1、一般均衡寡头垄断与所有制结构

我们建立了一个易于处理的一般均衡框架，在这个框架中，企业规模较大，对产品和劳动力都具有市场支配力，企业的决策受其所有权结构的影响。我们描述了一个经济体的古诺-瓦尔拉斯均衡，其中每个公司最大化股东公用事业的加权平均份额，使得均衡独立于价格正常化。在一个单一部门经济中，如果规模回报率不增加，那么“有效”市场集中度（占共同所有制）的增加会导致就业、实际工资和劳动力份额的下降。然而，当存在多个部门时，由于部门间的货币外部性，当劳动力供给弹性相对于产品市场的替代弹性较高时，共同所有权的增加可以刺激经济。我们刻画了当经济中的部门数量增加时，哪些所有制结构达到垄断竞争极限或寡头垄断极限。我们发现，当企业的规模技术具有异质性的固定收益时，共同所有权的增加会导致市场更加集中。

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.

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

2、内生错定学习的极限点

我们研究当一个主体的先验信念被错误指定时，它是如何从内生数据中学习的。我们证明了只有一致的伯克-纳什均衡才可能是长期结果，并且对于某些初始信念，所有一致严格的伯克纳什均衡都有任意高的概率成为长期结果。当代理认为结果分布是外生的，对于任何初始信念，每个一致严格的Berk Nash均衡都有正的概率成为长期结果。我们将这些结果推广到代理在行动前观察信号的设置。

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.

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

3、具有隐藏储蓄的最优资产管理合同

我们描述了一个经典组合投资设置下的最优资产管理合同。当代理人有机会获得隐性储蓄时，其行为不端的动机取决于其预防性储蓄动机。契约动态地扭曲了代理人获取资本的渠道，以操纵其预防性储蓄动机，减少不当行为的诱因。我们给出了最优契约中一阶方法有效性的一个充分条件：如果代理的预防性储蓄动机在不良结果发生后减弱，则全局激励相容性得到保证。我们将我们的结果扩展到包括市场风险、隐性投资和重新谈判。

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.

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

4、无混杂条件下平均处理效果的有限样本最优估计与推断

我们考虑在无混杂条件下，在处理变量和协变量实现的情况下，对平均处理效果的估计和推断。假设结果变量的条件均值具有非参数光滑性和/或形状限制，当回归误差为正态且方差已知时，我们得到了有限样本下最优的估计量和置信区间。与传统的置信区间相比，我们的置信区间使用了一个更大的临界值，明确地考虑了估计量的潜在偏差。当误差分布未知时，我们的置信区间的可行版本是渐近有效的。我们还导出了条件平均上的最小光滑条件，这是推理所必需的。当条件均值被限制为利普希茨常数，且利普希茨常数有足够大的界时，最优估计量退化为匹配估计量，匹配数为1。我们将该方法应用到国家支持的工作示范中。

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.

参考文献：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、(非)稳定网络上的纳什均衡

面对变化，人们可能会选择追随朋友的反应，或者选择改变朋友。要对这些决策进行建模，请考虑一个游戏，其中玩家可以选择自己的行为和友谊。在均衡状态下，参与者内化了形成友谊的共识需求，并在k个参与者的子集上选择了自己的最优策略，这是一种有限理性的形式。k玩家共识动态提供了一个博弈均衡的概率排序，并通过一个变化的k，促进了对这类博弈的估计。

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.

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

6、奈特氏不确定性下的可行性和套利

我们重新考虑金融经济学的微观经济学基础。基于奈特不确定性在市场中的重要性，我们提出了一个模型，该模型不预先携带任何概率结构，而是基于一个共同的顺序。我们推导了资产价格的经济可行性和无套利的基本等价性。我们还利用次线性定价测度的概念得到了资产定价基本定理的一个修正版本。有效市场假说的不同版本与人们愿意强加给共同秩序的假设有关。

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.

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

7、起伏经济中的总体动态

当企业进行不稳定投资时，一个经济体的资本如何应对总生产率的冲击?我们表明，资本的过渡动态在结构上与两个稳定状态时刻相关联:资本生产率比的离散度（资本配置不当的指标）和资本生产率比随上次调整后时间的协方差（升迁和重组的不对称成本指标）减少股本。我们利用智利工厂投资规模和频率的数据计算这两个充分统计。实证结果表明，总生产率冲击的影响显著，有利于投资模型具有较强的缩减刚性和自由调整的随机机会。

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.

