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159
Selection into and across Credit Contracts: Theory and Field Research." Mimeo
, 2003
"... Various theories make predictions about the relative advantages of individual loans versus joint liability loans. If we imagine that lenders facing moral hazard make relative performance comparisons in determining stringency in repayment, then individual loans should vary positively with covariance ..."
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Various theories make predictions about the relative advantages of individual loans versus joint liability loans. If we imagine that lenders facing moral hazard make relative performance comparisons in determining stringency in repayment, then individual loans should vary positively with covariance of output across funded projects. Relatively new work also highlights inequality and heterogeneity in preferences, establishing that wealth of the agents relative to the bank, and wealth dispersion among potential joint liability partners, are important factors determining the likelihood of the joint liability regime. An alternative imperfect information model also addresses the question of which agents will accept a group contract and borrow and which will pursue outside options. We attempt to test these various models using relatively rich data gathered in field research in Thailand, measuring not only the presence of joint liability versus individual loans, but also measuring various of the key variables suggested by these theories. As predicted by one of the theories, the prevalence of joint liability contracts relative to individual contracts exhibits a Ushaped relationship with the wealth of
The dynamics of efficient asset trading with Heterogeneous Beliefs
 J. ECON. THEORY
, 2010
"... ..."
An Equilibrium Existence Theorem
 Journal of Mathematical Analysis and Applications
, 1981
"... Bewley 14, Theorem l] proved an infinite dimensional equilibrium existence theorem which is a significant extension of the classical finite dimensional theorem of Arrow and Debreu [ 11. The assumptions on technology and preferences are natural and applicable in a wide variety of cases. The proof is ..."
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Bewley 14, Theorem l] proved an infinite dimensional equilibrium existence theorem which is a significant extension of the classical finite dimensional theorem of Arrow and Debreu [ 11. The assumptions on technology and preferences are natural and applicable in a wide variety of cases. The proof is based on a limit argument that makes direct use of the existence of equilibrium in the finite dimensional case. This paper establishes the existence of equilibrium under assumptions which are essentially the same as those given by Bewley, with the additional assumption that the preference orderings of consumers are representable by real valued utility functions. This approach is related to the welfare approach of Negishi [9] and Arrow and Hahn [2, Chap. 51 in the finite dimensional case and simplifies the approach originally adopted by Bewley [5]. In addition to making clear the role played by each of the assumptions in establishing the existence of equilibrium, this approach has the merit of constructing directly a certain real valued function that is maximised at an equilibrium, a result that provides a powerful tool in the analysis of qualitative properties of an equilibrium. A model of resource allocation in continuous time over an infinite horizon that may be viewed as an application of the model that follows is given in
A Simple Decentralized Institution for Learning Competitive Equilibrium. Discussion Paper
, 2004
"... The epsilonintelligent competitive equilibrium algorithm is a decentralized alternative to Walras ’ tatonnement procedure for markets to arrive at competitive equilibrium. We build on the GodeSpearSunder zerointelligent algorithm in which random generation of bids and offers from agents ’ welfare ..."
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The epsilonintelligent competitive equilibrium algorithm is a decentralized alternative to Walras ’ tatonnement procedure for markets to arrive at competitive equilibrium. We build on the GodeSpearSunder zerointelligent algorithm in which random generation of bids and offers from agents ’ welfareenhancing opportunity sets generates Pareto optimal allocations in a pure exchange economy. We permit agents to know if they are subsidizing others at such allocations, and to veto such allocations, restricting the subsequent iterations of the algorithm only to those trades that are both Paretoimproving and provide strictly greater wealth, and ultimately utility, for such agents. In this simple institution actions of minimally intelligent agents based on local information can lead the market to approximate competitive equilibrium in a larger set of economies than the tatonnement process would allow. This helps address one of the major shortcomings of the ArrowDebreuMcKenzie model with respect to the instability of tatonnement in anopensetofeconomies. Italso addresses the behavioral critique of mathematically derived equilibria for the inability of cognitivelylimited humans to maximize. The proof of convergence of the algorithm presented here also provides a way of showing the existence of competitive equilibrium for monotonic, convex exchange economies with heterogeneous agents and many goods without application of a fixedpoint theorem.
Pricing Infinite Horizon Programs *
"... This paper continues the earlier studies [ 17, 181 whose object was to develop an abstract framework for the analysis of problems of resource allocation in continuous time over an infinite horizon. These papers gave conditions on the preferences and technology sufficient to guarantee the ..."
