VictorJuiz/thesis huggingface dataset:
Essays in behavioral economics [electronic resource]
Keywords: Economics

The first chapter of the dissertation, entitled "Revisiting Regret Theory", suggests a more generalized version of the regret theories proposed by economists so far. Outcome regret is experienced when one compares a realized outcome to the outcome one could have received, if one had chosen a different action. In this paper I argue that the existing theories are flawed in that they make very restrictive assumptions about how people think with respect to foregone opportunities in the face of uncertainty. In light of some evidence as to how people actually think about past choice and realized outcomes, I propose to extend and generalize the existent theories of regret. I then apply my theory to existing experimental data, hitherto unexplained by the current theories. I find that my theory is capable of accounting for these data. The second chapter, entitled "Do Responses to Hypothetical and Subjective Questions Reveal Preferences?" and co-authored with Doug Bernheim, Daniel Bjorkegren, Jeffrey Naecker and Antonio Rangel, investigates the feasibility of inferring the choices people would make (if given the opportunity) based on their responses to hypothetical and subjective questions when they are not engaged in actual decision making. The ability to make such inferences is of potential value when choice data are unavailable or limited in ways that potentially impair standard methods of estimating choice mappings. We formulate prediction models relating choice distributions to these "non-choice" reactions, estimate them with data for a given set of items, and use them to predict out-of-sample choice distributions for new items at various prices. Our analysis shows that this method performs well relative to the conventional approaches that require more extensive choice data. The third chapter, entitled "Social and Economic Networks with Unknown Utilities", deals with social and economic networks in an historical perspective. The theoretical part of the paper is concerned with situations in which a utility from forming a certain link might be unknown to the agent prior to forming the link. This is in contrast with the standard networks literature that assumes that agents are fully aware of the utilities they will have from forming any possible link to any other agent. When this is not the case, agents might benefit from a "social planner", who will either force them to form certain links they wouldn't otherwise form, or change the benefits structure of the network in a way that will result in a voluntary formation of a more efficient network. Later, the paper looks at some situations in history where networks might have been formed with agents either underestimating or overestimating the benefits resulting from those networks.
Essays in credit portfolio management [electronic resource]
Keywords: Management Science and Engineering

Banks often seek to reduce the default risk exposure associated with their corporate loan portfolios by entering into credit derivative positions. Asset managers seek additional yield through single and multi-name credit derivatives, and must also manage their credit exposures according to disciplined and systematic risk-return analysis. This thesis explores the portfolio selection and risk measurement problem for credit sensitive financial instruments. In comparison to its equity counterpart, the fixed-income portfolio problem presents unique challenges: the risk of issuer default induces skewed return distributions, the correlation of defaults influences the tail of the portfolio return distribution, and credit derivative positions have complex risk-return implications. The first part of this dissertation addresses the static selection problem for a fixed-income portfolio of credit sensitive securities. We optimize the total mark-to-market value of the portfolio at the investment horizon. This value incorporates the intermediate premium and default cash flows of long and short cash and derivative positions, and the survival-contingent market value of these positions at the horizon. The selection problem is cast as a polynomial goal program that involves a two-stage constrained optimization of preference weighted moments of the portfolio mark-to-market. The decision variable is the vector of contract notionals. A capital constraint guarantees the solvency of the investor. The multi-moment formulation addresses the non-Gaussian distribution of the portfolio mark-to-market. It is also computationally tractable, because we obtain analytical expressions for the moments of the portfolio mark-to-market, which are given in terms of nested expectations under risk-neutral and actual probability measures. The expressions are valid for a broad class of intensity-based, doubly-stochastic models of correlated default timing that are widely used in portfolio credit risk and derivatives pricing. Numerical results illustrate the implications for portfolio selection of idiosyncratic default risk and default correlation. They also indicate the robustness of the optimal policies with respect to estimation errors. Although higher moments provide important characterizations of the portfolio risk profile, investment managers often need to compute specific tail percentiles of the profit and loss distribution. In the second part of the thesis we develop an analytical approximation for this distribution. The approximation is based on a small-time expansion of a transform of the portfolio value. The analytical characterization permits tractable computations of Value-at-Risk, and Value-at-risk constrained optimal portfolio selections.
Essays in energy and environmental economics [electronic resource]
Keywords: Economics

