Theses - Dept. of Economics
http://hdl.handle.net/1721.1/7598
2016-03-23T16:32:31ZLabor risk sharing
http://hdl.handle.net/1721.1/101520
Labor risk sharing
Manuelli, Lucas
In this paper we aim to test the extent of labor risk sharing exists in thai village economies. Specifically we test the null hypothesis of full risk sharing at the village level. We outline a simple planner's problem that motivates our empirical specification. Our empirical specification consists of two equations, a labor supply equation that determines how many hours you work conditional on participating in the labor market, and a selection equation which determines the probability of working positive hours. Our empirical specification allows for fixed effects that correspond to different Pareto weights for the agents. Our dataset, an unusually long panel survey spanning over 160 months conducted in 16 villages in Thailand, allows us to deal with these fixed effects. Our results lead us to reject the null of full risk sharing since non-labor income has a significant negative effect on participation. In most specifications it also has a significant but small negative effect on hours worked conditional on participation. In light of these results we reject the null of full risk sharing.
Thesis: S.M., Massachusetts Institute of Technology, Department of Economics, 2015.; Cataloged from PDF version of thesis.; Includes bibliographical references (page 16).
2015-01-01T00:00:00ZPredicting minimum savings in Thai villages
http://hdl.handle.net/1721.1/101519
Predicting minimum savings in Thai villages
Sripakdeevong, Parit
Amador Werning Angeletos (2006) characterize the conditions under which optimal saving/ consumption decision are determined by a minimum savings policy. I test this model empirically against data from the Townsend Thai Monthly Survey. Each household's income distribution, measure of risk aversion. and hyperbolic discount rate are estimated and then inputted into the model. In the overall sample., the minimum saving value as predicted by the model does register a statistically signficant relationship with the actual amount saved by the household. This is expected. since minimum saving policy is not optimal for all households. Limiting the sample to the appopriate subgroup produces a strong positive correlation.
Thesis: S.M., Massachusetts Institute of Technology, Department of Economics, 2015.; Cataloged from PDF version of thesis.; Includes bibliographical references (page 19).
2015-01-01T00:00:00ZEssays on macroeconomics and contract theory
http://hdl.handle.net/1721.1/101518
Essays on macroeconomics and contract theory
Passadore, Juan (Juan Francisco Passadore Figueroa)
This thesis studies how contracting frictions affect the outcomes that the public sector or individual agents can achieve. The focus is on situations where the government or the agent lacks commitment on its future actions. Chapter 1, joint work with Juan Xandri, proposes a method to deal with equilibrium multiplicity in dynamic policy games. In order to do so, we characterize outcomes that are consistent with a subgame perfect equilibrium conditional on the observed history. We focus on a model of sovereign debt, although our methodology applies to other settings, such as models of capital taxation or monetary policy. As a starting point, we show that the Eaton and Gersovitz (1981) model features multiple equilibria-indeed, multiple Markov equilibria-when debt is sufficiently constrained. We focus on predictions for bond yields or prices. We show that the highest bond price is independent of the history, while the lowest is strictly positive and does depend on past play. We show that previous period play is a sufficient statistic for the set of bond prices. The lower bound on bond prices rises when the government avoids default under duress. Chapter 2, joint work with Yu Xu, studies debt policy of emerging economies accounting for credit and liquidity risk. To account for credit risk we study an incomplete markets model with limited commitment and exogenous costs of default following the quantitative literature of sovereign debt. To account for liquidity risk, we introduce search frictions in the market for sovereign bonds. In our model, default and liquidity will be jointly determined. This permits us to structurally decompose spreads into a credit and liquidity component. To evaluate the quantitative performance of the model we perform a calibration exercise using data for Argentina. We find that introducing liquidity risk does not harm the overall performance of the model in matching key moments of the data (mean debt to GDP, mean sovereign spread and volatility of sovereign spread). At the same time, the model endogenously generates bid ask spreads, that can match those for Argentinean bonds in the period of analysis. Regarding the structural decomposition, we find that the liquidity component can explain up to 50 percent of the sovereign spread during bad times; when the sovereign is not close to default, the liquidity component is negligible. Finally, regarding business cycle properties, the model matches key moments in the data. Chapter 3, studies the implications of reputation on equilibrium multiplicity in a model of sovereign debt. These models can exhibit multiple equilibria. In the worst equilibrium the government is in autarky. However, in reality, we do not observe the autarkic solution. Motivated by an apparent disconnection between theory and reality, I characterize a lower bound on the utility that the government can obtain for any positive probability that the government is from a commitment type that always repays debts. Chapter 4, joint with Ignacio Presno, studies the optimal risk sharing contract between a risk neutral money lender and an agent that faces Knightian uncertainty about the distribution of her endowment and cannot commit on future transfers. We find that in the optimal contract model uncertainty contributes to increase consumption of the agent over time independently of which shocks have been realized. This differs qualitatively from the case without Knigthian uncertainty.
