samples when the regression errors are normal with known variance. In contrast to conventional CIs, our CIs use a larger critical value that explicitly takes into account the potential bias of the estimator. When the error distribution is unknown, feasible versions of our CIs are valid asymptotically, even when ‐inference is not possible due to lack of overlap, or low smoothness of the conditional mean. We also derive the minimum smoothness conditions on the conditional mean that are necessary for ‐inference. When the conditional mean is restricted to be Lipschitz with a large enough bound on the Lipschitz constant, the optimal estimator reduces to a matching estimator with the number of matches set to one. We illustrate our methods in an application to the National Supported Work Demonstration.

參考文獻(xiàn)：Armstrong T B, Kolesár M. Finite‐Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness[J]. Econometrica, 2021, 89(3): 1141-1177.

5、(非)穩(wěn)定網(wǎng)絡(luò)上的納什均衡

面對變化，人們可能會選擇追隨朋友的反應(yīng)，或者選擇改變朋友。要對這些決策進(jìn)行建模，請考慮一個游戲，其中玩家可以選擇自己的行為和友誼。在均衡狀態(tài)下，參與者內(nèi)化了形成友誼的共識需求，并在k個參與者的子集上選擇了自己的最優(yōu)策略，這是一種有限理性的形式。k玩家共識動態(tài)提供了一個博弈均衡的概率排序，并通過一個變化的k，促進(jìn)了對這類博弈的估計。

摘要原文：In response to a change, individuals may choose to follow the responses of their friends or, alternatively, to change their friends. To model these decisions, consider a game where players choose their behaviors and friendships. In equilibrium, players internalize the need for consensus in forming friendships and choose their optimal strategies on subsets of k players—a form of bounded rationality. The k‐player consensual dynamic delivers a probabilistic ranking of a game's equilibria, and via a varying k, facilitates estimation of such games.

參考文獻(xiàn)：Badev A. Nash equilibria on (un) stable networks[J]. Econometrica, 2021, 89(3): 1179-1206.

6、奈特氏不確定性下的可行性和套利

我們重新考慮金融經(jīng)濟(jì)學(xué)的微觀經(jīng)濟(jì)學(xué)基礎(chǔ)?；谀翁夭淮_定性在市場中的重要性，我們提出了一個模型，該模型不預(yù)先攜帶任何概率結(jié)構(gòu)，而是基于一個共同的順序。我們推導(dǎo)了資產(chǎn)價格的經(jīng)濟(jì)可行性和無套利的基本等價性。我們還利用次線性定價測度的概念得到了資產(chǎn)定價基本定理的一個修正版本。有效市場假說的不同版本與人們愿意強加給共同秩序的假設(shè)有關(guān)。

摘要原文：We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian uncertainty in markets, we present a model that does not carry any probabilistic structure ex ante, yet is based on a common order. We derive the fundamental equivalence of economic viability of asset prices and absence of arbitrage. We also obtain a modified version of the fundamental theorem of asset pricing using the notion of sublinear pricing measures. Different versions of the efficient market hypothesis are related to the assumptions one is willing to impose on the common order.

參考文獻(xiàn)：Burzoni M, Riedel F, Soner H M. Viability and arbitrage under knightian uncertainty[J]. Econometrica, 2021, 89(3): 1207-1234.

7、起伏經(jīng)濟(jì)中的總體動態(tài)

當(dāng)企業(yè)進(jìn)行不穩(wěn)定投資時，一個經(jīng)濟(jì)體的資本如何應(yīng)對總生產(chǎn)率的沖擊?我們表明，資本的過渡動態(tài)在結(jié)構(gòu)上與兩個穩(wěn)定狀態(tài)時刻相關(guān)聯(lián):資本生產(chǎn)率比的離散度（資本配置不當(dāng)?shù)闹笜?biāo)）和資本生產(chǎn)率比隨上次調(diào)整后時間的協(xié)方差（升遷和重組的不對稱成本指標(biāo)）減少股本。我們利用智利工廠投資規(guī)模和頻率的數(shù)據(jù)計算這兩個充分統(tǒng)計。實證結(jié)果表明，總生產(chǎn)率沖擊的影響顯著，有利于投資模型具有較強的縮減剛性和自由調(diào)整的隨機機會。

