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User profiles for author:"Jianjun Miao"

Jianjun Miao

Associate Professor of Economics, Boston University
Verified email at bu.edu
Cited by 1199

Capital structure, credit risk, and macroeconomic conditions

[PDF] from sfi.ch
Full text - MIT Libraries
D Hackbarth, J Miao… - Journal of Financial Economics, 2006 - Elsevier
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 ...
Cited by 232 - Related articles - All 32 versions

Optimal capital structure and industry dynamics

[PDF] from psu.edu
Full text - MIT Libraries
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 ...
Cited by 155 - Related articles - BL Direct - All 33 versions

A two-person dynamic equilibrium under ambiguity

[PDF] from su.se
Full text - MIT Libraries
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 ...
Cited by 151 - Related articles - Library Search - BL Direct - All 14 versions

Irreversible investment with regime shifts

[PDF] from upi-yptk.ac.id
Full text - MIT Libraries
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 ...
Cited by 89 - Related articles - All 27 versions

Investment, consumption, and hedging under incomplete markets

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 81 - Related articles - Library Search - BL Direct - All 46 versions

Ambiguity, learning, and asset returns

[PDF] from uni-muenchen.de
Full text - MIT Libraries
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 ...
Cited by 77 - Related articles - Library Search - All 52 versions

Competitive equilibria of economies with a continuum of consumers and aggregate shocks

[PDF] from 129.3.20.41
Full text - MIT Libraries
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 ...
Cited by 52 - Related articles - All 32 versions

Dynamic asset allocation with ambiguous return predictability

[PDF] from mit.edu
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 ...
Cited by 35 - Related articles - All 25 versions

Risk, uncertainty, and option exercise

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 33 - Related articles - All 27 versions

A search model of centralized and decentralized trade

[PDF] from psu.edu
Full text - MIT Libraries
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 ...
Cited by 31 - Related articles - All 25 versions

Informed trading when information becomes stale

[PDF] from bu.edu
Full text - MIT Libraries
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, ...
Cited by 26 - Related articles - BL Direct - All 25 versions

Firm heterogeneity and the long-run effects of dividend tax reform

[PDF] from bu.edu
F Gourio… - 2009 - nber.org
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 ...
Cited by 20 - Related articles - Library Search - All 48 versions

Option exercise with temptation

[PDF] from bu.edu
Full text - MIT Libraries
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 ...
Cited by 16 - Related articles - BL Direct - All 28 versions

Intertemporal substitution and recursive smooth ambiguity preferences

[PDF] from econtheory.org
Full text - MIT Libraries
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 ...
Cited by 15 - Related articles - All 21 versions

Entrepreneurial finance and nondiversifiable risk

[PDF] from mit.edu
Full text - MIT Libraries
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 ...
Cited by 14 - Related articles - Library Search - All 53 versions

[PDF] Ambiguity, risk and portfolio choice under incomplete information

[PDF] from psu.edu
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 ...
Cited by 13 - Related articles - View as HTML - All 4 versions

[PDF] Experimentation under uninsurable idiosyncratic risk: An application to entrepreneurial survival

[PDF] from columbia.edu
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, ...
Cited by 11 - Related articles - View as HTML - Get it from MIT Libraries - All 7 versions

[PDF] Stationary equilibria of economies with a continuum of heterogeneous consumers

[PDF] from bu.edu
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 ...
Cited by 11 - Related articles - View as HTML - All 10 versions

[PDF] A note on consumption and savings under Knightian uncertainty

[PDF] from aeconf.net
Full text - MIT Libraries
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© ...
Cited by 12 - Related articles - View as HTML - All 6 versions

Dynamic effects of permanent and temporary dividend tax policies on corporate investment and financial policies

[PDF] from bu.edu
F Gourio… - 2007 - papers.ssrn.com
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 ...
Cited by 10 - Related articles - All 7 versions

[PDF] Ambiguity, risk and portfolio choice under incomplete information

[PDF] from bu.edu
Full text - MIT Libraries
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 ...
Cited by 10 - Related articles - View as HTML - All 14 versions

[BOOK] Advance information and asset prices

[PDF] from nber.org
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 ...
Cited by 11 - Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 35 versions

Bubbles and Credit Constraints

[PDF] from sdu.dk
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 ...
Cited by 9 - Related articles - All 31 versions

Credit Risk and Business Cycles

[PDF] from cafr-sif.com
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 ...
Cited by 8 - Related articles - All 18 versions

[PDF] Consumption and saving under Knightian uncertainty

[PDF] from su.se
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 ...
Cited by 6 - Related articles - View as HTML - All 18 versions

Investment, Hedging, and Consumption Smoothing

[PDF] from columbia.edu
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 ...
Cited by 6 - Related articles - All 18 versions

