Econometrica (2011) Vol. 79 N°4

Frontmatter of Econometrica Vol. 79 Iss. 4 ......Page 1 Back matter of Econometrica Vol. 79 Iss. 4......Page 3 Editorial ......Page 6 Introduction......Page 8 Examples of Situations That Generate U- and Hill-Shaped Signals......Page 11 The Mechanism That Induces Herding and Contrarianism......Page 12 Overview......Page 13 Related Literature......Page 14 The Model......Page 15 Definitions of Herding and Contrarian Behavior......Page 19 Characterization Results: The General Case......Page 22 Necessary Conditions......Page 23 Sufficient Conditions......Page 24 Discussion of the Noise Restriction......Page 28 Proof of Theorem 1......Page 29 Social Learning With MLRP Information Structure......Page 30 Resilience, Fragility, and Large Price Movements......Page 32 The Impact of Social Learning on Volatility and Liquidity......Page 34 Volatility......Page 35 Liquidity......Page 37 Interpretation of the Opaque Market and the Volatility Result......Page 38 Herding and Contrarianism With Many States......Page 39 Avery and Zemsky (1998)......Page 41 Extensions, Discussion and Conclusion......Page 45 Proof of Lemma 4......Page 46 Proof of Proposition 3......Page 48 Proof of Proposition 4......Page 55 Proof of Proposition 5......Page 56 Proof of Proposition 6......Page 57 References......Page 60 Author's Addresses......Page 61 Introduction......Page 62 Tastes and Technology......Page 65 Equilibrium and Market Arrangements......Page 67 The Bewley Economy (Self-Insurance)......Page 69 Excess Smoothness and the Bewley Economy......Page 71 Self-Insurance......Page 72 Excess Smoothness......Page 74 Closed Forms......Page 75 The Case With Isoelastic Utility......Page 76 Empirical Implications of the Model......Page 78 The HRS Approach......Page 80 Results in Levels......Page 84 The Evolution of Cross-Sectional Variances......Page 90 Conclusions......Page 96 Implementing the Efficient Allocation With Income Taxes......Page 97 Proof of Proposition 1......Page 99 References......Page 101 Author's Addresses......Page 103 Introduction......Page 104 The Environment......Page 108 Technologies......Page 109 Equilibrium......Page 111 Income per capita and Trade Patterns......Page 112 Empirical Analysis......Page 114 Empirical Specification 1: Procedure......Page 115 Technology Parameters Ti......Page 116 Empirical Specification......Page 117 Data and Parameter Identification......Page 118 Empirical Specification 1: Results......Page 119 Empirical Specification 2: Importer Fixed Effects......Page 125 Technology Shocks......Page 128 Trade Barriers......Page 130 Intermediate Inputs......Page 131 Conclusion......Page 133 References......Page 134 Author's Addresses......Page 136 Introduction......Page 138 Relationship to Other Theories......Page 140 Preferences and Constraints......Page 142 Information Sets......Page 143 Analytical Results......Page 145 Beliefs......Page 146 Dynamic Properties......Page 147 Endogenous Pessimism......Page 148 Empirical Evidence: Time Series and Geographic......Page 149 Time Series Evidence......Page 150 Geographic Evidence......Page 151 Survey Responses......Page 153 Calibration......Page 154 True Value of Nurture......Page 155 Time Series Results......Page 156 Geographic Results......Page 157 Estimating a Geographic Panel Regression......Page 158 Selection Effects on Wealth and Wages......Page 160 Alternative Parameter Values and Model Timing......Page 161 Model With Many Signals and Multiple Types of Women......Page 162 Conclusion......Page 163 Derivation of Comparative Statics......Page 164 Proof of Result 2: Geographic Correlation......Page 165 Benchmark Regression......Page 166 Combining County and National Data......Page 167 Appendix C: Calibration......Page 168 Appendix D: Model With Learning From Others' Choices......Page 170 References......Page 171 Author's Addresses......Page 173 Introduction......Page 174 Description of the Data Set......Page 178 Algorithm to Identify Regular Prices......Page 179 Motivating Facts......Page 180 A Menu-Cost Economy......Page 182 Consumers......Page 183 Retailers......Page 185 Retailer Decision