This dissertation consists of three essays in energy and environmental economics that all have a bearing on various concepts from public economics. The first essay uses fiscal data on 2,468 oil extraction agreements in 38 countries to study tax contracts between resource-rich countries and independent oil companies. We analyze why expropriations occur and what determines the degree of oil price exposure of host countries. We show theoretically and verify empirically that oil price insurance provided by tax contracts is increasing in a country's cost of expropriation, and decreasing in its production expertise. The second essay reveals significant unintended consequences from recent 14-state efforts to reduce greenhouse gas emissions through emissions limits per mile from new cars. While such efforts significantly reduce emissions from new cars sold in the adopting states, they cause substantial emissions increases from new cars sold in other (non-adopting) states and from used cars. Such offsets (or "leakage") reflect interactions between the state-level and federal fuel-economy standards: the state-level efforts loosen the national standard, so that automakers can profitably increase sales of high-emissions vehicles in non-adopting states. Our simulation model estimates that leakage associated with recent legislation is 65-74%. In the third essay, I analyze speed limits. When choosing his speed, a driver faces a trade-off between private benefits (time savings) and private costs (fuel cost and own damage and injury). Driving faster also has external costs (pollution, adverse health impacts and injury to other drivers). I use large-scale speed limit increases in the western United States in 1987 and 1996 to address three related questions. First, do the social benefits of raising speed limits exceed the social (private plus external) costs? Second, do the private benefits of driving faster as a result of higher speed limits exceed the private costs? Third, could completely eliminating speed limits improve efficiency? I find that a 10 mph speed limit increase on highways leads to a 3-4 mph increase in travel speed, 9-15% more accidents, 34-60% more fatal accidents, and elevated pollutant concentrations of 14-25% (carbon monoxide), 9-16% (nitrogen oxides), 1-11% (ozone) and 9% higher fetal death rates around the affected freeways. I use these estimates to calculate private and external benefits and costs, and find that the social costs of speed limit increases are three to ten times larger than the social benefits. In contrast, many individual drivers would enjoy a net private benefit from driving faster. The substantial difference between private and social optimal speed choices provides a strong rationale for having speed limits.
Essays in game theory [electronic resource]
Keywords: Business.

This dissertation consists of three essays on the foundation and applications of game theory. In Chapter 1 we study a refinement of correlated equilibrium in which players' actions are driven by their beliefs and higher order beliefs about the play of the game (beliefs over what other players will do, over what other players believe others will do, etc.). For any finite, complete-information game, we characterize the behavioral implications of this refinement with and without a common prior, and up to any a priori fixed depth of reasoning. In every finite game "most" correlated equilibrium distributions are consistent with this refinement; as a consequence, this refinement gives a classification of "most" correlated equilibrium distributions based on the maximum order of beliefs used by players in the equilibrium. On the other hand, in a generic two-player game any non-degenerate mixed-strategy Nash equilibrium is not consistent with this refinement. In the next two chapters we turn to the applications of game theory. In Chapter 2 we show that without flexible transfers, the timing of transactions is difficult to coordinate in large matching markets. In our model, some agents have the option of matching early before others arrive. We compare two regimes. In the first regime, transfers which divide surpluses created between the two sides of the market are exogenously fixed, perhaps due to some institutional constraints. Then even with a centralized mechanism that implements a stable matching after all agents arrive, some agents have incentives to match early. We prove that in this setting, as the market gets large, on average approximately one quarter of all agents have strict incentives to match early. Moreover, as the market gets large, with probability tending to 1 there is no early matching scheme that is dynamically stable. On the other hand, in the second regime in which agents can freely negotiate transfers, a stable matching after all agents arrive eliminates all incentives to match early and is dynamically stable. In Chapter 3 we study settlement auctions for credit default swaps (CDS). We find that the one-sided design of CDS auctions used in practice gives CDS buyers and sellers strong incentives to distort the final auction price, in order to maximize payoffs from existing CDS positions. Consequently, these auctions tend to overprice defaulted bonds conditional on an excess supply and underprice defaulted bonds conditional on an excess demand. In our model bidders have a commonly-known bond value but privately-known CDS positions. We prove that with a one-sided auction in every Bayesian-Nash equilibrium the final auction price is strictly greater than the common bond value given an excess supply of bonds, and strictly less than the common bond value given an excess demand of bonds. We propose a double auction to mitigate this price bias. Finally, we find the predictions of our model on bidding behavior to be consistent with data on CDS auctions.
Essays in macroeconomics and finance [electronic resource]
Keywords: Economics

