We study the macroeconomic effects of systemic bank runs in a neoclassical model with a microfounded banking system. In every period, the banks provide insurance against some idiosyncratic liquidity shocks, but the possibility of sunspot-driven bank runs distorts the equilibrium allocation. In a...

Increasing dispersion in regression analysis means that with positive changes of the explanatory variable the residual variance increases. Motivated by theoretical questions in stability of demand systems we consider the question of increasing dispersion in a nonparameteric way. It amounts to...

This paper considers the semiparametric stochastic frontier model with panel data which arises in the problem of measuring technical inefficiency in production processes. We assume a parametric form for the frontier function, which is linear in production inputs. The density of the individual...

A model of duopolistic spatial price discrimination on a network is extended by adding capacity constraints on firms'outputs. With zero-one consumer demands, some configurations of capacity levels and locations do not have pure strategy Nash equilibria in price schedules, in particular when...

The problem of estimating the unknown support G [ belong ] [ R^N ] of a uniform density is considered under the assumption that the support G belongs to the class of "boundary fragments" with smooth upper surface. The minimax lower bounds for the accuracy of arbitrary estimators of G are...

In this paper robustness properties are studied for kernel density estimators. A plug-in and least squares cross-validation bandwidth selector are considered. In an asymptotic analysis and in a simulation study it is shown that the robustness of kernel density estimates depends strongly on the...

Most academic studies on performance persistence in monthly mutual fund returns do not find evidence for timing skills of fund managers. Furthermore, realized returns are undoubtedly driven by the investment style of a fund. We propose a new holdings-based measure of style rotation to...

In this paper robustness properties are studied for kernel density estimators. A plug-in and least squares cross-validation bandwidth selector are considered. In an asymptotic analysis and in a simulation study it is shown that the robustness of kernel density estimates depends strongly on the...

Social status, or prestige, is an important motive for buying art or collectibles and for participation in charity auctions. We study a symmetric private value auction with prestige motives, in which the auction outcome is used by an outside observer to infer the bidders’ types. We elicit...

Markets are incomplete when the assets available to the agents do not span the space of future contingencies. Efficiency is then assessed by the weak criterion of "constrained efficiency" (efficiency relative to the set of allocations compatible with the asset structure). That criterion requires...