 | Associate Professor of Economics, Boston University Verified email at bu.edu Cited by 1199 |
This paper develops a framework for analyzing the impact of macroeconomic conditions on
credit risk and dynamic capital structure choice. We begin by observing that when cash flows
depend on current economic conditions, there will be a benefit for firms to adapt their ...
J Miao - The Journal of finance, 2005 - Wiley Online Library
This paper provides a competitive equilibrium model of capital structure and industry
dynamics. In the model, firms make financing, investment, entry, and exit decisions subject to
idiosyncratic technology shocks. The capital structure choice reflects the tradeoff between ...
LG Epstein… - Journal of Economic Dynamics and Control, 2003 - Elsevier
This paper describes a pure-exchange, continuous-time economy with two heterogeneous
agents and complete markets. A novel feature of the economy is that agents perceive some
security returns as ambiguous in the sense often attributed to Frank Knight. The ...
X Guo,
J Miao… - Journal of Economic Theory, 2005 - Elsevier
Under the real options approach to investment under uncertainty, agents formulate optimal
policies under the assumption that firms' growth prospects do not vary over time. This paper
proposes and solves a model of investment decisions in which the growth rate and ...
J Miao… - Journal of Financial Economics, 2007 - Elsevier
Entrepreneurs often face undiversifiable idiosyncratic risks from their business investments.
We extend the standard real options approach to an incomplete markets environment and
analyze the joint decisions of business investments, consumption/savings, and portfolio ...
N Ju… - Econometrica, 2009 - papers.ssrn.com
Abstract: We develop a consumption-based asset-pricing model in which the representative
agent is ambiguous about the hidden state in consumption growth. He learns about the
hidden state under ambiguity by observing past consumption data. His preferences are ...
J Miao - Journal of Economic Theory, 2006 - Elsevier
This paper studies competitive equilibria of a production economy with aggregate
productivity shocks. There is a continuum of consumers who face borrowing constraints and
individual labor endowment shocks. The dynamic economy is described in terms of ...
H Chen, N Ju… - AFA 2010 Atlanta Meetings Paper, 2011 - papers.ssrn.com
Abstract: We study an investor's optimal consumption and portfolio choice problem when he
is confronted with two possibly misspecified submodels of stock returns: one with IID returns
and the other with predictability. We adopt a generalized recursive ambiguity model to ...
J Miao… - Journal of Economic Dynamics and Control, 2011 - Elsevier
Many economic decisions can be described as an option exercise or optimal stopping
problem under uncertainty. Motivated by experimental evidence such as the Ellsberg
Paradox, we follow Knight (1921) and distinguish risk from uncertainty. To capture this ...
J Miao - Review of Economic dynamics, 2006 - Elsevier
This paper presents a search model of centralized and decentralized trade. In a centralized
market, trades are intermediated by market makers at publicly posted bid–ask prices. In a
decentralized market, traders search counterparties. Prices are negotiated and ...
D Bernhardt… - The Journal of Finance, 2004 - Wiley Online Library
This paper characterizes informed trade when speculators can acquire distinct signals of
varying quality about an asset's value at different dates. The most reasonable
characterization of private information about stocks is that while information is long-lived, ...
To study the long-run effect of dividend taxation on aggregate capital accumulation, we build
a dynamic general equilibrium model in which there is a continuum of firms subject to
idiosyncratic productivity shocks. We find that a dividend tax cut raises aggregate ...
J Miao - Economic Theory, 2008 - Springer
Abstract This paper adopts the Gul and Pensendorfer self-control utility model to analyze an
agent's option exercise decision under uncertainty over an infinite horizon. The agent
decides whether and when to do an irreversible activity. He is tempted by immediate ...
T Hayashi… - Theoretical Economics, 2011 - Wiley Online Library
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity
model that allows for a separation among intertemporal substitution, risk aversion, and
ambiguity aversion. We axiomatize this model using two approaches: the second-order ...
H Chen,
J Miao… - Review of Financial Studies, 2010 - Soc Financial Studies
Abstract We develop a dynamic incomplete-markets model of entrepreneurial firms, and
demonstrate the implications of nondiversifiable risks for entrepreneurs' interdependent
consumption, portfolio allocation, financing, investment, and business exit decisions. We ...
J Miao - Unpublished manuscript, University of Rochester, 2001 - Citeseer
Abstract This paper studies optimal consumption and portfolio choice in a Merton-style
model with incomplete information when there is a distinction between ambiguity and risk.
The latter distinction is afforded by adoption of recursive multiple-priors utility. The ...