In this dissertation I examine a number of financial and macroeconomic aspects of U.S. housing and mortgage markets. In the first chapter I analyze the importance of asymmetric information between mortgage lenders in explaining mortgage lending outcomes. I show that mortgage lenders that are owned by large property developers have superior information about the relative construction quality of ex-ante observationally similar homes within the same development, and that they exploit this information in the competition with other, less-informed mortgage lenders. As a result the collateral portfolio of those integrated lenders is of above-average quality. To compensate for the winner's curse in the presence of an integrated lender, less-informed lenders charge higher interest rates in developments with an integrated lender. In the second chapter I analyze government interventions in the housing market on prices, quantities and aggregate and distributional welfare using an overlapping-generations heterogeneous-agent general-equilibrium model calibrated to the U.S. economy. I consider (i) the introduction of temporary home purchase tax credits and (ii) a removal of the asymmetric tax treatment of owner-occupied and rental housing. Home buyer tax credits temporarily raise house prices and transaction volumes, but have negative welfare effects. Removing the asymmetric tax treatment of owner-occupied and rental housing generates welfare gains for a majority of agents in a comparison of stationary equilibria. Welfare impacts are more varied, though still positive, along the transition between steady states. In the third chapter I analyze the Federal Reserve's mortgage-backed securities (MBS) purchase program, the largest credit easing program established by the Fed during the financial crisis. I examine the quantitative impact of this program on mortgage interest rate spreads. This is more difficult than frequently perceived because of simultaneous changes in prepayment risk and default risk. The empirical results attribute a sizeable portion of the decline in mortgage rates to such risks and a relatively small and uncertain portion to the program.
Essays in microeconomic theory [electronic resource]
Keywords: Business.

This dissertation consists of three chapters in three different subfields of Microeconomic Theory: the theory of Matching Markets, Network Theory, and Political Economy. Although each paper is an independent contribution in its respective field, the three papers share a common theme and methodological approach: In each paper I aim to take a well studied topic in the field; break down the problem into the most fundamental elements; and based on those lean elements construct a new game-theoretic model that tries to get at the very essence of the problem and shed new light on it. The first chapter studies unraveling in matching theory and shows that the tiniest uncertainty regarding final outcomes in a matching market can cause unraveling and completely destabilize the market. The second chapter leverages uncertainty in link formation to shed light on social network formation and identify potential threshold effects driven by the value of friends-of-friends in the network. The third chapter models protest dynamics in authoritarian regimes and produces a realistic model where protests serve as a mechanism to allow citizens to inform other citizens' of their preferences regarding the regimes' survival.
Essays in microeconomic theory [electronic resource]
Keywords: Business.

This dissertation consists of two chapters in two different areas of microeconomic theory: the informativeness of prices and optimal taxation. In both of these chapters, I develop a model that lends itself to game-theoretic analysis. Chapter 1 is a theoretical study on the informativeness of prices in financial markets. I study a class of mechanisms that represent a financial market for a security. These mechanisms quote a price, which solely depends on the total number of shares outstanding. Traders can sequentially buy or sell shares of the security, and get to trade many times. Among the class of such mechanisms, I determine which ones lead to immediate revelation of information by the traders, in the sense that traders immediately bring the price to their posterior belief about the value of the security in the first period where they are given an opportunity to trade. I find that while it is possible to find mechanisms that achieve this property for all information structures with conditionally independent signals, it is impossible to find a mechanism that achieves it for every information structure. Chapter 2 develops a model of optimal redistributive taxation for social insurance purposes when agents are able to share risks with a group of relatives and friends, achieving a Pareto optimal allocation within the group. It describes how the sizes of these groups (syndicates) affect the optimal tax rate. When syndicates are exogenously given, the optimal linear tax decreases as the sizes of syndicates increase. A model of joint syndicate formation and optimal policy choice is then proposed. Syndicates are formed by agents for risk-sharing purposes, at a cost which decreases with geographical, social and blood proximity between agents. In setting the income tax rate, the government takes into account the impact of its policy on the efforts made by agents to form syndicates. This may considerably alter the government's problem, to the extent that it may become locally convex and, as proximity decreases (e.g. because related agents are more geographically mobile), the government's optimal policy may jump from a zero tax rate to a substantial positive rate. This could partially explain why social insurance schemes emerged late in the development of countries such as the United Kingdom, France, and the United States.
Essays in sustainable operations and intellectual property management [electronic resource]
Keywords: Management Science and Engineering

