1昼接、一般均衡寡頭壟斷與所有制結(jié)構(gòu)

我們建立了一個(gè)易于處理的一般均衡框架，在這個(gè)框架中绑咱，企業(yè)規(guī)模較大绰筛，對(duì)產(chǎn)品和勞動(dòng)力都具有市場(chǎng)支配力，企業(yè)的決策受其所有權(quán)結(jié)構(gòu)的影響描融。我們描述了一個(gè)經(jīng)濟(jì)體的古諾-瓦爾拉斯均衡铝噩，其中每個(gè)公司最大化股東公用事業(yè)的加權(quán)平均份額，使得均衡獨(dú)立于價(jià)格正沉耍化骏庸。在一個(gè)單一部門經(jīng)濟(jì)中，如果規(guī)哪甓＃回報(bào)率不增加具被，那么“有效”市場(chǎng)集中度（占共同所有制）的增加會(huì)導(dǎo)致就業(yè)、實(shí)際工資和勞動(dòng)力份額的下降只损。然而一姿，當(dāng)存在多個(gè)部門時(shí)，由于部門間的貨幣外部性，當(dāng)勞動(dòng)力供給彈性相對(duì)于產(chǎn)品市場(chǎng)的替代彈性較高時(shí)啸蜜，共同所有權(quán)的增加可以刺激經(jīng)濟(jì)坑雅。我們刻畫了當(dāng)經(jīng)濟(jì)中的部門數(shù)量增加時(shí)，哪些所有制結(jié)構(gòu)達(dá)到壟斷競(jìng)爭(zhēng)極限或寡頭壟斷極限衬横。我們發(fā)現(xiàn)裹粤，當(dāng)企業(yè)的規(guī)模技術(shù)具有異質(zhì)性的固定收益時(shí)，共同所有權(quán)的增加會(huì)導(dǎo)致市場(chǎng)更加集中蜂林。

摘要原文：We develop a tractable general equilibrium framework in which firms are large and have market power with respect to both products and labor, and in which a firm's decisions are affected by its ownership structure. We characterize the Cournot–Walras equilibrium of an economy where each firm maximizes a share‐weighted average of shareholder utilities—rendering the equilibrium independent of price normalization. In a one‐sector economy, if returns to scale are non‐increasing, then an increase in “effective” market concentration (which accounts for common ownership) leads to declines in employment, real wages, and the labor share. Yet when there are multiple sectors, due to an intersectoral pecuniary externality, an increase in common ownership could stimulate the economy when the elasticity of labor supply is high relative to the elasticity of substitution in product markets. We characterize for which ownership structures the monopolistically competitive limit or an oligopolistic one is attained as the number of sectors in the economy increases. When firms have heterogeneous constant returns to scale technologies, we find that an increase in common ownership leads to markets that are more concentrated.

參考文獻(xiàn)：Azar J, Vives X. General Equilibrium Oligopoly and Ownership Structure[J]. Econometrica, 2021, 89(3): 999-1048.

2遥诉、內(nèi)生錯(cuò)定學(xué)習(xí)的極限點(diǎn)

我們研究當(dāng)一個(gè)主體的先驗(yàn)信念被錯(cuò)誤指定時(shí)，它是如何從內(nèi)生數(shù)據(jù)中學(xué)習(xí)的噪叙。我們證明了只有一致的伯克-納什均衡才可能是長(zhǎng)期結(jié)果矮锈，并且對(duì)于某些初始信念，所有一致嚴(yán)格的伯克納什均衡都有任意高的概率成為長(zhǎng)期結(jié)果睁蕾。當(dāng)代理認(rèn)為結(jié)果分布是外生的苞笨，對(duì)于任何初始信念，每個(gè)一致嚴(yán)格的Berk Nash均衡都有正的概率成為長(zhǎng)期結(jié)果子眶。我們將這些結(jié)果推廣到代理在行動(dòng)前觀察信號(hào)的設(shè)置瀑凝。

摘要原文：We study how an agent learns from endogenous data when their prior belief is misspecified. We show that only uniform Berk–Nash equilibria can be long‐run outcomes, and that all uniformly strict Berk–Nash equilibria have an arbitrarily high probability of being the long‐run outcome for some initial beliefs. When the agent believes the outcome distribution is exogenous, every uniformly strict Berk–Nash equilibrium has positive probability of being the long‐run outcome for any initial belief. We generalize these results to settings where the agent observes a signal before acting.