[CITATION] Firm heterogeneity and the long-run effects of dividend tax reform, forthcoming in American Economic Journal: Macroeconomics

F Gourio… - 2008
Cited by 6 - Related articles

The timing and returns of mergers and acquisitions in oligopolistic industries

[PDF] from psu.edu
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 ...
Cited by 5 - Related articles - All 33 versions

[PDF] The dynamics of mergers and acquisitions in oligopolistic industries

[PDF] from umd.edu
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 ...
Cited by 5 - Related articles - View as HTML - All 11 versions

[PDF] Corporate Tax Policy and Long-Run Capital Formation: The Role of Irreversibility and Fixed Costs

[PDF] from bu.edu
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 ...
Cited by 5 - Related articles - View as HTML - All 16 versions

CEO power, compensation and governance

[PDF] from bu.edu
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 ...
Cited by 4 - Related articles - Library Search - BL Direct - All 23 versions

[CITATION] Reviewing the Ancient Lightning Measure in China by Investigating the Ancient Building Group in Wutai Mountain I [J]

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 ...
Cited by 4 - Related articles - Cached

Learning, investment, and entrepreneurial survival: a real options approach

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 ...
Cited by 4 - View as HTML

[PDF] Sectoral Bubbles and Endogenous Growth

[PDF] from bu.edu
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 ...
Cited by 4 - Related articles - View as HTML - All 5 versions

What does the corporate income tax tax? a simple model without capital

[PDF] from psu.edu
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, ...
Cited by 3 - Related articles - Library Search - All 13 versions

[PDF] Numerical Solution of Dynamic Non-Optimal Economies

[PDF] from duke.edu
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 ...
Cited by 3 - Related articles - View as HTML - All 20 versions

[CITATION] Stock Market Bubbles and Business Cycles, work in progress

J Miao… - Boston University, 2011
Cited by 4 - Related articles

[CITATION] Risk, uncertainty, and option exercise. Boston University and Columbia Business Scholl

J Miao… - 2007 - working paper
Cited by 3 - Related articles - Get it from MIT Libraries

Managerial Preferences, Corporate Governance, and Financial Structure

[PDF] from bu.edu
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 ...
Cited by 3 - Related articles - All 16 versions

[PDF] A Competitive Theory of Mismatch

[PDF] from ucsb.edu
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 ...
Cited by 4 - Related articles - View as HTML - All 3 versions

[CITATION] ooCapital Structure

H Dirk, J Miao… - Credit Risk, and Macroeconomic ConditionspJournal of …, 2006
Cited by 3 - Related articles

[CITATION] Zhao Xia. City's Spatial Analysis based on City Quality

Full text - MIT Libraries
M Jianjun - Journal of Finance and Economics, 2005
Cited by 3 - Related articles

[CITATION] Entrepreneurial Finance and Non $ Diversifiable Risk, forthcoming in Review of Financial Studies

H Chen, J Miao… - 2010
Cited by 3 - Related articles

[CITATION] Transitional dynamics of dividend tax and capital gains tax cuts

F Gourio… - Review of Economic Dynamics, 2010
Cited by 2 - Related articles - Get it from MIT Libraries

[BOOK] Investment, Consumption and Hedging

[PDF] from hku.hk
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 ...
Cited by 2 - Related articles - View as HTML - Get it from MIT Libraries - Library Search

[CITATION] Bubbles and Total Factor Productivity, forthcoming in American Economic Review Papers and Proceedings

J Miao… - 2012
Cited by 3 - Related articles

[PDF] Computing Nonoptimal Dynamic Competitive Equilibria

[PDF] from webmeets.com
Z Feng, J Miao, A Peralta-Alva… - 2009 - webmeets.com
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 ...
Cited by 2 - Related articles - View as HTML

[PDF] Monetary Policy and Economic Growth under Money Illusion

[PDF] from bu.edu
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 ...
Cited by 2 - Related articles - View as HTML - All 16 versions

[CITATION] Generalized Recursive Ambiguity Preferences, work in progress

T Hayashi… - Boston University, 2009
Cited by 2 - Related articles

Does Lumpy Investment Matter for Business Cycles?