J Miao… - 2007 - gsb.columbia.edu
Abstract We propose an analytically tractable continuous-time model of experimentation in
which a risk-averse entrepreneur cannot fully diversify the idiosyncratic risk from his
business investment. He makes consumption/savings and business exit decisions jointly, ...
J Miao - MS. University of Rochester, 2002 - people.bu.edu
Abstract This paper studies stationary equilibria of a production economy with a continuum
of heterogeneous consumers subject to borrowing constraints and individual Markov
endowment shocks. The existence of a stationary equilibrium is established. The ...
J Miao - Annals of Economics and Finance, 2004 - aeconf.net
This paper studies consumption/saving problem under Knightian uncertainty in a two period
setting. The multiple-priors utility model is adopted. The effects of income uncertainty and
capital uncertainty on optimal savings are analyzed by deriving closed form solutions. c© ...
Abstract: We develop a neoclassical partial equilibrium model to analyze the dynamic effects
of permanent and temporary dividend tax policies on corporate investment and financing
decisions. Facing a tax system with corporate and personal income taxes, dividend tax ...
J Miao - Annals of Economics and Finance, 2009 - people.bu.edu
This paper studies optimal consumption and portfolio choice in a Mertonstyle model with
incomplete information when there is a distinction between ambiguity and risk. The latter
distinction is afforded by adoption of recursive multiple-priors utility. The fundamental ...
R Albuquerque,
J Miao… - 2007 - nber.org
Abstract This paper provides an explanation for momentum and reversal in stock returns
within a rational expectations equilibrium framework in which investors are heterogeneous
in their information and investment opportunities. We assume that informed investors ...
J Miao… - 2011 - papers.ssrn.com
Abstract: We provide an infinite-horizon model of a production economy with bubbles, in
which firms meet stochastic investment opportunities and face credit constraints. Capital is
not only an input for production, but also serves as collateral. We show that bubbles on ...
J Miao… - 2010 - papers.ssrn.com
Abstract: We incorporate long-term defaultable corporate bonds and credit risk in a dynamic
stochastic general equilibrium business cycle model. Credit risk amplifies aggregate
technology shocks. The debt-capital ratio is a new state variable and its endogenous ...
J Miao - manuscript, December, 2003 - hassler-j.iies.su.se
Abstract This paper studies consumption/saving problem under Knightian uncertainty in a
two period setting. The multiple-priors utility model is adopted. The effects of income
uncertainty and capital uncertainty on optimal savings are analyzed by deriving closed ...
J Miao… - Simon School Working Paper No. FR 04-15, 2004 - papers.ssrn.com
Abstract: This paper analyzes a risk averse entrepreneur's real investment decision under
incomplete markets. The entrepreneur smoothes his intertemporal consumption by investing
in both a risk-free asset and a risky asset, which allows him to partially hedge against the ...
[CITATION] Firm heterogeneity and the long-run effects of dividend tax reform, forthcoming in American Economic Journal: Macroeconomics
D Hackbarth… - Boston University-Department of Economics …, 2008 - papers.ssrn.com
Abstract: This paper embeds a dynamic industry equilibrium model in a real options
framework to examine the interaction between product market competition and takeover
activity. Industry equilibrium generates endogenous synergy gains. Heterogeneous firms ...
D Hackbarth… - Washington University in St. Louis working …, 2007 - rhsmith.umd.edu
Abstract This paper develops a real options model to study the interaction between industry
structure and takeover activity. In an asymmetric industry equilibrium, firms have an
endogenous incentive to merge when restructuring decisions are motivated by operating ...
J Miao - Boston University-Department of Economics-Working …, 2008 - bu.edu
Abstract This paper presents an analytically tractable continuous-time general equilibrium
model with investment irreversibility and fixed adjustment costs. In the model, there is a
continuum of firms that are subject to idiosyncratic shocks to capital. Although the ...
R Albuquerque… - CEPR Discussion Paper No. 5818, 2006 - papers.ssrn.com
Abstract: This paper presents a contracting model of governance based on the premise that
CEOs are the main promoters of governance change. CEOs use their power to extract
higher pay or private benefits, and different governance structures are preferred by ...
GCLYD Sizhang… - Journal of Shanxi University (Natural …, 1986 - en.cnki.com.cn
Through the investigating of the ancient buildings of the Wutai Mo-Untain in Shanxi
Province, this paper studies the ancient lightningthunder theory and the lightning measures
in China. The conclusion is that the, ancient lightning measure mightbe realized by the ...
J Miao… - 2006 - mail.eaer.org
Abstract Empirical evidence shows that entrepreneurs on average do not earn more than
paid employees in terms of the net present value (NPV). One natural question is what makes
the entrepreneurs to stay in business. To address this question, we propose a continuous ...
