bulls bears and market sheep abstract a deterministic excess demand model of stock market behavior is presented that generates stochastically fluctuating prices and randomly switching bear and bull markets

state dependence and heterogeneity in fishing location choice to explore the distinction between state dependence and heterogeneity in repeated decisions this paper combines a mixed logit model with a state dependence parameterization from the marketing literature to study fishing location choices of commercial sea urchin divers in california it examines implications of ignoring either effect and finds in all cases that true state dependence is an important determinant of location choice consequently spatial policies like marine reserves can lead to differences in the short and long run behavioral responses of the fishing fleet under some specifications random preference parameters are statistically significant when state dependence is excluded from the model but when it is included random preference parameters are not significant in other specifications including state dependence only dampens the variability in preference parameters these results highlight the importance of gathering and analyzing diary type data for commercial fisheries as well as for similar choice problems in recreation demand

household electricity demand revisited respond to price changes this paper develops a model for evaluating the effects of alternative tariff designs on electricity use the model concurrently addresses several interrelated difficulties posed by nonlinear pricing heterogeneity in consumer price sensitivity and consumption aggregation over appliances and time we estimate the model using extensive data for a representative sample of 1300 california households the results imply a strikingly skewed distribution of household electricity price elasticities in the population with a small fraction of households accounting for most aggregate demand response we then estimate the aggregate and distributional consequences of recent tariff structure changes recent efforts to restructure electricity markets have renewed interest in electricity demand and pricing this interest reflects a broad desire to improve the efficiency of electricity markets and policy makers concerns over the impact of price changes on consumers how new pricing mechanisms would affect households consumption and expenditures is a matter of considerable uncertainty however this uncertainty has provoked controversy and debate in the regulatory policy arena hampering market reforms using econometric methods to assess the effects of electricity price changes presents several challenges these include the nonlinear structure of tariff schedules aggregation of metered consumption behaviour over time and appliances and the interdependence of energy use with longer term household decisions over appliance ownership and dwelling characteristics the first two issues introduce complex simultaneity problems between marginal prices and consumption the third issue imposes high data requirements information on household specific appliance holdings and residence features and creates heterogeneity in consumption responses related to the characteristics of these durable goods when the researcher s objective is to develop a model for simulating the effects of prospective tariff changes ignoring these issues will provide an incomplete assessment of demand responses and potentially misleading predictions of a new tariff s consumption and revenue consequences in this paper we estimate a model of household electricity demand that can be used

ants rationality and recruitment this paper offers an explanation of behavior that puzzled entomologists and economists ants faced with two identical food sources were observed to concentrate more on one of these but after a period they would turn their attention to the other the same phenomenon has been observed in humans choosing between restaurants after discussing the nature of foraging and recruitment behavior in ants a simple model of stochastic recruitment is suggested this explains the herding and epidemics described in the literature on financial markets as corresponding to the equilibrium distribution of a stochastic process rather than to switching between multiple equilibria

a comparison of economic agent based model calibration methods abstract despite significant expansion in recent years the literature on quantitative and data driven approaches to economic agent based model validation and calibration consists primarily of studies that have focused on the introduction of new calibration methods that are neither benchmarked against existing alternatives nor rigorously tested in terms of the quality of the estimates they produce in response we compare a number of prominent agent based model calibration methods both established and novel through a series of computational experiments in an attempt to determine the respective strengths and weaknesses of each approach overall we find that a simple likelihood based approach to bayesian estimation consistently outperforms several members of the more popular class of simulated minimum distance methods and results in reasonable parameter estimates in many contexts with a degradation in performance observed only when considering a large scale model and attempting to fit a substantial number of its parameters