參考文獻(xiàn)：Fudenberg D, Lanzani G, Strack P. Limit Points of Endogenous Misspecified Learning[J]. Econometrica, 2021, 89(3): 1065-1098.

3、具有隱藏儲(chǔ)蓄的最優(yōu)資產(chǎn)管理合同

我們描述了一個(gè)經(jīng)典組合投資設(shè)置下的最優(yōu)資產(chǎn)管理合同臭杰。當(dāng)代理人有機(jī)會(huì)獲得隱性儲(chǔ)蓄時(shí)粤咪，其行為不端的動(dòng)機(jī)取決于其預(yù)防性儲(chǔ)蓄動(dòng)機(jī)。契約動(dòng)態(tài)地扭曲了代理人獲取資本的渠道渴杆，以操縱其預(yù)防性儲(chǔ)蓄動(dòng)機(jī)寥枝，減少不當(dāng)行為的誘因。我們給出了最優(yōu)契約中一階方法有效性的一個(gè)充分條件：如果代理的預(yù)防性儲(chǔ)蓄動(dòng)機(jī)在不良結(jié)果發(fā)生后減弱磁奖，則全局激勵(lì)相容性得到保證囊拜。我們將我們的結(jié)果擴(kuò)展到包括市場(chǎng)風(fēng)險(xiǎn)、隱性投資和重新談判点寥。

摘要原文：We characterize optimal asset management contracts in a classic portfolio‐investment setting. When the agent has access to hidden savings, his incentives to misbehave depend on his precautionary saving motive. The contract dynamically distorts the agent's access to capital to manipulate his precautionary saving motive and reduce incentives for misbehavior. We provide a sufficient condition for the validity of the first‐order approach, which holds in the optimal contract: global incentive compatibility is ensured if the agent's precautionary saving motive weakens after bad outcomes. We extend our results to incorporate market risk, hidden investment, and renegotiation.

參考文獻(xiàn)：Di Tella S, Sannikov Y. Optimal asset management contracts with hidden savings[J]. Econometrica, 2021, 89(3): 1099-1139.

4艾疟、無(wú)混雜條件下平均處理效果的有限樣本最優(yōu)估計(jì)與推斷

我們考慮在無(wú)混雜條件下，在處理變量和協(xié)變量實(shí)現(xiàn)的情況下敢辩，對(duì)平均處理效果的估計(jì)和推斷蔽莱。假設(shè)結(jié)果變量的條件均值具有非參數(shù)光滑性和/或形狀限制，當(dāng)回歸誤差為正態(tài)且方差已知時(shí)戚长，我們得到了有限樣本下最優(yōu)的估計(jì)量和置信區(qū)間盗冷。與傳統(tǒng)的置信區(qū)間相比，我們的置信區(qū)間使用了一個(gè)更大的臨界值同廉，明確地考慮了估計(jì)量的潛在偏差仪糖。當(dāng)誤差分布未知時(shí)柑司，我們的置信區(qū)間的可行版本是漸近有效的。我們還導(dǎo)出了條件平均上的最小光滑條件锅劝，這是推理所必需的攒驰。當(dāng)條件均值被限制為利普希茨常數(shù)，且利普希茨常數(shù)有足夠大的界時(shí)故爵，最優(yōu)估計(jì)量退化為匹配估計(jì)量玻粪，匹配數(shù)為1。我們將該方法應(yīng)用到國(guó)家支持的工作示范中诬垂。

摘要原文：We consider estimation and inference on average treatment effects under unconfoundedness conditional on the realizations of the treatment variable and covariates. Given nonparametric smoothness and/or shape restrictions on the conditional mean of the outcome variable, we derive estimators and confidence intervals (CIs) that are optimal in finite samples when the regression errors are normal with known variance. In contrast to conventional CIs, our CIs use a larger critical value that explicitly takes into account the potential bias of the estimator. When the error distribution is unknown, feasible versions of our CIs are valid asymptotically, even when ‐inference is not possible due to lack of overlap, or low smoothness of the conditional mean. We also derive the minimum smoothness conditions on the conditional mean that are necessary for ‐inference. When the conditional mean is restricted to be Lipschitz with a large enough bound on the Lipschitz constant, the optimal estimator reduces to a matching estimator with the number of matches set to one. We illustrate our methods in an application to the National Supported Work Demonstration.

參考文獻(xiàn)：Armstrong T B, Kolesár M. Finite‐Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness[J]. Econometrica, 2021, 89(3): 1141-1177.