This dissertation contains three essays that study leading issues in the area of sustainable operations management and intellectual property management. In Chapter 2, we present a proof-of-concept model of a manufacturing industry deciding whether to produce a product in a region with environmental regulations, or an unregulated region. We account for the environmental and societal costs that are generally ignored in traditional production models. We include the economic effects of pollution directly through regulations, and indirectly through decreased worker productivity. By including pollution externalities in our model, we demonstrate how investments in preventative capital (i.e., technology that reduces pollution during manufacturing) can ultimately reduce economic costs to the industry while simultaneously improving societal health conditions. Chapter 3 studies how an intellectual property marketplace (IPMP) can be used as a strategic means of licensing technologies with low monetary value, as is the case with many sustainable technologies. IPMPs allow patent holders to proliferate technology across multiple firms at low cost, but lack the explicit control of bilateral licensing. Using a multi-stage game theoretic framework, we analyze optimal contracts under IPMP dynamics. We further prove that when demand for the sustainable technology is relatively low relative to the investment cost of implementing the technology, IPMP licensing may replicate the profits attainable with the more expensive bilateral licensing approach. In Chapter 4, we consider the strategic licensing of a technology whose value is not yet fully understood. By selling unit contract licenses, which permits a licensee to produce an established number of units based on a patented technology, the patent holder retains ownership of the patent while still monetizing the technology. Over time, the true value of the technology becomes known as repeated observations allow all firms to inform their valuations. We use a Bayesian learning framework to demonstrate how unit contract licensing can be superior to patent auctions (which have historically been the most profitable means of licensing for an external patent holder) in the case that the demand distribution for the technology is sufficiently light-tailed. Environmental sustainability has become a pressing issue for firms, governments, non-government organizations, and consumers alike. Yet, the operations management literature is surprisingly sparse in models that incorporate concerns for the environment and human health in addition to economic interests. The research we present in this dissertation begins to bridge this gap.
Essays in the measurement of public opinion [electronic resource]
Keywords: Communication

This dissertation consists of three chapters that each deal with the optimal measurement and administration of public opinion surveys. In the first set of studies, I look at the measurement, and consequently, the meaning, of a key construct in public opinion research: liberal-conservative ideology. I argue that the standard item conflates two related, but separate constructs: liberal-conservative ideology and liberal-conservative identity. I test this notion by showing that those that say they are liberal or conservative act in a way that is consistent with social identity theory, i.e., they demonstrate a readiness to adopt the attitudes of other group members and consider themselves as interchangeable members with other liberals and conservatives, respectively. Furthermore, this identity has a substantive effect on at person's policy preferences, even after controlling for that person's ideological principles and party identity. In the next chapter I investigate the measurement of subjective probabilities. Participants are sometimes asked to respond using verbal response options, such as, "very likely" and "very unlikely, " and other times asked to respond using numerical response options, such as "0%" or "100%." Since data quality is contingent on the validity of the measures, guidelines are needed so that researchers write the best possible question to gauge perceptions of probabilities. Using three datasets, and a variety of analytic techniques, I show that percent chance questions are problematic in that they do not display a consistent linear or monotonic relationship with criterion question to which they should be linearly and monotonically related. In addition, although some argue that that verbally-labeled response scales are too coarse, respondents do not use 9/10ths of percent chance scales. Percent chance questions take longer to answer than verbally-labeled questions, and this difference is moderated by the cognitive ability of the respondent. However, only unipolar response scales yield higher concurrent validity than percent chance questions. The final chapter in this dissertation investigates the role of anonymity in the measurement of self-reports. Studies have shown that allowing people to answer questionnaires completely anonymously yields more reports of socially inappropriate attitudes, beliefs, and behaviors, and researchers have often assumed that this is evidence of increased honesty. But such evidence does not demonstrate that reports gathered under completely anonymous conditions are more accurate. Three studies reported in this chapter demonstrate that allowing college student participants to answer questions completely anonymously sometimes increased reports of socially undesirable attributes, but consistently reduced reporting accuracy and increased survey satisficing. These studies suggest that complete anonymity may compromise measurement accuracy rather than improve it.