Rules......Page 186 Computing the Equilibrium......Page 188 Calibration and Parameterization......Page 191 Data Moments......Page 192 Benchmark Model......Page 195 Model Without Temporary Changes......Page 197 Business Cycle Statistics......Page 198 Selection Effect......Page 200 BLS Data......Page 203 Richer Business Cycle Dynamics......Page 205 Synchronization......Page 207 Direct Test of Economies of Scope......Page 209 Evidence on Costs......Page 210 Relationship to Other Work......Page 211 Conclusion......Page 212 References......Page 213 Author's Addresses......Page 215 Introduction......Page 216 Calibration Based on Current Derivative Prices......Page 218 Semiparametric Pricing Model......Page 219 The Moment Restrictions......Page 220 The XMM Estimator......Page 222 Cross-Sectional Calibration......Page 225 XMM Estimation......Page 226 Static Comparison of Estimated Option Prices......Page 228 Discussion and Possible Extensions......Page 230 The Parameter of Interest......Page 233 The Identification Assumption......Page 234 Kernel Moment Estimators......Page 237 Efficiency Bound With Optimal Rate of Convergence......Page 239 Bias-Free Kernel Nonparametric Efficiency Bound......Page 241 Illustration With S&P 500 Options......Page 242 Asymptotic Normality and Efficiency of the XMM Estimator......Page 243 Concluding Remarks......Page 245 Regularity Assumptions......Page 246 Asymptotic Distribution of the Empirical Process......Page 251 Consistency of Kernel Moment Estimators......Page 252 Asymptotic Distribution of Kernel Moment Estimators......Page 253 Proof of Propositions 3 and 5......Page 254 Optimal Instruments......Page 255 Proof of Corollary 6......Page 256 Concentration With Respect to the Functional Parameters......Page 257 Asymptotic Expansion of Estimator thetaT and Lagrange Multiplier*2pt lambdaT......Page 258 Asymptotic Expansion of Ê*(a|x0)......Page 259 Proof of Equations (3.9)......Page 261 Proof of Proposition 1......Page 262 Derivation of Vector E0 [ g(Y;theta0)/theta ́|X=x0 ]r2 and Proof of Local Identification......Page 263 References......Page 265 Author's Addresses......Page 267 Introduction......Page 268 Overview......Page 272 Basic Layout......Page 273 A Change of Variables......Page 276 The Agent's Reporting Problem......Page 277 Truthful Revelation Contracts......Page 281 Basic Layout......Page 283 Full Information......Page 284 Hidden Information......Page 285 Full Information......Page 286 The Optimal Contract With an Arbitrary Initial Condition......Page 287 The Optimal Initial Condition......Page 288 General Discussion......Page 291 Efficiency in a Limit of Thomas and Worall......Page 293 A Private Taste Shock Example......Page 294 Full Information......Page 295 Private Information......Page 296 Conclusion......Page 298 Derivation of the Co-State Evolution......Page 299 Proof of Theorem 4.1......Page 300 Calculations for the Hidden Endowment Examples......Page 304 Calculations That Verify Incentive Compatibility......Page 306 Calculations for the Taste Shock Example......Page 308 References......Page 309 Author's Addresses......Page 310 Introduction......Page 312 Notation and Assumptions......Page 314 Preliminaries: Repeated Games......Page 317 A Stochastic Game......Page 318 The Characterization......Page 321 Finiteness of P(lambda)......Page 323 Another Generalization of FL's Algorithm......Page 325 Dynamic Programming......Page 327 Interpretation of the Variables xt(s,y)......Page 330 The Folk Theorem......Page 331 Short-Run Players......Page 333 An Example......Page 334 A Characterization With Full Rank......Page 336 Action-Independent Transitions......Page 338 Concluding Comments......Page 339 Proof of Proposition 1......Page 340 Proof of Proposition 2......Page 341 Proof of Lemma 2......Page 345 Proof for the Characterization With Full Monitoring......Page 348 Proof of Proposition 3......Page 349 References......Page 351 Author's Addresses......Page 353 Announcements ......Page 354 Forthcoming Papers ......Page 358 Submission of Manuscripts to the Econometric Society Monograph Series ......Page 360 Página en blanco......Page 359