5劲室、(非)穩(wěn)定網(wǎng)絡(luò)上的納什均衡

面對(duì)變化，人們可能會(huì)選擇追隨朋友的反應(yīng)结窘，或者選擇改變朋友很洋。要對(duì)這些決策進(jìn)行建模，請(qǐng)考慮一個(gè)游戲隧枫，其中玩家可以選擇自己的行為和友誼喉磁。在均衡狀態(tài)下，參與者內(nèi)化了形成友誼的共識(shí)需求悠垛，并在k個(gè)參與者的子集上選擇了自己的最優(yōu)策略线定，這是一種有限理性的形式。k玩家共識(shí)動(dòng)態(tài)提供了一個(gè)博弈均衡的概率排序确买，并通過(guò)一個(gè)變化的k，促進(jìn)了對(duì)這類博弈的估計(jì)纱皆。

摘要原文：In response to a change, individuals may choose to follow the responses of their friends or, alternatively, to change their friends. To model these decisions, consider a game where players choose their behaviors and friendships. In equilibrium, players internalize the need for consensus in forming friendships and choose their optimal strategies on subsets of k players—a form of bounded rationality. The k‐player consensual dynamic delivers a probabilistic ranking of a game's equilibria, and via a varying k, facilitates estimation of such games.

參考文獻(xiàn)：Badev A. Nash equilibria on (un) stable networks[J]. Econometrica, 2021, 89(3): 1179-1206.

6湾趾、奈特氏不確定性下的可行性和套利

我們重新考慮金融經(jīng)濟(jì)學(xué)的微觀經(jīng)濟(jì)學(xué)基礎(chǔ)∨刹荩基于奈特不確定性在市場(chǎng)中的重要性搀缠，我們提出了一個(gè)模型，該模型不預(yù)先攜帶任何概率結(jié)構(gòu)近迁，而是基于一個(gè)共同的順序艺普。我們推導(dǎo)了資產(chǎn)價(jià)格的經(jīng)濟(jì)可行性和無(wú)套利的基本等價(jià)性。我們還利用次線性定價(jià)測(cè)度的概念得到了資產(chǎn)定價(jià)基本定理的一個(gè)修正版本鉴竭。有效市場(chǎng)假說(shuō)的不同版本與人們?cè)敢鈴?qiáng)加給共同秩序的假設(shè)有關(guān)歧譬。

摘要原文：We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian uncertainty in markets, we present a model that does not carry any probabilistic structure ex ante, yet is based on a common order. We derive the fundamental equivalence of economic viability of asset prices and absence of arbitrage. We also obtain a modified version of the fundamental theorem of asset pricing using the notion of sublinear pricing measures. Different versions of the efficient market hypothesis are related to the assumptions one is willing to impose on the common order.

參考文獻(xiàn)：Burzoni M, Riedel F, Soner H M. Viability and arbitrage under knightian uncertainty[J]. Econometrica, 2021, 89(3): 1207-1234.

7、起伏經(jīng)濟(jì)中的總體動(dòng)態(tài)

當(dāng)企業(yè)進(jìn)行不穩(wěn)定投資時(shí)搏存，一個(gè)經(jīng)濟(jì)體的資本如何應(yīng)對(duì)總生產(chǎn)率的沖擊?我們表明瑰步，資本的過(guò)渡動(dòng)態(tài)在結(jié)構(gòu)上與兩個(gè)穩(wěn)定狀態(tài)時(shí)刻相關(guān)聯(lián):資本生產(chǎn)率比的離散度（資本配置不當(dāng)?shù)闹笜?biāo)）和資本生產(chǎn)率比隨上次調(diào)整后時(shí)間的協(xié)方差（升遷和重組的不對(duì)稱成本指標(biāo)）減少股本。我們利用智利工廠投資規(guī)模和頻率的數(shù)據(jù)計(jì)算這兩個(gè)充分統(tǒng)計(jì)璧眠。實(shí)證結(jié)果表明缩焦，總生產(chǎn)率沖擊的影響顯著读虏，有利于投資模型具有較強(qiáng)的縮減剛性和自由調(diào)整的隨機(jī)機(jī)會(huì)。

摘要原文：How does an economy's capital respond to aggregate productivity shocks when firms make lumpy investments? We show that capital's transitional dynamics are structurally linked to two steady‐state moments: the dispersion of capital to productivity ratios—an indicator of capital misallocation—and the covariance of capital to productivity ratios with the time elapsed since their last adjustment—an indicator of asymmetric costs of upsizing and downsizing the capital stock. We compute these two sufficient statistics using data on the size and frequency of investment of Chilean plants. The empirical values indicate significant effects of aggregate productivity shocks and favor investment models with a strong downsizing rigidity and random opportunities for free adjustments.