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This paper continues the earlier studies [ 17, 181 whose object was to develop an abstract framework for the analysis of problems of resource allocation in continuous time over an infinite horizon. These papers gave conditions on the preferences and technology sufficient to guarantee the
Equilibrium allocation of variable resources for elastic traffics
 In Proceedings of the IEEE INFOCOM
, 1998
"... Abstract — Consider a set of connections sharing a network node under an allocation scheme that provides each connection with a fixed minimum and a random extra amount of bandwidth and buffer. Allocations and prices are adjusted to adapt to resource availability y and user demands. We consider two ..."
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Abstract — Consider a set of connections sharing a network node under an allocation scheme that provides each connection with a fixed minimum and a random extra amount of bandwidth and buffer. Allocations and prices are adjusted to adapt to resource availability y and user demands. We consider two scenarios of user behavior. In the first scenario a connection purchases an allocation to maximize its expected utility in such a way that the resource cost of the new allocation, and hence its connection charge, remains the same as that for the old allocation. In the second scenario this budget constraint is relaxed and a connection tries to maximize its benefit, expected utility minus the resource cost. Equilibrium is achieved when all connections ach]eve their optimality and demand equals supply for nonfree resources. We show that at equilibrium expected return on purchasing variable resources can be higher than that on fixed resources. Thus connections must balance the marginal increase in utility due to higher return on variable resources and the marginal decrease in utility due to their variability. We further show that in equilibrium where such tradeoff is optimized all connections hold strictly positive amounts of variable bandwidth and bufer. I.
Computation of Equilibria in OLG Models with Many Heterogeneous Households
, 2007
"... This paper develops a decomposition algorithm by which a market economy with many households may be solved through the computation of equilibria for a sequence of representative agent economies. The paper examines local and global convergence properties of the sequential recalibration (SR) algorith ..."
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This paper develops a decomposition algorithm by which a market economy with many households may be solved through the computation of equilibria for a sequence of representative agent economies. The paper examines local and global convergence properties of the sequential recalibration (SR) algorithm. SR is then demonstrated to efficiently solve AuerbachKotlikoff OLG models with a large number of heterogeneous households. We approximate equilibria in OLG models by solving a sequence of related Ramsey optimal growth problems. This approach can provide improvements in both efficiency and robustness as compared with simultaneous solution methods.
Learning competitive equilibrium
, 2008
"... We consider a pure exchange economy repeated from a fixed endowment for an indefinite number of periods and posit a learning rule which directs convergence to competitive equilibrium. In each period trade converges to an allocation in the contract set, where agents interpret the current (common) nor ..."
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We consider a pure exchange economy repeated from a fixed endowment for an indefinite number of periods and posit a learning rule which directs convergence to competitive equilibrium. In each period trade converges to an allocation in the contract set, where agents interpret the current (common) normalized utility gradient as a vector of prices to determine the implied wealth redistribution relative to their endowments. Agents who are less wealthy at the new allocation are designated subsidizers, and demand to provide smaller subsidies in subsequent periods of economic activity. Our model is a globally stable alternative to Walras’ tâtonnement.
MONETARY AND MACROPRUDENTIAL POLICIES
, 1449
"... publications feature a motif taken from the €50 banknote. NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily refl ect those of the ECB. Macroprudential Research Network This ..."
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publications feature a motif taken from the €50 banknote. NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily refl ect those of the ECB. Macroprudential Research Network This paper presents research conducted within the Macroprudential Research Network (MaRs). The network is composed of economists from the European System of Central Banks (ESCB), i.e. the 27 national central banks of the European Union (EU) and the European Central Bank. The objective of MaRs is to develop core conceptual frameworks, models and/or tools supporting macroprudential supervision in the EU. The research is carried out in three work streams: 1. Macrofinancial models linking financial stability and the performance of the economy; 2. Early warning systems and systemic risk indicators; 3. Assessing contagion risks.
Equilibrium Portfolios and External Adjustment under Incomplete Markets ∗
, 2008
"... Recent evidence on the importance of crossborder equity flows calls for a rethinking of the standard theory of external adjustment. We introduce equity holdings and portfolio choice into an otherwise conventional openeconomy dynamic equilibrium model. Our model is simple and it admits an exact clo ..."
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Recent evidence on the importance of crossborder equity flows calls for a rethinking of the standard theory of external adjustment. We introduce equity holdings and portfolio choice into an otherwise conventional openeconomy dynamic equilibrium model. Our model is simple and it admits an exact closedform solution regardless of whether financial markets are complete or incomplete. We derive a necessary and sufficient condition under which the current account is different from zero and shed light on the relationship between market incompleteness and the current account dynamics. Furthermore, we revisit the current debate on the relative importance of the standard vs. the capitalgainsbased (or “valuation”) channels of the external adjustment and establish that in our framework they are congruent. We demonstrate how countries ’ portfolio compositions affect the dynamics of their external accounts and argue that a description of the international adjustment mechanism is incomplete if it does not encompass portfolio choice.