计量经济分析 = Econometric analysis

We investigate conditions sufficient for identification of average treatment effects using instrumental variables. First we show that the existence of valid instruments is not sufficient to identify any meaningful average treatment effect. We then establish that the combination of an instrument and a condition on the relation between the instrument and the participation status is sufficient for identification of a local average treatment effect for those who can be induced to change their participation status by changing the value of the instrument. Finally we derive the probability limit of the standard IV estimator under these conditions. It is seen to be a weighted average of local average treatment effects.

Evolution and Rationality Some Recent Game-Theoretic Results. Identification and Estimation of Local Average Treatment Effects

In his Preface the author' says that he started out to review all the more important theories upon the topics ordinarily discussed under human motivation but soon found himself more and more limited to the presentation of his own point of view. This very well characterizes the book. It is a very personal product. It is an outline with some defense of the author's own thinking about instincts and appetites and sentiments and how they function in human behavior. And as the author draws so heavily upon James and McDougall, especially the latter, the book may well be looked upon as a sort of sequel to their efforts. There is a thought-provoking distinction presented between instinct and appetite. An instinct is said to be aroused always by something in the external situation; and, correspondingly, an appetite is said to be aroused by sensations from within the body itself. This places, of course, a heavy emphasis upon the cognitive factor in all instinctive behaviors; and the author prefers to use the cognitive factor, especially the knowledge of that end-experience which will satisfy, as a means of differentiating one instinct from another. In this there is a recognized difference from McDougall who placed more emphasis for differentiation upon the emotional accompaniment. The list of instincts arrived at by this procedure is much like that of McDougall, although the author is forced by his criteria to present the possibility of food-seeking and sex and sleep operating both in the manner of an appetite and also as an instinct. The Shand-McDougall concept of sentiment is taken over and used in the explanation of moral motivation. There is the development within each personality of a sentiment for some moral principle. But this sentiment is not a very powerful motivating factor. It is reinforced by social pressures and by religion, which is treated as an effort of finite man to live in harmony with the infinite reality. Those whose psychological thinking is largely in terms of McDougall will doubtless find this volume a very satisfying expansion; but those who are at all inclined to support their psychological thinking by reference to experimental studies will not be so well pleased. The James-Lange theory, for example, is discussed without mention of the many experimental studies which it has provoked. Theoretical sources appear in general to be preferred to experimental investigations.

Human MotivationThe Mind in Action: A Study of Motives and Values. A. Campbell Garnett

We identify a specific channel (debt covenants) and the corresponding mechanism (transfer of control rights) through which financing frictions impact corporate investment. Using a regression discontinuity design, we show that capital investment declines sharply following a financial covenant violation, when creditors use the threat of accelerating the loan to intervene in management. Further, the reduction in investment is concentrated in situations where agency and information problems are relatively more severe, highlighting how the state contingent allocation of control rights can help mitigate investment distortions arising from financing frictions.

How Does Financing Impact Investment? The Role of Debt Covenants

Enclosed is a copy of the Board of Governors’ Semiannual Agenda of Regulations for the period August 1, 1980 through February 1, 1981. The Semiannual Agenda provides you with information on those regulatory matters that the Board now has under consideration or anticipates considering over the next six months, and is divided into three parts: (1) regulatory matters that the Board had considered during the previous six months on which final action has been taken; (2) regulatory matters that have been proposed for public comment and that require further Board consideration; and (3) regulatory matters that the Board may consider over the next six months.

Federal Reserve Bank of New Yorkの制定せる財務諸表様式について

The article shows that two measures of the amount of private information in stock price—price nonsynchronicity and probability of informed trading (PIN)—have a strong positive effect on the sensitivity of corporate investment to stock price. Moreover, the effect is robust to the inclusion of controls for managerial information and for other information-related variables. The results suggest that firm managers learn from the private information in stock price about their own firms’ fundamentals and incorporate this information in the corporate investment decisions. We relate our findings to an alternative explanation for the investment-to-price sensitivity, namely that it is generated by capital constraints, and show that both the learning channel and the alternative channel contribute to this sensitivity. (JEL G14, G31) Oneofthemainrolesoffinancialmarketsistheproductionandaggregation of information. This occurs via the trading process that transmits informationproducedbytradersfortheirownspeculativetradingintomarketprices [e.g.,Grossman and Stiglitz (1980), Glosten and Milgrom (1985), and Kyle (1985)]. The markets’ remarkable ability to produce information that generates precise predictions about real variables has been demonstrated empirically in several contexts. Roll (1984) showed that private information of citrus futures traders regarding weather conditions gets impounded into citrus futures’ prices, so that prices improve even public predictions of the weather. Relatedly, the literature on prediction markets has shown that