J Miao… - 2011 - people.bu.edu
Abstract Stock price bubbles are often on productive assets and occur in a sector of the
economy. In addition, their occurence is often accompanied with credit booms. Incorporating
these features, we provide a two% sector endogenous growth model with credit% driven ...
LJ Kotlikoff… - 2010 - nber.org
The economics workings of the corporate income tax remain controversial. Harberger's
seminal 1962 article viewed the tax as raising the cost of capital used to produce corporate
goods. But corporate goods can be and generally are made by non-corporate firms, ...
J Miao… - manuscript, Boston University, 2005 - econ.duke.edu
Abstract This paper presents a recursive method for the computation of sequential
competitive equilibria in dynamic models with heterogeneous agents and market frictions.
This computational method builds on a convergent operator defined over an expanded set ...
[CITATION] Stock Market Bubbles and Business Cycles, work in progress
J Miao… - Boston University, 2011
[CITATION] Risk, uncertainty, and option exercise. Boston University and Columbia Business Scholl
J Miao… - 2007 - working paper
H Liu… - 2006 - papers.ssrn.com
Abstract: Conflicts of interest between insiders (eg, controlling shareholders) and outsiders
(eg, minority shareholders) are central to the analysis of modern corporation. In an
integrated continuous-time contingent claims framework with imperfect corporate ...
JA Birchenall, T Guo, W Hawkins, M Kapicka… - 2010 - econ.ucsb.edu
Abstract This paper studies a general equilibrium island model of mismatch and examines
the stationary properties of the equilibrium. Aggregate demand is uncertain and market
participants cannot instantaneously adjust to changes in demand. Changes in ...
[CITATION] ooCapital Structure
H Dirk, J Miao… - Credit Risk, and Macroeconomic ConditionspJournal of …, 2006
[CITATION] Zhao Xia. City's Spatial Analysis based on City Quality
M Jianjun - Journal of Finance and Economics, 2005
[CITATION] Entrepreneurial Finance and Non $ Diversifiable Risk, forthcoming in Review of Financial Studies
H Chen, J Miao… - 2010
[CITATION] Transitional dynamics of dividend tax and capital gains tax cuts
F Gourio… - Review of Economic Dynamics, 2010
J Miao, N Wang… - 2005 - business.hku.hk
Abstract Entrepreneurs often face undiversifiable idiosyncratic risks from their business
investments. Motivated by this observation, we extend the standard real options approach to
investment to an incomplete markets environment and analyze the joint decisions of ...
[CITATION] Bubbles and Total Factor Productivity, forthcoming in American Economic Review Papers and Proceedings
J Miao… - 2012
Abstract This paper presents a recursive method for the computation of dynamic competitive
equilibria in models with heterogeneous agents and market frictions. This computational
method builds on a convergent operator defined over an expanded set of state variables ...
J Miao… - Unpublished Paper, Boston University and HKUST, 2007 - people.bu.edu
Abstract Empirical and experimental evidence documents that money illusion is persistent
and widespread. This paper incorporates money illusion into two stochastic continuous-time
monetary models of endogenous growth. Motivated by psychology, we model an agent's ...
[CITATION] Generalized Recursive Ambiguity Preferences, work in progress
T Hayashi… - Boston University, 2009
J Miao… - work paper, Boston University and Hong Kong …, 2009 - papers.ssrn.com
Abstract: We present an analytically tractable general equilibrium business cycle model that
features micro-level investment lumpiness. We prove an exact irrelevance proposition which
provides sufficient conditions on preferences, technology, and the fixed cost distribution ...
J Miao… - 2005 - gsb.columbia.edu
Abstract Empirical evidence shows that entrepreneurs on average do not earn more than
paid employees in terms of present value. One may ask why individuals what to stay in
business and take entrepreneurial activities. To address this question, we propose a ...
[CITATION] On Approaches of Developing Chinese Central Cities (book style)
M Jianjun - 2004 - Nanjing: Southeast University Press
D Hackbarth… - … working paper, University of Illinois and …, 2011 - people.bu.edu
This article embeds an oligopolistic industry structure in a real options framework in which
synergy gains of horizontal mergers arise endogenously and vary stochastically over time.
We find that (i) mergers are more likely in more concentrated industries;(ii) mergers are ...
F Gourio… - Boston University-Department of Economics- …, 2008 - 128.197.153.21
Abstract We develop a dynamic general equilibrium model to study the impact of the 2003
dividend and capital gains tax cuts. Firms are heterogeneous in productivity and make
investment and financing decisions subject to capital adjustment costs, equity issuance ...