measuring climatic impacts on energy consumption a review of the empirical literature abstract this paper reviews the literature on the relationship between climate and the energy sector in particular we primarily discuss empirical papers published in peer reviewed economics journals focusing on how climate affects energy expenditures and consumption climate will affect energy consumption by changing how consumers respond to short run weather shocks the intensive margin as well as how people will adapt in the long run the extensive margin along the intensive margin further research that uses household and firm level panel data of energy consumption may help identify how energy consumers around the world respond to weather shocks research on technology adoption e g air conditioners will further our understanding of the extensive margin adjustments and their costs we also note that most of the literature focuses on the residential sector similar studies are urgently needed for the industrial and commercial sectors

what do entrepreneurs pay for venture capital affiliation this study empirically evaluates the certification and value added roles of reputable venture capitalists vcs using a novel sample of entrepreneurial start ups with multiple financing offers i analyze financing offers made by competing vcs at the first professional round of start up funding holding characteristics of the start up fixed offers made by vcs with a high reputation are three times more likely to be accepted and high reputation vcs acquire start up equity at a 10 14 discount the evidence suggests that vcs extra financial value may be more distinctive than their functionally equivalent financial capital these extra financial services can have financial consequences a central issue for early stage high tech entrepreneurs is obtaining external resources when the assets of their start up are intangible and knowledge based particularly for entrepreneurs without an established reputation convincing external resource providers such as venture capitalists vcs to provide financial capital may be challenging the literature contains two main lines of research for overcoming this problem one research stream has concentrated on designing institutional structures to permit financing early stage ventures this contractual and monitoring based approach is aimed at solving potential agency problems between investors and entrepreneurs e g admati and pfleiderer 1994 lerner 1995 hellmann 1998 and kaplan and str omberg 2001 2002 2003 a second research stream has suggested that when the quality of a start up cannot be directly observed external actors rely on the quality of the start up s affiliates as a signal of the start up s own quality

energy efficiency programs in the context of increasing block tariffs the case of residential electricity in mexico increasing block pricing schemes represent difficulties for applied researchers who try to recover demand parameters in particular price and income elasticities the mexican residential electricity tariff structure is amongst the most intricate around the globe in this paper we estimate the residential electricity demand and use the corresponding structural parameter estimates to simulate an energy efficiency improvement scenario as suggested by the energy transition law of december 2015 the simulated program consists of a massive replacement of electric appliances air conditioners fans refrigerators washing machines and light bulbs for more energy efficient units the main empirical findings are the following overall residential electricity consumption decreases 8 9 and the associated expenditure falls 11 1 additionally the electricity subsidy decreases 360 million of usd per year and there is an annual cut in co2 emissions of 3 5 million of tons

subjective and objective measures of governmental regulations in oecd nations abstract since government regulations may have an important impact on the macroeconomic performance of market economies it is necessary to devise quantitative indicators of the regulatory regime which raises some difficult methodological issues after reviewing some of these problems we compare the results of several recent quantitative studies of regulation in oecd nations some based on an extensive review and quantification of laws and regulations others based on observational data of those familiar with these regulations despite their very different methodologies and coverage of particular types of governmental regulation the results of the three studies are significantly correlated which suggests that they all capture the same underlying reality

distributional and efficiency impacts of increased us gasoline taxes we examine the impacts of increased us gasoline taxes in a model that links the markets for new used and scrapped vehicles and recognizes the consider able heterogeneity among households and cars household choice parameters derive from an estimation procedure that integrates individual choices for car ownership and miles traveled we find that each cent per gallon increase in the price of gasoline reduces the equilibrium gasoline consumption by about 0 2

the demand for energy using assets among the world s rising middle classes we study household decisions to acquire energy using assets in the presence of rising incomes we develop a theoretical framework to characterize the effect of income growth on asset purchases when consumers face credit constraints we use large and plausibly exogenous shocks to household income generated by the conditional cash transfer program in mexico oportunidades to show that asset acquisition is nonlinear depends as predicted in the presence of credit constraints on the pace of income growth and both effects are economically large among beneficiaries our results may help explain important worldwide trends in the relationship between energy use and income growth