[PDF] from uni-muenchen.de
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 ...
Cited by 2 - Related articles - All 32 versions

[PDF] Learning, Investment and Entrepreneurial Survival

[PDF] from columbia.edu
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 ...
Cited by 2 - Related articles - View as HTML - Get it from MIT Libraries - All 5 versions

[CITATION] On Approaches of Developing Chinese Central Cities (book style)

M Jianjun - 2004 - Nanjing: Southeast University Press
Cited by 2 - Related articles

[PDF] Mergers and acquisitions in oligopolistic industries

[PDF] from bu.edu
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 ...
Cited by 3 - Related articles - View as HTML - All 3 versions

[PDF] Transitional Dynamics of Dividend Tax Reform

[PDF] from 128.197.153.21
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 ...
Cited by 2 - Related articles - View as HTML - All 12 versions

Transitional dynamics of dividend and capital gains tax cuts

[PDF] from psu.edu
Full text - MIT Libraries
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 ...
Cited by 1 - Related articles - Library Search - All 15 versions

[PDF] Lumpy Investment and Corporate Tax Policy

[PDF] from ust.hk
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 ...
Cited by 1 - Related articles - View as HTML - All 12 versions

Monetary Policy and Economic Growth Under Money Illusion

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 ...
Cited by 1 - Related articles

Research of the Capacity-Intensive Evolution in Industry System Based on the Advantage Theory [J]

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 ...
Cited by 1 - Related articles - Cached

Learning, investment, and entrepreneurial survival: a real options approach

[PDF] from psu.edu
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 ...
Cited by 1 - Related articles - All 2 versions

[CITATION] A Q-Theory Model with Lumpy Investment

J Miao… - 2011 - Mimeo
Cited by 1 - Related articles - All 3 versions

[PDF] Optimal Capital Structure with Regime Shifts

[PDF] from 128.151.238.65
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 ...
Cited by 1 - Related articles - View as HTML

[PDF] Banking Bubbles and Financial Crisis

[PDF] from bu.edu
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 ...
Cited by 2 - Related articles - View as HTML - All 3 versions

[PDF] Irreversible investment under dynamic agency

[PDF] from ubc.ca
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 ...
Cited by 1 - Related articles - View as HTML - All 4 versions

[PDF] Technical Appendix to" Transitional Dynamics of Dividend and Capital Gains Tax Cuts"

[PDF] from nber.org
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 ...
View as HTML - All 8 versions

[CITATION] Code and data files for" Transitional Dynamics of Dividend and Capital Gains Tax Cuts"

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 ...
Cached - All 3 versions

Credit Risk and Business Cycles

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 ...
Related articles

The Determinants and Dynamic Properties of China's Urban Housing Prices

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 ...
Cached

Lumpy Investment and Corporate Tax Policy

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 ...

Research on Region Technical Efficiency and Spatial Effects Based on the Panel Data of China Province

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 ...
Related articles - Cached

Risk, Uncertainty, and Option Exercise

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 ...
Related articles

Ambiguity, Learning, And Asset Returns

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 ...
Cached

Josef Hofbauer and William H. Sandholm Survival of dominated strategies under evolutionary dynamics............... 341

M Siniscalchi, T Hayashi, J Miao… - Wiley Online Library
Skip to Main Content. ...

The Dynamics of Mergers and Acquisitions in Oligopolistic Industries

J Miao… - 2008 - ssrn.com
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 ...
All 2 versions

Institutional Arrangement and Performance of the Urban Economy in China

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 ...
Cached

Ambiguity Aversion and Variance Premium

[PDF] from 128.197.153.21
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. ...

DP5818 CEO Power, Compensation and Governance

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 ...
Cached - All 3 versions

Intertemporal substitution and recursive smooth ambiguity preferences

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 ...
Cached

[PDF] Sectoral Bubbles and Economic Growth

[PDF] from richmondfed.org
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 ...
Related articles - View as HTML - All 2 versions

Stock Market Bubbles and Unemployment

[PDF] from ust.hk
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 ...

The dynamics of mergers and acquisitions in oligopolistic industries

[PDF] from illinois.edu
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 ...
Cited by 1 - Related articles - Get it from MIT Libraries - All 6 versions

[CITATION] To Study on Comparing of the Wage Levels between China with US in Teachers of College

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, ...
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[PDF] under Non-diversifiable Idiosyncratic Risk

[PDF] from ku.edu
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, ...
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[PDF] Economic Dynamics

[PDF] from cufe.edu.cn
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 ...
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[PDF] EC 744: Economic Dynamics

[PDF] from bu.edu
J Miao - 2010 - people.bu.edu
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 ...
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[PDF] Entrepreneurial Financing and Project Choice under Non-diversifiable Idiosyncratic Risk

[PDF] from colorado.edu
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, ...
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Numerical Solution of Dynamic Non-Optimal Economies

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 ...
Cached - All 4 versions

[CITATION] Essays on Dynamic General Equilibrium Models: Theory and Applications

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. ...
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DP6588 Advance Information and Asset Prices

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 ...
Cached - All 3 versions

Study on Monopoly Efficiency in Modular Times

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 ...
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[PDF] Bubbles and Total Factor Productivity

[PDF] from bu.edu
J MIAO… - people.bu.edu
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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