摘要原文：How does an economy's capital respond to aggregate productivity shocks when firms make lumpy investments? We show that capital's transitional dynamics are structurally linked to two steady‐state moments: the dispersion of capital to productivity ratios—an indicator of capital misallocation—and the covariance of capital to productivity ratios with the time elapsed since their last adjustment—an indicator of asymmetric costs of upsizing and downsizing the capital stock. We compute these two sufficient statistics using data on the size and frequency of investment of Chilean plants. The empirical values indicate significant effects of aggregate productivity shocks and favor investment models with a strong downsizing rigidity and random opportunities for free adjustments.

參考文獻(xiàn)：Baley I, Blanco A. Aggregate dynamics in lumpy economies[J]. Econometrica, 2021, 89(3): 1235-1264.

8、垂直寡頭壟斷中的篩選

有限數(shù)量的垂直差異化公司同時競爭和篩選擁有私人信息的代理商。在均衡狀態(tài)下，高層次的公司服務(wù)于高層次的類型。每家公司都會從效率水平向下扭曲低于臨界值但高于臨界值的類型的配置。雖然這個博弈中的收益既不是準(zhǔn)凹的也不是連續(xù)的，但如果企業(yè)有足夠的差異化，那么任何滿足一組簡單必要條件的策略配置文件都是純策略均衡，并且存在一個均衡。即使企業(yè)差異較小，也存在混合戰(zhàn)略均衡。私人信息的福利效應(yīng)與壟斷下的福利效應(yīng)截然不同。當(dāng)進(jìn)入成本變小時，均衡很快接近競爭極限。我們解決了一個多工廠企業(yè)面臨一個類型依賴的外部選擇的問題，并以此來研究合并的影響。

摘要原文：A finite number of vertically differentiated firms simultaneously compete for and screen agents with private information about their payoffs. In equilibrium, higher firms serve higher types. Each firm distorts the allocation downward from the efficient level on types below a threshold, but upward above. While payoffs in this game are neither quasi‐concave nor continuous, if firms are sufficiently differentiated, then any strategy profile that satisfies a simple set of necessary conditions is a pure‐stategy equilibrium, and an equilibrium exists. A mixed‐strategy equilibrium exists even when firms are less differentiated. The welfare effects of private information are drastically different than under monopoly. The equilibrium approaches the competitive limit quickly as entry costs grow small. We solve the problem of a multi‐plant firm facing a type‐dependent outside option and use this to study the effect of mergers.

參考文獻(xiàn)：Chade H, Swinkels J. Screening in Vertical Oligopolies[J]. Econometrica, 2021, 89(3): 1265-1311.

9、具有共同價值的最優(yōu)拍賣設(shè)計:一種信息魯棒方法

一個利潤最大化的賣家只有一個單位的商品要賣。投標(biāo)人有一個純粹的共同價值，這是從一個眾所周知的分布中得出的。賣方不知道投標(biāo)人對價值的看法，認(rèn)為這些看法是為利潤最小化而設(shè)計的。我們構(gòu)造了這個聯(lián)合機制設(shè)計和信息設(shè)計問題的強極大極小解，該解由一個機制、一個信息結(jié)構(gòu)和一個均衡組成，使得即使偏離者能夠選擇新的均衡，賣方和自然都不能將利潤轉(zhuǎn)移到各自的偏好方向。機制和信息結(jié)構(gòu)解決了一系列的最大-最小機制設(shè)計和最小-最大信息設(shè)計問題，而不管平衡點是如何選擇的。最大最小機制采用比例拍賣的形式:每個投標(biāo)人提交一個一維投標(biāo)，總分配和總付款取決于總投標(biāo)，個別分配和付款與投標(biāo)成比例。我們報告了最大最小機制的一些附加屬性，包括當(dāng)投標(biāo)者的數(shù)量增加時發(fā)生的情況以及相對于先驗值的魯棒性。