consumer myopia imperfect competition and the energy efficiency gap evidence from the uk refrigerator market abstract the empirical literature on the energy efficiency gap concentrates on demand inefficiencies in the energy using durables markets and finds evidence that consumers underestimate future energy costs when purchasing a new appliance we take a broader view and also consider the impact of imperfect competition using data on the uk refrigerator market 2002 2007 we find that the average energy consumption of appliances sold during this period was only 7 2 higher than what would have been observed under a scenario with a perfectly competitive market and non myopic consumers one reason for this small gap is that market power actually reduces energy use

estimation of financial agent based models with simulated maximum likelihood abstract this paper proposes a general computational framework for empirical estimation of financial agent based models for which criterion functions have unknown analytical form for this purpose we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel methods in combination with the model developed by brock and hommes 1998 which is one of the most widely analysed heterogeneous agent models in the literature we extensively test the properties and behaviour of the estimation framework as well as its ability to recover parameters consistently and efficiently using simulations key empirical findings indicate the statistical insignificance of the switching coefficient but markedly significant belief parameters that define heterogeneous trading regimes with a predominance of trend following over contrarian strategies in addition we document a slight proportional dominance of fundamentalists over trend following chartists in major world markets

the economics of controlling stock pollutants an efficient strategy for greenhouse gases abstract optimal control theory is applied to develop an efficient strategy to control stock pollutants such as greenhouse gases and hazardous waste the optimal strategy suggests that at any time the marginal costs of abatement should be equated with the present value of the marginal damage of timely unabated emission the optimal strategy calls for increasingly light abatement over time as the pollutant stock accumulates the optimal policy applied to greenhouse gases suggests moderate abatement efforts at present with the potential for much greater future efforts

is energy efficiency capitalized into home prices evidence from three u s cities abstract we test for evidence that energy efficiency features are capitalized into home prices in three u s metropolitan areas using hedonic regressions and multiple matching procedures we find that energy star certification is associated with higher sales prices in two of the markets the research triangle region of north carolina and portland oregon we find that local green certifications in portland and in austin texas are also associated with higher prices and that the estimated price impacts are larger than those from energy star matching on observables proves to be important in some cases reducing the estimated impacts compared with models without matching we calculate the implied energy savings from the estimated premiums and find that in the research triangle market the energy star premiums approximately equal the savings that program is designed to achieve but in portland the premiums are slightly greater than the program s savings due to low energy costs in the region

structural stochastic volatility in asset pricing dynamics estimation and model contest abstract in the framework of small scale agent based financial market models the paper starts out from the concept of structural stochastic volatility which derives from different noise levels in the demand of fundamentalists and chartists and the time varying market shares of the two groups it advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments msms where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index in addition to the standard version of msm with a quadratic loss function we also take into account how often a great number of monte carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals the model contest along these lines reveals a strong role for a tamed herding component the quantitative performance of the winner model is so good that it may provide a standard for future research

climate change adaptation a study of fuel choice and consumption in the us energy sector abstract using cross sectional data this paper estimates a national energy model of fuel choice by both households and firms consumers in warmer locations rely relatively more heavily on electricity rather than natural gas oil and other fuels they also use more energy climate change will likely increase electricity consumption on cooling but reduce the use of other fuels for heating on net american energy expenditures will likely increase resulting in welfare damages that increase as temperatures rise for example if the us warms by 5 c by 2100 we predict annual welfare losses of 57 billion

dynamic incentives of environmental regulations the effects of alternative policy instruments on technology diffusion abstract we develop a framework for comparing empirically the effects of alternative environmental policy instruments on the diffusion of new technology market based and command and control approaches can he quantitatively compared by estimating the economic penalty that firms through their actions reveal to be associated with violation of standards in the context of concerns about global climate change we empirically examine the likely effects of pigouvian taxes technology adoption subsidies and technology standards we employ state level data on the diffusion of thermal insulation in new home construction comparing the effects of energy prices insulation cost and building codes

