Tinbergen Institute

About: Tinbergen Institute is a education organization based out in Rotterdam, Netherlands. It is known for research contribution in the topics: Volatility (finance) & Competition (economics). The organization has 565 authors who have published 3157 publications receiving 82800 citations.

Sorting and the Output Loss Due to Search Frictions

Abstract: We analyze a general search model with on-the-job search and sorting of heterogeneous workers into heterogeneous jobs. This model yields a simple relationship between (i) the unemployment rate, (ii) the value of non-market time, and (iii) the max-mean wage differential. The latter measure of wage dispersion is more robust than measures based on the reservation wage, due to the long left tail of the wage distribution. We estimate this wage differential using data on match quality and allow for measurement error. The estimated wage dispersion and mismatch for the US is consistent with an unemployment rate of 4-6%. We find that without search frictions, output would be between 7.5% and 18.5% higher, depending on whether or not firms can ex ante commit to wage payments.

Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate

Abstract: Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow after the announcement to discover the full impact. This customer flow informativeness is strongest when analyst macro forecasts are most dispersed. The result holds for 30-year treasury futures trading in both electronic and open-outcry markets. We further show that intermediaries benefit from privately recognizing informed customer flow, as their own-account trading profitability correlates with customer order access.

Outlier Robust Gmm Estimation of Leverage Determinants in Linear Dynamic Panel Data Models

Abstract: The GMM estimator that is usually employed in the panel data literature, has an unbounded influence function. This means that the estimator is easily influenced by outliers in the data. This paper develops a variant of the GMM estimator that is less sensitive to anomalous observations. Conditions for consistency and asymptotic normality of the robust estimator are presented. The robustness properties of the new estimator are investigated by means of simulation. An empirical illustration is provided, in which the determinants of a firm's capital structure are investigated using a panel of American firms. The application shows that the robust GMM estimator can be a very useful tool in empirical model building.

'Where Ignorance is Bliss, 'Tis Folly to Be Wise': Transparency in Contests

Abstract: Disclosure of lobbying activity has become much more timely and stringent in the US, and many demand similar regulation also for lobbying in the European Union. Disclosure informs voters about a lobbyist’s activity, but it also informs rival lobbying groups, with strategic consequences. Under mild conditions, we show that mandatory real-time disclosure exacerbates wasteful lobbying and worsens the allocative efficiency of resulting policies. Our model highlights that the timing of disclosure is an important policy choice, even apart from the amount of disclosure. Delayed disclosure raises welfare compared to instantaneous disclosure.