infonet-economy

Both biosociological and psychological models, as well as animal research, suggest that testosterone has a key role in social interactions. Evidence from animal studies in rodents shows that testosterone causes aggressive behaviour towards conspecifics. Folk wisdom generalizes and adapts these findings to humans, suggesting that testosterone induces antisocial, egoistic, or even...

In this paper, we empirically evaluate competing approaches for combining inflation density forecasts in terms of Kullback–Leibler divergence. In particular, we apply a similar suite of models to four different datasets and aim at identifying combination methods that perform well throughout different series and variations of the model suite. We pool individual densities using linear...

This paper analyzes small sample properties of several versions of z-tests in multinomial probit
models under simulated maximum likelihood estimation. OurMonte Carlo experiments show
that z-tests on utility function coefficients provide more robust results than z-tests on variance
covariance parameters. As expected, both the number of observations and the number of...

This paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies two stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative...

In this paper, we examine non-parametric restrictions on counterfactual analysis in a dynamic stochastic general equilibrium model. Under the assumption of time-separable expected utility and complete markets all equilibria in this model are stationary. The Arrow-Debreu prices uniquely reveal the probabilities and discount factor. The equilibrium correspondence, defined as the map...

We build a model of credit card pricing that explicitly takes into account credit functionality. In the model a monopoly card network always selects an interchange fee that exceeds the level that maximizes consumer surplus. If regulators only care about consumer surplus, a conservative regulatory approach is to cap interchange fees based on retailers’ net avoided costs from not...

We consider a repeated stochastic coordination game with imperfect public monitoring. In the game any pattern of coordinated play is a perfect Bayesian Nash equilibrium. Moreover, standard equilibrium selection arguments either have no bite or they select an equilibrium that is not observed in actual plays of the game. We give experimental evidence for a unique equilibrium selection...