euro area inflation persistence in an estimated nonlinear dsge model abstract we estimate the approximate non linear solution of a small dsge model on euro area data using the conditional particle filter to compute the model likelihood our results are consistent with previous findings based on simulated data suggesting that this approach delivers sharper inference compared to the estimation of the linearised model we also show that the non linear model can account for richer economic dynamics the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample

a theory of the syndicate form follows function we relate the organizational form of investment banking syndicates to moral hazard in team production although syndicates are dissolved upon deal completion membership stability across deals represents a barrier to entry that enables the capture of quasi rents this improves incentives for individual bankers to cultivate investor relationships that translate into greater expected proceeds reputational concerns of lead bankers amplify the effect we derive conditions under which restricted entry and designation of a lead banker strictly pareto dominate in which case it is also strictly pareto dominant for the syndicate s fee to be greater than members cost of participation copyright the american finance association 2001

demand for differentiated durable products the case of the u s computer printer market i introduction this paper aims to provide a theoretical and empirical description of consumer behavior in a dynamic market for differentiated durable goods the computer hardware industry serves as an example of the type of market we consider markets for computer systems and components as well as for many other high technology products exhibit some striking similarities that are of particular concern for an empirical economist as follows products are differentiated in multiple dimensions in addition to price products are durable yielding consumption services over multiple periods product quality rapidly improves over time empirical work on estimating differentiated product demand systems has been dominated by static discrete choice models with random utility see berry levinsohn and pakes 1995 goldberg 1995 and nevo 2001 among others however markets for durable goods exhibit several features at odds with their assumption of myopic consumer behavior first traditional static discrete choice models implicitly assume that consumers participate in the market every period choosing one of the available products or an outside option thus the fraction of consumers who do not buy any product in a given period could only be explained by the high value they assign to the outside alternative for durable goods however purchases are made infrequently and result in a consumer s exiting the market for a significant period of time hence the model needs to account for consumers outflow from the market arising from their purchase decisions second a static framework may give a misleading picture of the aggregate sales time pattern in a dynamic industry in many markets for durable products it is not uncommon to see rapidly improving product quality and falling prices given any reasonable set of consumer preferences over the product characteristics space static discrete choice models for such an industry will tend to predict an upward trend in aggregate sales this fails to account for a variety of patterns commonly seen in the data third the evolution of product quality leads to the possibility of intertemporal demand substitution by forgoing a current purchase the consumer retains the option to buy a potentially better product in the future hence the decision of when to buy may be just as important for consumers as the decision of what to buy this trade off cannot be accounted for in the static framework the purpose of this paper is to remedy these shortcomings of static discrete choice models in durable goods markets with particular attention paid to technological change and the dynamics of new products adoption the paper presents a dynamic model of consumer demand for differentiated durable products that explicitly accounts for consumers expectations of future product quality and consumers outflow from the market that arises endogenously from their purchase decisions in this model the consumer faces a sequence of static discrete choice problems over a non stationary choice set we show that for a subclass of random utility models which include the multinomial logit and the mcfadden 1978 generalized extreme value gev model there exists a scalar valued sufficient statistic that determines the value of the option to postpone the purchase this allows us to model industry evolution over a vastly reduced state space and to formalize the consumer s decision of when to buy as an optimal stopping problem a solution to that problem defines the hazard rate of product adoptions while the nested discrete choice model determines the alternative specific purchase probabilities integrating individual decisions over the population distribution generates rich dynamics of aggregate and product level sales the paper proceeds to present monte carlo evidence that ignoring the time dimension of consumer choice will induce a downward bias in the estimates of consumer preferences over quality sometimes reversing the sign of the coefficients