參考文獻(xiàn)：Baley I, Blanco A. Aggregate dynamics in lumpy economies[J]. Econometrica, 2021, 89(3): 1235-1264.

8袁滥、垂直寡頭壟斷中的篩選

有限數(shù)量的垂直差異化公司同時(shí)競(jìng)爭(zhēng)和篩選擁有私人信息的代理商盖桥。在均衡狀態(tài)下，高層次的公司服務(wù)于高層次的類型题翻。每家公司都會(huì)從效率水平向下扭曲低于臨界值但高于臨界值的類型的配置葱轩。雖然這個(gè)博弈中的收益既不是準(zhǔn)凹的也不是連續(xù)的，但如果企業(yè)有足夠的差異化藐握，那么任何滿足一組簡(jiǎn)單必要條件的策略配置文件都是純策略均衡靴拱，并且存在一個(gè)均衡。即使企業(yè)差異較小猾普，也存在混合戰(zhàn)略均衡袜炕。私人信息的福利效應(yīng)與壟斷下的福利效應(yīng)截然不同。當(dāng)進(jìn)入成本變小時(shí)初家，均衡很快接近競(jìng)爭(zhēng)極限偎窘。我們解決了一個(gè)多工廠企業(yè)面臨一個(gè)類型依賴的外部選擇的問(wèn)題，并以此來(lái)研究合并的影響溜在。

摘要原文：A finite number of vertically differentiated firms simultaneously compete for and screen agents with private information about their payoffs. In equilibrium, higher firms serve higher types. Each firm distorts the allocation downward from the efficient level on types below a threshold, but upward above. While payoffs in this game are neither quasi‐concave nor continuous, if firms are sufficiently differentiated, then any strategy profile that satisfies a simple set of necessary conditions is a pure‐stategy equilibrium, and an equilibrium exists. A mixed‐strategy equilibrium exists even when firms are less differentiated. The welfare effects of private information are drastically different than under monopoly. The equilibrium approaches the competitive limit quickly as entry costs grow small. We solve the problem of a multi‐plant firm facing a type‐dependent outside option and use this to study the effect of mergers.

參考文獻(xiàn)：Chade H, Swinkels J. Screening in Vertical Oligopolies[J]. Econometrica, 2021, 89(3): 1265-1311.

9陌知、具有共同價(jià)值的最優(yōu)拍賣設(shè)計(jì):一種信息魯棒方法

一個(gè)利潤(rùn)最大化的賣家只有一個(gè)單位的商品要賣。投標(biāo)人有一個(gè)純粹的共同價(jià)值掖肋，這是從一個(gè)眾所周知的分布中得出的仆葡。賣方不知道投標(biāo)人對(duì)價(jià)值的看法，認(rèn)為這些看法是為利潤(rùn)最小化而設(shè)計(jì)的志笼。我們構(gòu)造了這個(gè)聯(lián)合機(jī)制設(shè)計(jì)和信息設(shè)計(jì)問(wèn)題的強(qiáng)極大極小解沿盅，該解由一個(gè)機(jī)制、一個(gè)信息結(jié)構(gòu)和一個(gè)均衡組成纫溃，使得即使偏離者能夠選擇新的均衡腰涧，賣方和自然都不能將利潤(rùn)轉(zhuǎn)移到各自的偏好方向。機(jī)制和信息結(jié)構(gòu)解決了一系列的最大-最小機(jī)制設(shè)計(jì)和最小-最大信息設(shè)計(jì)問(wèn)題紊浩，而不管平衡點(diǎn)是如何選擇的窖铡。最大最小機(jī)制采用比例拍賣的形式:每個(gè)投標(biāo)人提交一個(gè)一維投標(biāo)，總分配和總付款取決于總投標(biāo)坊谁，個(gè)別分配和付款與投標(biāo)成比例费彼。我們報(bào)告了最大最小機(jī)制的一些附加屬性，包括當(dāng)投標(biāo)者的數(shù)量增加時(shí)發(fā)生的情況以及相對(duì)于先驗(yàn)值的魯棒性呜袁。

