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Aggregation and Imperfect Competition: On the Existence of Equilibrium

Caplin, Andrew; Nalebuff, Barry - Cowles Foundation for Research in Economics, Yale University - 1990

We present a new approach to the theory of imperfect competition and apply it to study price competition among differentiated products. The central result provides general conditions under which there exists a pure strategy price equilibrium for any number of firms producing any set of products....

Persistent link: https://www.econbiz.de/10005249202

Explaining asset pricing puzzles associated with the 1987 market crash

Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - Federal Reserve Bank of Chicago - 2010

in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of …

Persistent link: https://www.econbiz.de/10008740003

The Theory of Money and Financial Institutions: A Summary of a Game Theoretic Approach

Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 2006

A game theoretic approach to the theory of money and financial institution is given utilizing both the strategic and coalitional forms for describing the economy. The economy is first modeled as a strategic market game, then the strategic form is used to calculate several cooperative forms that...

Persistent link: https://www.econbiz.de/10005762688

Economic Equilibrium and Soviet Economic Reform

Scarf, Herbert E. - Cowles Foundation for Research in Economics, Yale University - 1991

The paper, prepared for a Roundtable on Major Economic Problems in the U.S. and the U.S.S.R., discusses some aspects of price theory ñ in particular, the theory of general equilibrium -ñ which may offer some theoretical insights about the economic problems to be encountered during the...

Persistent link: https://www.econbiz.de/10005464001

Impact of independent directors and the regulatory environment on bank merger prices: evidence from takeover activity in the 1990s

Elijah Brewer, III; William E. Jackson, III; Jagtiana, … - Federal Reserve Bank of Chicago - 2000

restricted by federal and state laws from expanding across state lines. We examine whether bank merger prices were higher or … well as those that may provide some diversification benefits, are offered higher prices.> We find that changes in the … regulatory environment had a significant impact on bank merger activities in general, and bank merger prices in particular. For …

Persistent link: https://www.econbiz.de/10005419870

Recent evidence on the relationship between unemployment and wage growth

Aaronson, Daniel; Sullivan, Daniel - Federal Reserve Bank of Chicago - 2000

across the states for more timely evidence of a change in this relationship. We find some evidence that the elasticity of …

Persistent link: https://www.econbiz.de/10005419896

Rigid prices: evidence from U.S. scanner data

Campbell, Jeffrey R.; Eden, Benjamin - Federal Reserve Bank of Chicago - 2005

last price change. This reflects differences over time in the flexibility of prices charged by a single store for a given … substantially differs from the average of other stores. However, extreme prices typically reflect the selling store's recent nominal … adjustments rather than changes in other stores' prices. …

Persistent link: https://www.econbiz.de/10005419897

Price level uniformity in a random matching model with perfectly patient traders

Green, Edward J.; Zhou, Ruilin - Federal Reserve Bank of Chicago - 2001

This paper shows that one of the defining features of Walrasian equilibrium---law of one price---characterizes equilibrium in a non-Walrasian environment of (1) random trade matching without double coincidence of wants, and (2) strategic, price-setting conduct. Money is modeled as perfectly...

Persistent link: https://www.econbiz.de/10005419927

Recovering risk aversion from options

Bliss, Robert R.; Panigirtzoglou, Nikolaos - Federal Reserve Bank of Chicago - 2001

Cross-sections of option prices embed the risk-neutral probability densities functions (PDFs) for the future values of … implied in option prices. Using FTSE 100 and S&P 500 options, and both power and exponential utility functions, we show that …

Persistent link: https://www.econbiz.de/10005419935

Extracting market expectations from option prices: case studies in Japanese option markets

Nakamura, Hisashi; Shiratsuka, Shigenori - Federal Reserve Bank of Chicago - 1999

prices as an information variable for monetary policy implementation. A set of option prices provides us with information on … prices on stock prices and long term government bond futures. The estimation is done for a sample of daily closing prices for …

Persistent link: https://www.econbiz.de/10005419977