robust financial contracting and the role of venture capitalists we derive a role for inside investors such as venture capitalists in resolving various agency problems that arise in a multistage financial contracting problem absent an inside investor the choice of securities is unlikely to reveal all private information and overinvestment may occur an inside investor however always makes optimal investment decisions if and only if he holds a fixed fraction contract where he always receives a fixed fraction of the project s payoff and finances that same fraction of future investments this contract also eliminates any incentives of the venture capitalist to misprice securities issued in later financing rounds in this article we develop a model of financial contracting with multiple investment decisions and show how conflicts of interest and informational asymmetries can be effectively resolved by an inside investor i e an investor who not only provides capital but also works closely with the firm monitors it frequently and is generally very well informed about the firm s prospects and investment opportunities venture capitalists are obvious examples of inside investors and their function has been an important motivation for this article banks especially in japan and germany are also involved in monitoring and can be viewed as playing the role of inside investors in this article we examine the potential benefits of inside investors in a context where there are no restrictions beyond limited liability on the type of financial contracts that can be written we address a basic financial contracting problem involving an entrepreneur who has an idea for a project but does not have sufficient capital to fund it an important assumption is that there are several stages in the project s development and that a decision must be made at each stage whether the project should be continued or abandoned if the project is continued the amount of additional capital to be invested must also be determined we assume that the entrepreneur as an insider observes private information about the project s profitability at each stage this information is not

towards understanding the role of price in residential electricity choices evidence from a natural experiment abstract we examine a choice setting in which residential electricity consumers may respond to non financial incentives in addition to prices using data from a natural field experiment that exposed some households to a change in their electricity rates we find that households reduced electricity usage in response to a contemporaneous decrease in electricity prices this provides clear evidence that other factors potentially encompassing non monetary and dynamic considerations can influence consumer choice and even dominate the static price response in some cases a comprehensive understanding of household behavior in energy markets is essential for the effective implementation of market based energy and environmental policies the documentation of our result and others like it is a necessary step in achieving such an understanding

the influence of regulations on innovation a quantitative assessment for oecd countries abstract regulatory framework conditions have been identified as important factors influencing the innovation activities of companies industries and whole economies however in the empirical literature the impacts of regulation have been assessed as rather ambivalent for innovation different types of regulations generate various impacts and even a single type of regulation can influence innovation in various ways depending on how the regulation is implemented the endogenous growth approach developed by carlin and soskice 2006 and empirically applied by crafts 2006 which determines endogenously the rate of technological progress and therefore innovation allows a conceptual analysis of the influence of different types of regulation on innovation in general the negative effect of compliance costs should be compared with the more dynamic effect of regulations generating additional incentives for innovative activities based on this approach we derive hypotheses on the impact of different specific regulations on innovation we differentiate between economic social and institutional regulations following the oecd taxonomy on regulations existing economic analyses are surveyed which are characterised by rather heterogeneous approaches data bases and results the paper aims to apply a comprehensive and comparative approach to investigate quantitatively the innovation impacts in 21 oecd countries using panel data for the period between 1998 and 2004 in summary the empirical results confirm the hypotheses derived from the conceptual theoretical framework determining technical progress and innovation endogenously and allowing a distinction between short term and long term effects consequently the theoretical approach is an appropriate starting point for the empirical analysis of the influence of different regulations on innovation

knowledge is less power experimental evidence from residential energy use abstract imperfect information about product attributes inhibits efficiency in many choice settings but can be overcome by providing simple low cost information we use a randomized control trial to test the effect of high frequency information about residential electricity usage on the price elasticity of demand informed households are three standard deviations more responsive to temporary price increases an effect that is not attributable to price salience conservation extends beyond pricing events in the short and medium run providing evidence of habit formation and implying that the intervention leads to greenhouse gas abatement survey evidence suggests that information facilitates learning jel d12 d83 l11 l94 q41 q54

the economics of private equity funds this article analyzes the economics of the private equity industry using a novel model and dataset we obtain data from a large investor in private equity funds with detailed records on 238 funds raised between 1993 and 2006 we build a model to estimate the expected revenue to managers as a function of their investor contracts and we test how this estimated revenue varies across the characteristics of our sample funds among our sample funds about two thirds of expected revenue comes from fixed revenue components that are not sensitive to performance we find sharp differences between venture capital vc and buyout bo funds bo managers build on their prior experience by increasing the size of their funds faster than vc managers do this leads to significantly higher revenue per partner and per professional in later bo funds the results suggest that the bo business is more scalable than the vc business and that past success has a differential impact on the terms of their future funds jel g10 g20 g24