F Gourio… - Review of Economic Dynamics, 2011 - Elsevier
We develop a dynamic general equilibrium model to study the impact of the 2003 dividend
and capital gains tax cuts. In the model, firms are heterogeneous in productivity and make
investment and financing decisions subject to capital adjustment costs, equity issuance ...
J Miao… - … -Department of Economics-Working Papers Series, 2009 - ihome.ust.hk
Abstract This paper studies the impact of corporate tax policy on the economy in the
presence of both convex and nonconvex capital adjustment costs in a dynamic general
equilibrium model. We show that corporate tax policy generates both intensive and ...
D Xie… - 2007 - papers.ssrn.com
Abstract: Empirical and experimental evidence documents that money illusion is persistent
and widespread. This paper incorporates money illusion into two stochastic continuous-time
monetary models of endogenous growth. Motivated by psychology, we model an agent's ...
J WEI… - Science of Science and Management of S. & T, 2008 - en.cnki.com.cn
The operating environment changes made the competition between the industrial systems
turned into industrial system capacity competition. The study of intensive-capacity evolution
in industries system is adapted to this trend of development. Through advantages dynamic ...
N Wang… - 2006 - papers.ssrn.com
Abstract: Empirical evidence shows that entrepreneurs on average do not earn more than
paid employees in terms of the net present value (NPV). One natural question is what makes
the entrepreneurs to stay in business. To address this question, we propose a continuous ...
[CITATION] A Q-Theory Model with Lumpy Investment
X Guo,
J Miao… - 2002 - 128.151.238.65
Abstract This paper examines the impact of regime shifts on the valuation of corporate
securities and capital structure decisions. We provide closed-form solutions for the values of
corporate debt and equity when cash flows from the firm's assets follow a regime switching ...
J Miao… - work in progress, Boston University, 2011 - people.bu.edu
Abstract This paper develops a macroeconomic model with a banking sector in which banks
face endogenous borrowing constraints. There is no uncertainty about economic
fundamentals. Banking bubbles can emerge through a positive feedback loop mechanism ...
S Grenadier, J Miao… - 2004 - faculty.arts.ubc.ca
Abstract This paper provides a recursive contracting model to analyze the irreversible
investment decision for a decentralized firm when the manager has private information
about the investment cash flows. We show that compared to the full information ...
F Gourio… - Technical Appendices, 2010 - nber.org
In this appendix, we present the details of the extended model with debt in our paper
“Transitional Dynamics of Dividend and Capital Gains Tax Cuts.” Section 1 presents the
extended model and results. Section 2 presents the numerical algorithm to solve this ...
F Gourio… - Computer Codes, 2010 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to view
it first. In case of further problems read the IDEAS help page. Note that these files are not on the
IDEAS site. Please be patient as the files may be large. ... Software component provided ...
P Wang… - 2011 - papers.ssrn.com
Abstract: We incorporate long-term defaultable corporate bonds and credit risk in a dynamic
stochastic general equilibrium business cycle model. Credit risk amplifies aggregate
technology shocks. The debt-capital ratio is a new state variable and its endogenous ...
L Jianxin… - Review of Investment Studies, 2011 - en.cnki.com.cn
This article analyzes the dynamics of housing prices in 35 large and medium-sized
cities'(LMSCs) in China between 1997 and 2007 from both theoretical and empirical levels
and investigates the rolse of different urban factors in determining housing prices. The ...
P Wang… - 2010 - papers.ssrn.com
Abstract: This paper studies the impact of corporate tax policy on the economy in the
presence of both convex and nonconvex capital adjustment costs in a dynamic general
equilibrium model. We show that corporate tax policy generates both intensive and ...
C Dewen… - Industrial Economics Research, 2011 - en.cnki.com.cn
Considering the agglomeration effects this paper use Stochastic Frontier Analysis method to
measure regional technical efficiency and then use spatial econometric to analyze regional
technical efficiency from institution economic factor innovation and spatial effects. The ...
N Wang… - 2011 - papers.ssrn.com
Abstract: Many economic decisions can be described as an option exercise or optimal
stopping problem under uncertainty. Motivated by experimental evidence such as the
Ellsberg Paradox, we follow Knight (1921) and distinguish risk from uncertainty. To afford ...
J Miao… - 2010 - ideas.repec.org
We propose a novel generalized recursive smooth ambiguity model which permits a three-
way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We
apply this utility model to a consumption-based asset-pricing model in which consumption ...
M Siniscalchi, T Hayashi, J Miao… - Wiley Online Library
Skip to Main Content. ...