摘要原文：A profit‐maximizing seller has a single unit of a good to sell. The bidders have a pure common value that is drawn from a distribution that is commonly known. The seller does not know the bidders' beliefs about the value and thinks that beliefs are designed adversarially by Nature to minimize profit. We construct a strong maxmin solution to this joint mechanism design and information design problem, consisting of a mechanism, an information structure, and an equilibrium, such that neither the seller nor Nature can move profit in their respective preferred directions, even if the deviator can select the new equilibrium. The mechanism and information structure solve a family of maxmin mechanism design and minmax information design problems, regardless of how an equilibrium is selected. The maxmin mechanism takes the form of a proportional auction: each bidder submits a one‐dimensional bid, the aggregate allocation and aggregate payment depend on the aggregate bid, and individual allocations and payments are proportional to bids. We report a number of additional properties of the maxmin mechanisms, including what happens as the number of bidders grows large and robustness with respect to the prior over the value.

參考文獻(xiàn)：Brooks B, Du S. Optimal Auction Design with Common Values: An Informationally Robust Approach[J]. Econometrica, 2021, 89(3): 1313-1360.

10敌买、具有財(cái)政約束的生產(chǎn)者和中介的宏觀經(jīng)濟(jì)模型

金融中介機(jī)構(gòu)應(yīng)持有多少資本?我們提出了一個(gè)一般均衡模型，其中金融部門向企業(yè)提供高風(fēng)險(xiǎn)的長(zhǎng)期貸款阶界，資金來(lái)自儲(chǔ)戶的存款虹钮。政府擔(dān)保為銀行資本監(jiān)管創(chuàng)造了一個(gè)角色聋庵。該模型捕捉到了宏觀經(jīng)濟(jì)總量和信貸供應(yīng)的急劇持續(xù)下降，以及金融危機(jī)期間觀察到的信貸息差的急劇變化芙粱。要求中介機(jī)構(gòu)持有更多資本的政策降低了金融脆弱性祭玉，降低了金融和非金融部門的規(guī)模，降低了中介機(jī)構(gòu)的利潤(rùn)春畔。他們將財(cái)富從儲(chǔ)戶重新分配給銀行和非金融公司的所有者脱货。危機(jī)前的資本要求接近最優(yōu)。反周期資本要求增加福利律姨。

摘要原文：How much capital should financial intermediaries hold? We propose a general equilibrium model with a financial sector that makes risky long‐term loans to firms, funded by deposits from savers. Government guarantees create a role for bank capital regulation. The model captures the sharp and persistent drop in macro‐economic aggregates and credit provision as well as the sharp change in credit spreads observed during financial crises. Policies requiring intermediaries to hold more capital reduce financial fragility, reduce the size of the financial and non‐financial sectors, and lower intermediary profits. They redistribute wealth from savers to the owners of banks and non‐financial firms. Pre‐crisis capital requirements are close to optimal. Counter‐cyclical capital requirements increase welfare.

參考文獻(xiàn)：Elenev V, Landvoigt T, Van Nieuwerburgh S. A macroeconomic model with financially constrained producers and intermediaries[J]. Econometrica, 2021, 89(3): 1361-1418.

11振峻、錯(cuò)誤規(guī)范下迭代GMM的推理

本文提出了迭代過(guò)辨識(shí)廣義矩估計(jì)的推理方法。我們提供了迭代估計(jì)存在的條件和漸近分布理論择份，它允許輕微的誤判扣孟。矩的錯(cuò)誤指定導(dǎo)致了傳統(tǒng)GMM方差估計(jì)的偏差，這可能導(dǎo)致嚴(yán)重的過(guò)大假設(shè)檢驗(yàn)荣赶。我們展示了如何一致地估計(jì)正確的漸近方差矩陣凤价。我們的模擬結(jié)果表明，我們的方法在正確的規(guī)范和輕度到中度的錯(cuò)誤規(guī)范下都是適當(dāng)?shù)陌未础Ｎ覀冇肁cemoglu, Johnson, Robinson和Yared(2008)模型的應(yīng)用來(lái)說(shuō)明該方法利诺。

摘要原文：This paper develops inference methods for the iterated overidentified Generalized Method of Moments (GMM) estimator. We provide conditions for the existence of the iterated estimator and an asymptotic distribution theory, which allows for mild misspecification. Moment misspecification causes bias in conventional GMM variance estimators, which can lead to severely oversized hypothesis tests. We show how to consistently estimate the correct asymptotic variance matrix. Our simulation results show that our methods are properly sized under both correct specification and mild to moderate misspecification. We illustrate the method with an application to the model of Acemoglu, Johnson, Robinson, and Yared (2008).