what lures cross border venture capital inflows the change in the business model of venture capitalists from investing locally towards investing across borders started to intensify in the late 1990s according to a dataset of european and north american countries we find that countries with higher expected growth and higher lagged stock market returns receive larger net cross border venture capital inflows thus portfolio companies located in high growth and high return countries receive more venture capital from foreign venture capitalists than these countries venture capitalists invest in foreign portfolio companies also countries with lower stock market capitalizations as well as those with poor tax and legal environments for venture capital intermediation exhibit larger net cross border inflows these findings offer important insights for policy makers since cross border venture capital inflows partly compensate for potential limits in the domestic venture capital supply

price effects of energy efficient technologies a study of residential demand for heating and cooling energy efficient appliances reduce the marginal price of the services they deliver this article shows empirically that such price reductions result in energy savings that are smaller than those engineering techniques generally project using econometric techniques with data from a unique utility experiment and a detailed engineering thermal load model we find that actual conservation is as much as 13 below engineering estimates for cooling and 8 12 below for heating customers who conserve electricity are also persistent their houses are comparatively warmer in summer and cooler in winter

electricity prices and consumers long term technology choices evidence from heating investments abstract this paper studies consumers s sensitivity to energy costs at the moment of making a long term energy technology investment the analysis exploits local variation in regulated electricity distribution prices that are persistent over time and therefore a good measure of long term price expectations price impacts are estimated on extensive administrative registry data of private persons acting as home builders in finland during 2006 2011 the results show that electricity prices notably influence builders choices and that electricity tax increases have induced demand for technologies based on renewable energy the results on the comprehensive set of individual level characteristics reveal that technology choices vary systematically across households current dwelling status and the education level have the strongest influence on the choice probabilities price sensitivity is found to be lower for low income households and to vary by the current dwelling status and type of building location

do energy prices influence investment in energy efficiency evidence from energy star appliances abstract i examine whether electricity prices influence the likelihood that consumers purchase high efficiency appliances by using state year panel data on electricity prices and the proportion of sales of new appliances that involve high efficiency energy star models i find no evidence that electricity prices affect the propensity for consumers to choose high efficiency appliances point estimates are extremely small and precisely estimated the findings suggest that price based energy policies may be limited in the extent to which they increase investment in residential energy efficiency which has been considered one of the lowest cost opportunities for reducing carbon emissions

perception of price when price information is costly evidence from residential electricity demand a bstract residential electricity consumption is an example of a good for which it is costly to determine marginal price since price changes with the quantity purchased according to multistep block rate schedules this paper investigates the effect of the price information problem on consumers price perceptions an alternative hypothesis of average price perception is tested against the marginal price postulate which assumes wellinformed consumers the model which includes a price perception variable allows the estimation of the price to which consumers actually respond the empirical results support the hypothesis that consumers respond to average price perceived from the electricity bill

time variation of higher moments in a financial market with heterogeneous agents an analytical approach a growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets more and more this literature has been concerned with the explanation of some of the stylized facts of financial markets it now seems that some previously mysterious time series characteristics like fat tails of returns and temporal dependence of volatility can be observed in many of these models as macroscopic patterns resulting from the interaction among different groups of speculative traders however most of the available evidence stems from simulation studies of relatively complicated models which do not allow for analytical solutions in this paper this line of research is supplemented by analytical solutions of a simple variant of the seminal herding model introduced by kirman 1993 embedding the herding framework into a simple equilibrium asset pricing model we are able to derive closed form solutions for the time variation of higher moments as well as related quantities of interest enabling us to spell out under what circumstances the model gives rise to realistic behavior of the resulting time series