摘要原文：A profit‐maximizing seller has a single unit of a good to sell. The bidders have a pure common value that is drawn from a distribution that is commonly known. The seller does not know the bidders' beliefs about the value and thinks that beliefs are designed adversarially by Nature to minimize profit. We construct a strong maxmin solution to this joint mechanism design and information design problem, consisting of a mechanism, an information structure, and an equilibrium, such that neither the seller nor Nature can move profit in their respective preferred directions, even if the deviator can select the new equilibrium. The mechanism and information structure solve a family of maxmin mechanism design and minmax information design problems, regardless of how an equilibrium is selected. The maxmin mechanism takes the form of a proportional auction: each bidder submits a one‐dimensional bid, the aggregate allocation and aggregate payment depend on the aggregate bid, and individual allocations and payments are proportional to bids. We report a number of additional properties of the maxmin mechanisms, including what happens as the number of bidders grows large and robustness with respect to the prior over the value.

參考文獻(xiàn)：Brooks B, Du S. Optimal Auction Design with Common Values: An Informationally Robust Approach[J]. Econometrica, 2021, 89(3): 1313-1360.

10、具有財政約束的生產(chǎn)者和中介的宏觀經(jīng)濟(jì)模型

金融中介機構(gòu)應(yīng)持有多少資本?我們提出了一個一般均衡模型，其中金融部門向企業(yè)提供高風(fēng)險的長期貸款，資金來自儲戶的存款。政府擔(dān)保為銀行資本監(jiān)管創(chuàng)造了一個角色。該模型捕捉到了宏觀經(jīng)濟(jì)總量和信貸供應(yīng)的急劇持續(xù)下降，以及金融危機期間觀察到的信貸息差的急劇變化。要求中介機構(gòu)持有更多資本的政策降低了金融脆弱性，降低了金融和非金融部門的規(guī)模，降低了中介機構(gòu)的利潤。他們將財富從儲戶重新分配給銀行和非金融公司的所有者。危機前的資本要求接近最優(yōu)。反周期資本要求增加福利。

摘要原文：How much capital should financial intermediaries hold? We propose a general equilibrium model with a financial sector that makes risky long‐term loans to firms, funded by deposits from savers. Government guarantees create a role for bank capital regulation. The model captures the sharp and persistent drop in macro‐economic aggregates and credit provision as well as the sharp change in credit spreads observed during financial crises. Policies requiring intermediaries to hold more capital reduce financial fragility, reduce the size of the financial and non‐financial sectors, and lower intermediary profits. They redistribute wealth from savers to the owners of banks and non‐financial firms. Pre‐crisis capital requirements are close to optimal. Counter‐cyclical capital requirements increase welfare.

參考文獻(xiàn)：Elenev V, Landvoigt T, Van Nieuwerburgh S. A macroeconomic model with financially constrained producers and intermediaries[J]. Econometrica, 2021, 89(3): 1361-1418.

11、錯誤規(guī)范下迭代GMM的推理

本文提出了迭代過辨識廣義矩估計的推理方法。我們提供了迭代估計存在的條件和漸近分布理論，它允許輕微的誤判。矩的錯誤指定導(dǎo)致了傳統(tǒng)GMM方差估計的偏差，這可能導(dǎo)致嚴(yán)重的過大假設(shè)檢驗。我們展示了如何一致地估計正確的漸近方差矩陣。我們的模擬結(jié)果表明，我們的方法在正確的規(guī)范和輕度到中度的錯誤規(guī)范下都是適當(dāng)?shù)?。我們用Acemoglu, Johnson, Robinson和Yared(2008)模型的應(yīng)用來說明該方法。

摘要原文：This paper develops inference methods for the iterated overidentified Generalized Method of Moments (GMM) estimator. We provide conditions for the existence of the iterated estimator and an asymptotic distribution theory, which allows for mild misspecification. Moment misspecification causes bias in conventional GMM variance estimators, which can lead to severely oversized hypothesis tests. We show how to consistently estimate the correct asymptotic variance matrix. Our simulation results show that our methods are properly sized under both correct specification and mild to moderate misspecification. We illustrate the method with an application to the model of Acemoglu, Johnson, Robinson, and Yared (2008).

