Questions tagged [academic-graduate]

Expert level questions which do not arise prior to graduate studies in economics.

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How do I use the Malliavin calculus to solve for the optimal trading strategy in the classic Merton problem?

How do I use the Malliavin calculus to solve for the optimal trading strategy in the classic Merton problem? In Duffie's book "Dynamic Asset Pricing," he outlines the "Martingale method" of solving ...
  • 9,295
7 votes
0 answers

Has any progress been made on the Pacman Conjecture on Finite Time Horizons?

The Pacman conjecture states that the optimal strategy for monopolistic durable goods manufacturers is to set price high and slowly drop it (i.e. eating their way down the demand curve). Empirically ...
5 votes
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Can repeated bidding in an auction make each player's type common knowledge?

In Benjamin Edelman, Michael Ostrovsky, and Michael Schwarz(2007), there's a hand-waving argument to justify their setting as a game of complete information: we assume that all values are common ...
3 votes
0 answers

Solving this system of ODE

I have the following system of equations $$ \rho V(u, \epsilon^i) = F(u, \epsilon^i) + V_u(u, \epsilon^i)g(u, V(u, \epsilon^i) + \lambda^i \left(V(u, \epsilon^{-i}) - V(u, \epsilon^i)\right)$$ with $...
  • 10.6k
2 votes
0 answers

Hot Topics in Labor-Macro

I'm interested in currently hot research topics within Labor Macro. I'm only aware of the debate on the recent shift in the US Beveridge curve, and, of course, the olden but golden Shimer puzzle. ...
  • 10.6k
2 votes
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A Perfect Bayesian Bargaining problem

Thought I'd post interesting questions that come my way to try and boost activity! A seller and a buyer negotiate over trade of a single indivisible good. The good is either of low quality (in which ...
  • 431
2 votes
0 answers

How this ex ante game induce a uniform distribution for interim stage?

In an article (see here) from the blog leisure of theory class, it is shown, in an interim stage for a Baysian game, we could run into a technical problem that the induced belief space for a player ...
1 vote
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Interpolating GDP

So I'm conducting a test on the strength of the APT model using data, I wanted to use GDP as one of my variables but it uses quarterly data, whereas the rest of my dataset is monthly. So, my question ...
  • 11
1 vote
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Which of the possible monetary policy channels is there empirical evidence for?

There are many possible monetary policy channels. These channels are the different ways that changes in the Fed's interest rates can affect the economy: exchange rate depreciations, business ...
  • 2,628
1 vote
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Evidence of firm borrowing and loans

I'm absolutely not from firm financing and look to read up on the subject, but mostly onto empirical stuff. Standard questions would be: What is the ratio of firms that finance themselves with bank ...
  • 10.6k
0 votes
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PhD Micro and Macro Comprehensive Exams

I am interested in seeing some old examples of PhD comprehensive exams in both Micro and Macro. I have seen that previous posts (like this one) had some suggestions given, but some of the links (such ...