durable goods and long run electricity demand evidence from air conditioner purchase behavior i estimate a dynamic structural model of demand for air conditioners the most energy intensive home appliance in the us the model explores the links between demand for durable goods and expected changes in key attributes energy efficiency and price i incorporate expectations explicitly as a feature of the choice setting and use parameter estimates from the model to calculate durable good demand elasticities with respect to energy efficiency electricity price and price of the durable itself these estimates fill a large gap in the literature and also shed light on consumer behavior in this setting results indicate that consumers are forward looking and value the stream of future savings derived from energy efficiency

legal framework quality and success of different types of venture capital investments abstract drawing on an analysis of 8 270 companies from 41 countries i explore the relationship between success of venture capital investments and legal frameworks in the investment countries legal framework quality is related to success but the effect varies with the deal type first the significant and positive relationship between legal framework quality and success is more pronounced for domestic deals than for international deals further investigations suggest that international venture capitalists often exit their portfolio companies abroad particularly when these companies are located in countries with inefficient legal frameworks in addition the results lend support to the view that international venture capitalists have a greater experience and reputation second legal framework quality seems to be more important for success in syndicated than in standalone deals this finding supports the view that a sound legal framework may improve the benefit cost balance of syndication while an inefficient legal framework may tend to increase costs in syndicated deals

investor expectations earnings management and asset prices abstract this paper examines the implications of investor expectations for the joint determination of earnings manipulation and asset prices three alternative models of investor expectations are studied constant gain learning regime shifting beliefs and accounting information system ais beliefs i use the simulated method of moments smm to estimate the most plausible model that matches the actual data ais beliefs and regime shifting beliefs are shown to best explain the empirical moments of 63 and 32 of s p 500 firms respectively regression analysis suggests that the three models offer different predictions on the existence and magnitude of several empirical regularities including a positive earnings response coefficient the discretionary accruals anomaly and return momentum

estimation of agent based models using sequential monte carlo methods abstract estimation of agent based models is currently an intense area of research recent contributions have to a large extent resorted to simulation based methods mostly using some form of simulated method of moments estimation smm there is however an entire branch of statistical methods that should appear promising but has to our knowledge never been applied so far to estimate agent based models in economics and finance markov chain monte carlo methods designed for state space models or models with latent variables this latter class of models seems particularly relevant as agent based models typically consist of some latent and some observable variables since not all the characteristics of agents would mostly be observable indeed one might often not only be interested in estimating the parameters of a model but also to infer the time development of some latent variable however agent based models when interpreted as latent variable models would be typically characterized by non linear dynamics and non gaussian fluctuations and thus would require a computational approach to statistical inference here we resort to sequential monte carlo smc estimation based on a particle filter this approach is used here to numerically approximate the conditional densities that enter into the likelihood function of the problem with this approximation we simultaneously obtain parameter estimates and filtered state probabilities for the unobservable variable s that drive s the dynamics of the observable time series in our examples the observable series will be asset returns or prices while the unobservable variables will be some measure of agents aggregate sentiment we apply smc to two selected agent based models of speculative dynamics with somewhat different flavor the empirical application to a selection of financial data includes an explicit comparison of the goodness of fit of both models

a calibration procedure for analyzing stock price dynamics in an agent based framework in this paper we introduce a calibration procedure for validating of agent based models starting from the well known nancial model of brock and hommes 1998 we show how an appropriate calibration enables the model to describe price time series we formulate the cal ibration problem as a nonlinear constrained optimization that can be solved numerically via a gradient based method the calibration re sults show that the simplest version of the brock and hommes model with two trader types fundamentalists and trend followers replicates nicely the price series of four dierent markets indices the s p 500 the euro stoxx 50 the nikkei 225 and the csi 300 we show how the parameter values of the calibrated model are important in interpret ing the trader behavior in the dierent markets investigated these parameters are then used for price forecasting to further improve the forecasting we modify our calibration approach by increasing the trader information set finally we show how this new approach im proves the model s ability to predict market prices

