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  • Working Papers | Penn Economics
    a subjective analogue of Blackwell s 1951 1953 comparisons of experiments We proceed to analyze a model in which signals are subsets of the state space The corresponding representation enables us to compare the behavior of two decision makers who expect to learn differently even if they do not agree on their prior beliefs The class of information systems that can support such a representation generalizes the notion of modeling information as a partition of the state space We apply the model to study a decision maker who anticipates subjective uncertainty to be resolved gradually over time We derive a representation that uniquely identifies both the filtration which is the timing of information arrival with the sequence of partitions it induces and the decision maker s prior beliefs Download Paper 11 036 David Dillenberger Andrew Postlewaite Kareen Rozen Optimism and Pessimism with Expected Utility Savage 1954 provided a set of axioms on preferences over acts that were equivalent to the existence of an expected utility representation We show that in addition to this representation there is a continuum of other expected utility representations in which for any act the probability distribution over states depends on the corresponding outcomes We suggest that optimism and pessimism can be captured by the stake dependent probabilities in these alternative representations e g for a pessimist the probability of every outcome except the worst is distorted down from the Savage probability Extending the DM s preferences to be de ned on both subjective acts and objective lotteries we show how one may distinguish optimists from pessimists and separate attitude towards uncertainty from curvature of the utility function over monetary prizes Download Paper 11 004 David Dillenberger Kareen Rozen History Dependent Risk Attitude We propose a model of history dependent risk attitude HDRA allowing the attitude

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=969 (2015-07-10)
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  • Working Papers | Penn Economics
    2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 Paper Author Title Search Working Paper Contains Year enter keywords Options Print Email Share 11 042 David Dillenberger Philipp Sadowski Models of Subjective Learning We study a decision maker who faces a dynamic decision problem in which the process of information arrival is subjective By studying preferences over menus of acts we derive a sequence of utility representations that captures the decision maker s uncertainty about the beliefs he will hold when choosing from a menu In the most general model of second order beliefs we characterize a notion of more preference for flexibility via a subjective analogue of Blackwell s 1951 1953 comparisons of experiments We proceed to analyze a model in which signals are subsets of the state space The corresponding representation enables us to compare the behavior of two decision makers who expect to learn differently even if they do not agree on their prior beliefs The class of information systems that can support such a representation generalizes the notion of modeling information as a partition of the state space We apply the model to study a decision maker who anticipates subjective uncertainty to be

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=240 (2015-07-10)
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  • Working Papers | Penn Economics
    age at first marriage Download Paper 11 032 Jere R Behrman Susan W Parker The Impact of the PROGRESA Oportunidades Conditional Cash Transfer Program on Health and Related Outcomes for the Aging in Mexico Conditional cash transfer CCT programs link public transfers to human capital investment in hopes of alleviating current poverty and reducing its intergenerational transmission Whereas nearly all studies of their impacts have focused on youth these CCT programs may also have an impact on aging adults by increasing household resources or inducing changes in allocations of time of various household members that may be of substantial interest particularly given the rapid aging of most populations This paper contributes to this under researched area by examining health and work impacts on the aging for the bestknown and most influential of these programs the Mexican PROGRESA Oportunidades program For a number of health indicators the program appears to significantly improve health with impacts that are larger with a greater time receiving the program However most of these health impacts are concentrated on women Download Paper 11 024 Jere R Behrman Jorge Gallardo Garcia Susan W Parker Petra E Todd Viviana Velez Grajales Are Conditional Cash Transfers Effective in Urban Areas Evidence from Mexico Conditional cash transfer CCT programs have spread worldwide as a new form of social assistance for the poor Previous evaluations of CCT programs focus mainly on rural settings and little is known about their effects in urban areas This paper studies the short term one and two year effects of the Mexican Oportunidades CCT program on urban children youth The program provides financial incentives for children youth to attend school and for family members to visit health clinics To participate families had to sign up for the program and be deemed eligible Difference in difference propensity

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=965 (2015-07-10)
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  • Working Papers | Penn Economics
    studies the aggregate consequences of individual learning in the labor market Specifically I examine this issue in a model of directed search on the job Once matched a firm worker pair gradually learns the match specific quality taking the history of realized production as signals Heterogeneity in beliefs about the match quality and in the job search behavior of workers naturally occurs resulting from a variety of individual histories I

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=3831 (2015-07-10)
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  • Working Papers | Penn Economics
    these questions in a dynamic regime change game that highlights the interaction between the central bank s reputation building and speculators individual learning On the one hand the central bank has private information about its value from the currency peg and decides whether to maintain it By defending against speculative attacks it can build a reputation of defending which may deter future attacks On the other hand speculators individually learn the central bank s value and such learning may encourage speculators to coordinate an attack I show that though learning makes the central bank s value approximate common knowledge over time there is a unique equilibrium when learning is slow In this equilibrium no speculator attacks and the central bank sustains the currency peg forever because the central bank obtains commitment power through the incentive to build a reputation When learning is fast there may be equilibria with attacks In any equilibrium with attacks the onset of the attack depends on the entire learning process Once speculators attack they attack frequently and infinitely often Consequently the central bank has no incentive to build a reputation Download Paper 11 021 Chong Huang Coordination and Social Learning This paper studies the interaction

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=3638 (2015-07-10)
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  • Working Papers | Penn Economics
    in dead ends Because firms benefit from their competitors working in the wrong direction they do not reveal their dead end findings Time and resources are wasted on projects that other firms have already found to be dead ends Consequently technological progress is slowed down and the society benefits from innovations with delay if ever To study this prevalent problem we build a tractable two arm bandit model with two

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=943 (2015-07-10)
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  • Working Papers | Penn Economics
    approaches to market risk measurement such as historical simulation or RiskMetrics In contrast we propose flexible methods that exploit recent developments in fi nancial econometrics and are likely to produce more accurate risk assessments treating both portfolio level and asset level analysis Asset level analysis is particularly challenging because the demands of real world risk management in financial institutions in particular real time risk tracking in very high dimensional situations

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=471 (2015-07-10)
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  • Working Papers | Penn Economics
    level analysis is particularly challenging because the demands of real world risk management in financial institutions in particular real time risk tracking in very high dimensional situations impose strict limits on model complexity Hence we stress powerful yet parsimonious models that are easily estimated In addition we emphasize the need for deeper understanding of the links between market risk and macroeconomic fundamentals focusing primarily on links among equity return volatilities real growth and real growth volatilities Throughout we strive not only to deepen our scienti c understanding of market risk but also cross fertilize the academic and practitioner communities promoting improved market risk measurement technologies that draw on the best of both Download Paper 11 031 Francis X Diebold Kamil Yilmaz On the Network Topology of Variance Decompositions Measuring the Connectedness of Financial Firms We propose several connectedness measures built from pieces of variance decompositions and we argue that they provide natural and insightful measures of connectedness among fi nancial asset returns and volatilities We also show that variance decompositions defi ne weighted directed networks so that our connectedness measures are intimately related to key measures of connectedness used in the network literature Building on these insights we track both

    Original URL path: http://economics.sas.upenn.edu/pier/working-papers?year=2011&wp_author_id=946 (2015-07-10)
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