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2015.; Cataloged from PDF version of thesis.; Includes bibliographical references (pages 123-129).
2015-01-01T00:00:00ZEssays in bargaining and auction theory
http://hdl.handle.net/1721.1/101517
Essays in bargaining and auction theory
Tsoy, Anton
This dissertation consists of three chapters. Chapter 1 studies an infinite-horizon bilateral bargaining model with alternating offers and private correlated values. I characterize frequent-offer limits of common screening equilibria in which both parties make offers to screen the opponent's type, and all types of either party follow the same path of offers. Even in the limit when the correlation of values is nearly perfect, common screening equilibria exhibit two-sided screening dynamics and involve inefficient delay in contrast to the unique equilibrium outcome of the complete-information bargaining game. Segmentation equilibria, in which types partially separate themselves into segments by the initial offer, are also constructed. Most of the types in the segments trade in the first rounds, while types near the boundaries of the segments delay trade to convince the opponent that they belong to a segment with more favorable terms of trade. Segmentation equilibria are efficient in the limit as the correlation of values becomes nearly perfect, and establish the connection between the limit outcome of nearly perfect correlation and the complete information outcome. The model sheds light on the relative importance of various sources of inefficiency for different levels of correlation, the role of public and private information in bargaining, and the robustness of the complete information bargaining model to higher-order uncertainty about values. In Chapter 2, I analyze two frictions that are central to determine prices, liquidity, and efficiency in over-the-counter markets: the search friction reflected in how long it takes to find a trading opportunity and the bargaining friction reflected in how promptly gains from trade are realized once the opportunity is identified. Chapter 2 captures both frictions by introducing an asset-specific trade delay into a standard search-and-bargaining model. For both exogenous and endogenous specifications of delay, the set of traded assets and the dependence of asset prices and spreads on default risk, liquidity, and market conditions are determined in equilibrium. The proposed model with endogenous delay has several implications. First, it offers a novel testable prediction: for assets within the same credit rating class, the liquidity is U-shaped in quality. Assets closer to the extremes of the quality range are more liquid, while assets in the middle of the quality range may be not traded at all. This is in contrast with a monotone relation in models with asymmetric information. Second, this model shows that the reduction in search and bargaining frictions may have opposite effects on market liquidity which is reflected in the range of traded assets. Finally, it establishes a connection between market uncertainty about the asset payoff and market liquidity. This link sheds light on the role of transparency in over-the-counter markets and explains the occurrence of dried-up liquidity and flights-to-quality during periods of increased market uncertainty. Chapter 3 studies efficient and optimal auction design where bidders do not know their values and solicit advice from informed but biased advisors via a cheap-talk game. When advisors are biased toward overbidding, we characterize efficient equilibria of static auctions and equilibria of the English auction under the NITS condition (Chen, Kartik and Sobel (2008)). In static auctions, advisors transmit a coarsening of their information and a version of the revenue equivalence holds. In contrast, in the English auction, information is transmitted perfectly from types in the bottom of the distribution, and pooling happens only at the top. Under NITS, any equilibrium of the English auction dominates any efficient equilibrium of any static auction in terms of both efficiency and the seller's revenue. The distinguishing feature of the English auction is that information can be transmitted over time and bidders cannot submit bids below the current price of the auction. This results in a higher efficiency due to better information transmission and allows the seller to extract additional profits from the overbidding bias of advisors. When advisors are biased toward underbdding; there is an equilibrium of Dutch auction that is more efficient than any efficient equilibrium of any static auction, however, it can bring lower expected revenue.
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2015.; Cataloged from PDF version of thesis.; Includes bibliographical references.
2015-01-01T00:00:00Z