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

8、垂直寡头垄断中的筛选

有限数量的垂直差异化公司同时竞争和筛选拥有私人信息的代理商。在均衡状态下，高层次的公司服务于高层次的类型。每家公司都会从效率水平向下扭曲低于临界值但高于临界值的类型的配置。虽然这个博弈中的收益既不是准凹的也不是连续的，但如果企业有足够的差异化，那么任何满足一组简单必要条件的策略配置文件都是纯策略均衡，并且存在一个均衡。即使企业差异较小，也存在混合战略均衡。私人信息的福利效应与垄断下的福利效应截然不同。当进入成本变小时，均衡很快接近竞争极限。我们解决了一个多工厂企业面临一个类型依赖的外部选择的问题，并以此来研究合并的影响。

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.

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

9、具有共同价值的最优拍卖设计:一种信息鲁棒方法

一个利润最大化的卖家只有一个单位的商品要卖。投标人有一个纯粹的共同价值，这是从一个众所周知的分布中得出的。卖方不知道投标人对价值的看法，认为这些看法是为利润最小化而设计的。我们构造了这个联合机制设计和信息设计问题的强极大极小解，该解由一个机制、一个信息结构和一个均衡组成，使得即使偏离者能够选择新的均衡，卖方和自然都不能将利润转移到各自的偏好方向。机制和信息结构解决了一系列的最大-最小机制设计和最小-最大信息设计问题，而不管平衡点是如何选择的。最大最小机制采用比例拍卖的形式:每个投标人提交一个一维投标，总分配和总付款取决于总投标，个别分配和付款与投标成比例。我们报告了最大最小机制的一些附加属性，包括当投标者的数量增加时发生的情况以及相对于先验值的鲁棒性。

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.

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

10、具有财政约束的生产者和中介的宏观经济模型

金融中介机构应持有多少资本?我们提出了一个一般均衡模型，其中金融部门向企业提供高风险的长期贷款，资金来自储户的存款。政府担保为银行资本监管创造了一个角色。该模型捕捉到了宏观经济总量和信贷供应的急剧持续下降，以及金融危机期间观察到的信贷息差的急剧变化。要求中介机构持有更多资本的政策降低了金融脆弱性，降低了金融和非金融部门的规模，降低了中介机构的利润。他们将财富从储户重新分配给银行和非金融公司的所有者。危机前的资本要求接近最优。反周期资本要求增加福利。

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.

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

11、错误规范下迭代GMM的推理

本文提出了迭代过辨识广义矩估计的推理方法。我们提供了迭代估计存在的条件和渐近分布理论，它允许轻微的误判。矩的错误指定导致了传统GMM方差估计的偏差，这可能导致严重的过大假设检验。我们展示了如何一致地估计正确的渐近方差矩阵。我们的模拟结果表明，我们的方法在正确的规范和轻度到中度的错误规范下都是适当的。我们用Acemoglu, Johnson, Robinson和Yared(2008)模型的应用来说明该方法。

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).

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

12、挽救伪造的工具变量模型

当基线模型被伪造时，研究人员应该怎么做?我们建议报告一组参数，这些参数与最低限度的非虚假模型一致。我们称之为伪造自适应集（FAS）。这个集合概括了标准基线估计，以考虑可能的伪造。重要的是，它不需要研究者选择或校准灵敏度参数。在经典的多工具线性IV模型中，我们证明了FAS有一个简单的封闭形式表达式，只依赖于几个2SLS系数。我们将我们的结果应用于道路和贸易的实证研究。我们通过总结从其他非虚假模型获得的估计值的变化来说明FAS是如何补充传统的过度识别测试的。

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.

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

13、具有内生不可保尾部风险的资产定价

本文研究了人力资本特殊风险不完全可保时的资产定价和劳动力市场动态。公司使用长期合同为工人提供保险，但双方都不能完全承诺；此外，由于成本高昂且难以观察到的留任努力，劳资关系具有内生持续时间。劳动收入中未投保的尾部风险是最优风险分担方案的一部分。在均衡状态下，暴露于尾部风险会产生更高的总风险溢价和更高的回报波动率。与数据一致的是，企业层面的劳动力份额预测了未来的回报和企业层面的冲击对劳动报酬的传递。

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.

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