macroeconomic simulation comparison with a multivariate extension of the markov information criterion abstract the paper aims to address the issue of comparing agent based models abms with more traditional var and dsge models by developing a multivariate extension of the markov information criterion mic of barde 2017 the univariate mic measures the informational distance between a simulation model and some empirical data by mapping the simulated data to a markov transition matrix and is proven to provide an unbiased measurement for all models reducible to a markov process as a result the mic can accurately measure distance using only simulated data for a wide class of data generating processes the paper first presents the multivariate extension of the mic and its validation on var and dgse models before carrying the first direct comparison between a macroeconomic abm and a dgse model namely the benchmark abm of caiani et al 2016 and smets and wouters 2007

entrepreneurs and new ideas we study how early stage new ideas are turned into successful businesses even promising ideas can be unprofitable if they fail on one dimension such as technical feasibility correspondence to market demand legality or patentability to screen good ideas the entrepreneur needs to hire experts who evaluate the idea along their dimensions of expertise sharing the idea however creates the risk that the expert would steal it yet the idea thief cannot contact any other expert lest he should in turn steal the idea thus stealing leads to incomplete screening and is unattractive if the information of the other expert is critical and highly complementary in such cases the entrepreneur can form a partnership with the experts thus granting them the advantage of accessing each other s information yet very valuable ideas cannot be shared because it is too tempting to steal them

ipos trade sales and liquidations modelling venture capital exits using survival analysis using a detailed sample made up of more than 20 000 investment rounds we analyze the time to ipo trade sale and liquidation for about 6 000 venture backed firms we model these exit times using competing risks models biotech and internet firms have the fastest ipo exits internet firms are also the fastest to liquidate while biotech firms are however the slowest the conditional probability for ipos are clearly non monotonous with respect to time as time flows venture capital backed firms first exhibit an increased likelihood of exiting to an ipo however after having reached a plateau investments that have not yet exited have fewer and fewer possibilities of ipo exits as time increases the bubble period from 1998 to 2000 was an easy money period where venture capitalists gave much more money to firms many of which did not offer outstanding growth potential as they tended to liquidate much faster than in normal times

strategic decision making with information and extraction externalities a structural model of the multistage investment timing game in offshore petroleum production when individual petroleum producing firms make their exploration and development investment timing decisions positive information externalities and negative extraction externalities may lead them to interact strategically with their neighbors this paper examines whether these inefficient strategic interactions take place by estimating a structural econometric model of the firms multi stage investment timing game results show that firms interact strategically on small tracts but not on large tracts for small tracts having a neighboring tract explored reduces real profits by about 26 million while having a neighboring tract developed raises real profits by about 3 5 million

are consumers myopic evidence from new and used car purchases abstract we investigate whether car buyers are myopic about future fuel costs we estimate the effect of gasoline prices on short run equilibrium prices of cars of different fuel economies we then compare the implied changes in willingness to pay to the associated changes in expected future gasoline costs for cars of different fuel economies in order to calculate implicit discount rates using different assumptions about annual mileage survival rates and demand elasticities we calculate a range of implicit discount rates similar to the range of interest rates paid by car buyers who borrow we interpret this as showing little evidence of consumer myopia jel d12 h25 l11 l62 l71 l81

product differentiation and oligopoly in international markets the case of the u s automobile industry this paper develops and estimates a model of the u s automobile industry on the demand side a discrete choice model is adopted that is estimated using micro data from the consumer expenditure survey the estimation results are used in conjunction with population weights to derive aggregate demand on the supply side the automobile industry is modelled as an oligopoly with product differentiation equilibrium is characterized by the first order conditions of the profit maximizing firms the estimation results are used in counterfactual simulations to investigate two trade policy issues the effects of the ver and exchange rate pass through

economic consequences of the home appliance eco point program in japan a dynamic discrete choice approach this study combined a dynamic discrete choice model for air conditioner replacement decisions with an inter industry model in order to evaluate the economic impact of japan s home appliance eco poi