/pdf/price-informativeness-and-investment-sensitivity-to-stock-191tsieaox.pdf

Price Informativeness and Investment Sensitivity to Stock Price

Stock prices and real investments are highly correlated. Previous literature has offered two main explanations for this high correlation. The first explanation relies on price being informative about investment opportunities, the second one is based on financing constraints. In this paper we empirically examine the effect of price informativeness on the sensitivity of investment to stock price. Using price non-synchronicity and PIN as measures of price informativeness, we find that the degree of informativeness is positively correlated with the sensitivity of investment to stock price. Since, according to previous literature, these measures reflect private information, the result suggests that prices perform an active role, i.e., that managers learn from stock price when making investment decisions. This result is robust to the inclusion of various control variables (such as controls for managerial information) and to changes in specification.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID451322_code238096.pdf?abstractid=451322

Diamond and Dybvig (1983) show that while demand‐deposit contracts let banks provide liquidity, they expose them to panic-based bank runs. However, their model does not provide tools to derive the probability of the bank-run equilibrium, and thus cannot determine whether banks increase welfare overall. We study a modified model in which the fundamentals determine which equilibrium occurs. This lets us compute the ex ante probability of panic-based bank runs and relate it to the contract. We find conditions under which banks increase welfare overall and construct a demand‐deposit contract that trades off the benefits from liquidity against the costs of runs. ONE OF THE MOST IMPORTANT ROLES PERFORMED BY banks is the creation of liquid claims on illiquid assets. This is often done by offering demand‐deposit contracts. Such contracts give investors who might have early liquidity needs the option to withdraw their deposits, and thereby enable them to participate in profitable long-term investments. Since each bank deals with many investors, it can respond to their idiosyncratic liquidity shocks and thereby provide liquidity insurance. The advantage of demand‐deposit contracts is accompanied by a considerable drawback: The maturity mismatch between assets and liabilities makes banks inherently unstable by exposing them to the possibility of panic-based bank runs. Such runs occur when investors rush to withdraw their deposits, believing that other depositors are going to do so and that the bank will fail. As a result, the bank is forced to liquidate its long-term investments at a loss and indeed

/pdf/demand-deposit-contracts-and-the-probability-of-bank-runs-3s1w3zqrva.pdf

Demand–Deposit Contracts and the Probability of Bank Runs

https://finance.wharton.upenn.edu/~itayg/Files/fundrun-published.pdf

Payoff complementarities and financial fragility: Evidence from mutual fund outflows $

It is commonly believed that prices in secondary financial markets play an important allocational role because they contain information that facilitates the efficient allocation of resources. This paper identifies a limitation inherent in this role of prices. It shows that the presence of a feedback effect from the financial market to the real value of a firm creates an incentive for an uninformed trader to sell the firm’s stock. When this happens the informativeness of the stock price decreases, and the beneficial allocational role of the financial market weakens. The trader profits from this trading strategy, partly because his trading distorts the firm’s investment. We therefore refer to this strategy as manipulation. We show that trading without information is profitable only with sell orders, driving a wedge between the allocational implications of buyer and seller initiated speculation, and providing justification for restrictions on short sales.

/pdf/manipulation-and-the-allocational-role-of-prices-clu9ep118g.pdf

Itay Goldstein

Papers

Price Informativeness and Investment Sensitivity to Stock Price

Price Informativeness and Investment Sensitivity to Stock Price

Demand–Deposit Contracts and the Probability of Bank Runs

Payoff complementarities and financial fragility: Evidence from mutual fund outflows $

Manipulation and the Allocational Role of Prices