Abstract: This article embeds an oligopolistic industry structure in a real options framework in
which synergy gains of horizontal mergers arise endogenously and vary stochastically over
time. We find that (i) mergers are more likely in more concentrated industries;(ii) mergers ...
M Jianjun - Journal of Tongji University Social Science Section, 2002 - en.cnki.com.cn
It is an important perspective to unscramble the development of China's regional economy
by meditating china's economy from the angle of institutional arrangement and performance
of urban economy. This mediation may undergo two periods. at different development ...
J Miao, B Wei… - 2012 - papers.ssrn.com
Abstract: Little is known about the variance premium puzzle-the historical variance premium
(the difference between risk-neutral and objective expectations of market return variance) is
an order of magnitude greater than can be rationalized in a standard asset pricing model. ...
R Albuquerque… - 2006 - cepr.org
This paper presents a contracting model of governance based on the premise that CEOs are
the main promoters of governance change. CEOs use their power to extract higher pay or
private benefits, and different governance structures are preferred by different CEOs as ...
J Miao… - 2010 - ideas.repec.org
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity
model that allows for a separation among intertemporal substitution, risk aversion, and
ambiguity aversion. We axiomatize this model using two approaches: the second-order ...
J Miao… - 2011 - richmondfed.org
Abstract Bubbles are often on productive assets and occur in a sector of the economy. In
addition, their occurence is often accompanied with credit booms. Incorporating these
features, we provide a two% sector endogenous growth model with credit% driven ...
J Miao… - 2012 - papers.ssrn.com
Abstract: This paper introduces endogenous credit constraints in a search model of
unemployment. These constraints generate multiple equilibria supported by self-fulfilling
beliefs. A stock market bubble exists through a positive feedback loop mechanism. The ...
D Hackbarth… - Journal of Economic Dynamics and Control, 2011 - Elsevier
This paper embeds an oligopolistic industry structure in a real options framework in which
synergy gains of horizontal mergers arise endogenously and vary stochastically over time.
We find that (i) mergers are more likely in more concentrated industries;(ii) mergers are ...
M Jianjun - Value Engineering, 2009 - en.cnki.com.cn
Conerning the increasing social attention and views on the wage levels of college teachers,
and combined with China's ongoing reform of the income distribution system in institutions,
this paper, comparing GDP and the the wage levels both in China and the United States, ...
H Chen,
J Miao… - 2008 - economics.ku.edu
Abstract Entrepreneurs face significant non-diversifiable idiosyncratic business risks. In a
dynamic incomplete-markets model of entrepreneurial finance, we show that such risks have
important implications for their interdependent consumption/saving, portfolio choice, ...
J Miao - 2009 - cema.cufe.edu.cn
Course Overview This course introduces the theory and application of dynamic optimization
and equilibrium analysis in discrete time. It aims at providing necessary techniques for
graduate students to analyze economic dynamics. The topics focus on analyzing and ...
Course Overview This course introduces the theory and application of dynamic optimization
and equilibrium analysis in discrete time. It aims at providing nec% essary techniques for
graduate students to analyze economic dynamics. The topics focus on analyzing and ...
H Chen,
J Miao… - 2008 - leeds-faculty.colorado.edu
Abstract Entrepreneurs face significant non-diversifiable idiosyncratic business risks. In a
dynamic incomplete-markets model of entrepreneurial finance, we show that such risks have
important implications for their interdependent consumption/saving, portfolio choice, ...
M Santos… - 2005 Meeting Papers, 2005 - ideas.repec.org
This paper presents a recursive method for the computation of sequential competitive
equilibria in dynamic models with heterogeneous agents and market frictions. This
computational method builds on a convergent operator defined over an expanded set of ...
J Miao - 2003 - en.scientificcommons.org
Publikationsansicht. 56403034. Essays on dynamic general equilibrium models : theory and
applications / (2003). Miao, Jianjun. Abstract. NY, Univ. of Rochester, Dep. of Economics,
Diss.--Rochester, 2003.. Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr. ...
R Albuquerque… - 2007 - cepr.org
This paper provides an explanation for momentum and reversal in stock returns within a
rational expectations framework in which investors are heterogeneous in their information
and investment opportunities. We assume that informed agents privately receive advance ...
J CHEN… - Industrial Economics Research, 2008 - en.cnki.com.cn
The answer to the question that whether competition or monopoly is more effective always
not clear, especially today while modular times coming, so, the study on monopoly efficiency
in modular times has a big meaning. Based on the background of modularization and its ...
Evidence shows that asset price bubbles typically precede financial crises and financial
crises are accompanied by the collapse of bubbles. In addition, stock market booms and
busts are typically associated with credit market booms and busts. The recent US housing ...
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