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Chen, Daniel - 2022

We consider the design of a market for a single asset where a finite number of risk averse traders may trade to share risk from asset endowments. We derive the direct mechanisms that maximize a linear combination of expected revenue and allocative efficiency. We find that the first best...

Persistent link: https://www.econbiz.de/10014082330

Beyond LIBOR : A Primer on the New Benchmark Rates

Schrimpf, Andreas - 2019

The transition from a reference rate regime centred on interbank offered rates (IBORs) to one based on a new set of overnight risk-free rates (RFRs) is an important paradigm shift for markets. This special feature provides an overview of RFR benchmarks, and compares some of their key...

Persistent link: https://www.econbiz.de/10012891113

Effective, Fair and Equitable Pandemic Rationing

Grigoryan, Aram - 2021

We study the problem of allocating COVID-19 vaccines or other scarce and heterogeneous medical resources to patients. We develop algorithms for maximizing aggregate match-effectiveness subject to fairness and distributional constraints. Our solution uses a novel cutoff characterization result...

Persistent link: https://www.econbiz.de/10013236639

Market Transparency, Adverse Selection, and Moral Hazard

Klein, Tobias J. - 2014

We study the effects of improvements in market transparency on eBay on seller exit and continuing sellers' behavior. An improvement in market transparency by reducing strategic bias in buyer ratings led to a significant increase in buyer valuation especially of sellers rated poorly prior to the...

Persistent link: https://www.econbiz.de/10013060478

Meritocracy across countries

Bandiera, Oriana; Kotia, Ananya; Lindenlaub, Ilse; … - 2024

Are labor markets in higher-income countries more meritocratic, in the sense that worker-job matching is based on … the role of worker-job matching in development accounting, we build an equilibrium matching model that allows for cross … determine match feasibility; (ii) technology, which determines the returns to matching; and (iii) idiosyncratic matching …

Persistent link: https://www.econbiz.de/10014520525

The Role of Normal Goods in Global Stability

Keenan, Donald C.; Kim, Taewon - 2021

Persistent link: https://www.econbiz.de/10013235848

The term structures of co-entropy in international financial markets

Chabi-Yo, Fousseni; Colacito, Riccardo - 2013

We propose a new entropy-based correlation measure (coentropy) to evaluate the performance of international asset pricing models. Coentropy captures the codependence of two random variables beyond normality. We document that the coentropy of international stochastic discount factors (SDFs) can...

Persistent link: https://www.econbiz.de/10010227723

Inflation Targeting Regimes in Emerging Market Economies : To Invest or Not to Invest?

Silveira, Douglas; Barbosa Lima Mendes Oscar, Ricardo - 2021

We propose a stochastic learning rule through an Agent-based Model (ABM) to understand how emerging market economies (EMEs) can achieve high levels of investment, given the announced inflation target rate. The central banks act as a pseudo-player, choosing between the pursued target inflation...

Persistent link: https://www.econbiz.de/10013323617

Global Entropy

Croce, Mariano (Max) Massimiliano; Nguyen, Thien Tung; … - 2015

The recent fiscal crisis in the EU and the slow-down of the BRICS countries have raised world-wide concerns about future global growth prospects. We examine the role of doubts about both local and foreign economic shocks by constructing an international endogenous growth model with technology...

Persistent link: https://www.econbiz.de/10014037596

Sharing the Global Benefits of Finite Natural Resource Exploitation : A Dynamic Coalitional Stability Perspective

Gonzalez, Stéphane; Rostom, Fatma Zahra - 2020

The article explores the implications of natural resource scarcity in terms of global cooperation and trade. We investigate whether there exist stable international long-term agreements that take into account the disparities between countries in terms of geological endowments and productive...

Persistent link: https://www.econbiz.de/10014102430