參考文獻(xiàn)：Hansen B E, Lee S. Inference for iterated GMM under misspecification[J]. Econometrica, 2021, 89(3): 1419-1447.

12、挽救偽造的工具變量模型

當(dāng)基線模型被偽造時(shí)剩燥，研究人員應(yīng)該怎么做?我們建議報(bào)告一組參數(shù)慢逾，這些參數(shù)與最低限度的非虛假模型一致。我們稱之為偽造自適應(yīng)集（FAS）躏吊。這個(gè)集合概括了標(biāo)準(zhǔn)基線估計(jì)氛改，以考慮可能的偽造。重要的是比伏，它不需要研究者選擇或校準(zhǔn)靈敏度參數(shù)。在經(jīng)典的多工具線性IV模型中疆导，我們證明了FAS有一個(gè)簡(jiǎn)單的封閉形式表達(dá)式赁项，只依賴于幾個(gè)2SLS系數(shù)。我們將我們的結(jié)果應(yīng)用于道路和貿(mào)易的實(shí)證研究澈段。我們通過(guò)總結(jié)從其他非虛假模型獲得的估計(jì)值的變化來(lái)說(shuō)明FAS是如何補(bǔ)充傳統(tǒng)的過(guò)度識(shí)別測(cè)試的悠菜。

摘要原文：What should researchers do when their baseline model is falsified? We recommend reporting the set of parameters that are consistent with minimally nonfalsified models. We call this the falsification adaptive set (FAS). This set generalizes the standard baseline estimand to account for possible falsification. Importantly, it does not require the researcher to select or calibrate sensitivity parameters. In the classical linear IV model with multiple instruments, we show that the FAS has a simple closed‐form expression that only depends on a few 2SLS coefficients. We apply our results to an empirical study of roads and trade. We show how the FAS complements traditional overidentification tests by summarizing the variation in estimates obtained from alternative nonfalsified models.

參考文獻(xiàn)：Masten M A, Poirier A. Salvaging falsified instrumental variable models[J]. Econometrica, 2021, 89(3): 1449-1469.

13、具有內(nèi)生不可保尾部風(fēng)險(xiǎn)的資產(chǎn)定價(jià)

本文研究了人力資本特殊風(fēng)險(xiǎn)不完全可保時(shí)的資產(chǎn)定價(jià)和勞動(dòng)力市場(chǎng)動(dòng)態(tài)败富。公司使用長(zhǎng)期合同為工人提供保險(xiǎn)悔醋，但雙方都不能完全承諾；此外兽叮，由于成本高昂且難以觀察到的留任努力芬骄，勞資關(guān)系具有內(nèi)生持續(xù)時(shí)間猾愿。勞動(dòng)收入中未投保的尾部風(fēng)險(xiǎn)是最優(yōu)風(fēng)險(xiǎn)分擔(dān)方案的一部分。在均衡狀態(tài)下账阻，暴露于尾部風(fēng)險(xiǎn)會(huì)產(chǎn)生更高的總風(fēng)險(xiǎn)溢價(jià)和更高的回報(bào)波動(dòng)率蒂秘。與數(shù)據(jù)一致的是，企業(yè)層面的勞動(dòng)力份額預(yù)測(cè)了未來(lái)的回報(bào)和企業(yè)層面的沖擊對(duì)勞動(dòng)報(bào)酬的傳遞淘太。

摘要原文：This paper studies asset pricing and labor market dynamics when idiosyncratic risk to human capital is not fully insurable. Firms use long‐term contracts to provide insurance to workers, but neither side can fully commit; furthermore, owing to costly and unobservable retention effort, worker‐firm relationships have endogenous durations. Uninsured tail risk in labor earnings arises as a part of an optimal risk‐sharing scheme. In equilibrium, exposure to the tail risk generates higher aggregate risk premia and higher return volatility. Consistent with data, firm‐level labor share predicts both future returns and pass‐throughs of firm‐level shocks to labor compensation.

參考文獻(xiàn)：Ai H, Bhandari A. Asset pricing with endogenously uninsurable tail risk[J]. Econometrica, 2021, 89(3): 1471-1505.