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Term Structures of Asset Prices and Returns

Backus, David - 2016

We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The...

Persistent link: https://www.econbiz.de/10012456513

Behavioral Implications of Rational Inattention with Shannon Entropy

Caplin, Andrew - 2013

entropy cost functions that better match this feature of the data and that retain key simplifying features of the Shannon …

Persistent link: https://www.econbiz.de/10012459344

Sources of Entropy in Representative Agent Models

Backus, David - 2011

preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time … dependence, a measure of how entropy varies over different time horizons). We show how each model generates entropy and time … approximations -- clarifies the mechanisms underlying these models. It also reveals, in some cases, tension between entropy, which …

Persistent link: https://www.econbiz.de/10012461438

Rationally Inattentive Behavior : Characterizing and Generalizing Shannon Entropy

Caplin, Andrew - 2017

We provide a full behavioral characterization of the standard Shannon model of rational inattention. The key axiom is "Invariance under Compression", which identifies this model as capturing an ideal form of attention-constrained choice. We introduce tractable generalizations that allow for many...

Persistent link: https://www.econbiz.de/10012455030

Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility

Chang, Yoosoon; Durlauf, Steven N.; Hu, Bo; Park, Joon Y. - National Bureau of Economic Research - 2025

This paper proposes a fully nonparametric model to investigate the dynamics of intergenerational income mobility for discrete outcomes. In our model, an individual's income class probabilities depend on parental income in a manner that accommodates nonlinearities and interactions among various...

Persistent link: https://www.econbiz.de/10015194994

Immobility As Memory : Some New Approaches to Characterizing Intergenerational Persistence via Markov Chains

Blume, Lawrence E.; Cholli, Neil A.; Durlauf, Steven N.; … - National Bureau of Economic Research - 2024

This paper proposes some new measures of intergenerational persistence based on the idea of characterizing the memory of origin in the stochastic process that links the socioeconomic classes of parents and children. We introduce "memory curves" for all future generations given any initial...

Persistent link: https://www.econbiz.de/10015145117

Monetary and Fiscal Policy Switching

Davig, Troy - 2004

A growing body of evidence finds that policy reaction functions vary substantially over different periods in the United States. This paper explores how moving to an environment in which monetary and fiscal regimes evolve according to a Markov process can change the impacts of policy shocks. In...

Persistent link: https://www.econbiz.de/10012468331

Identification and Estimation of Dynamic Games

Pesendorfer, Martin - 2003

This paper studies the identification problem in infinite horizon Markovian games and proposes a generally applicable estimation method. Every period firms simultaneously select an action from a finite set. We characterize the set of Markov equilibria. Period profits are a linear function of...

Persistent link: https://www.econbiz.de/10012468972

Organizational Equilibrium with Capital

Bassetto, Marco - 2018

This paper proposes a new equilibrium concept - organizational equilibrium - for models with state variables that have a time-inconsistency problem. The key elements of this equilibrium concept are: (1) agents are allowed to ignore the history and restart the equilibrium; (2) agents can wait for...

Persistent link: https://www.econbiz.de/10012481024

An Optimal Test for Strategic Interaction in Social and Economic Network Formation between Heterogeneous Agents

Pelican, Andrin - 2020

We introduce a test for whether agents' preferences over network structure are interdependent. Interdependent preferences induce strategic behavior since the optimal set of links directed by agent i will vary with the configuration of links directed by other agents

Persistent link: https://www.econbiz.de/10012481096