參考文獻(xiàn)：Hansen B E, Lee S. Inference for iterated GMM under misspecification[J]. Econometrica, 2021, 89(3): 1419-1447.

12、挽救偽造的工具變量模型

當(dāng)基線模型被偽造時，研究人員應(yīng)該怎么做?我們建議報告一組參數(shù)，這些參數(shù)與最低限度的非虛假模型一致。我們稱之為偽造自適應(yīng)集（FAS）。這個集合概括了標(biāo)準(zhǔn)基線估計，以考慮可能的偽造。重要的是，它不需要研究者選擇或校準(zhǔn)靈敏度參數(shù)。在經(jīng)典的多工具線性IV模型中，我們證明了FAS有一個簡單的封閉形式表達(dá)式，只依賴于幾個2SLS系數(shù)。我們將我們的結(jié)果應(yīng)用于道路和貿(mào)易的實證研究。我們通過總結(jié)從其他非虛假模型獲得的估計值的變化來說明FAS是如何補充傳統(tǒng)的過度識別測試的。

摘要原文：What should researchers do when their baseline model is falsified? We recommend reporting the set of parameters that are consistent with minimally nonfalsified models. We call this the falsification adaptive set (FAS). This set generalizes the standard baseline estimand to account for possible falsification. Importantly, it does not require the researcher to select or calibrate sensitivity parameters. In the classical linear IV model with multiple instruments, we show that the FAS has a simple closed‐form expression that only depends on a few 2SLS coefficients. We apply our results to an empirical study of roads and trade. We show how the FAS complements traditional overidentification tests by summarizing the variation in estimates obtained from alternative nonfalsified models.

參考文獻(xiàn)：Masten M A, Poirier A. Salvaging falsified instrumental variable models[J]. Econometrica, 2021, 89(3): 1449-1469.

13、具有內(nèi)生不可保尾部風(fēng)險的資產(chǎn)定價

本文研究了人力資本特殊風(fēng)險不完全可保時的資產(chǎn)定價和勞動力市場動態(tài)。公司使用長期合同為工人提供保險，但雙方都不能完全承諾；此外，由于成本高昂且難以觀察到的留任努力，勞資關(guān)系具有內(nèi)生持續(xù)時間。勞動收入中未投保的尾部風(fēng)險是最優(yōu)風(fēng)險分擔(dān)方案的一部分。在均衡狀態(tài)下，暴露于尾部風(fēng)險會產(chǎn)生更高的總風(fēng)險溢價和更高的回報波動率。與數(shù)據(jù)一致的是，企業(yè)層面的勞動力份額預(yù)測了未來的回報和企業(yè)層面的沖擊對勞動報酬的傳遞。

摘要原文：This paper studies asset pricing and labor market dynamics when idiosyncratic risk to human capital is not fully insurable. Firms use long‐term contracts to provide insurance to workers, but neither side can fully commit; furthermore, owing to costly and unobservable retention effort, worker‐firm relationships have endogenous durations. Uninsured tail risk in labor earnings arises as a part of an optimal risk‐sharing scheme. In equilibrium, exposure to the tail risk generates higher aggregate risk premia and higher return volatility. Consistent with data, firm‐level labor share predicts both future returns and pass‐throughs of firm‐level shocks to labor compensation.

參考文獻(xiàn)：Ai H, Bhandari A. Asset pricing with endogenously uninsurable tail risk[J]. Econometrica, 2021, 89(3): 1471-1505.