Learning, Parameter Drift, and the Credibility Revolution

This paper analyses extrapolation and inference using tax experiments in dynamic economies when shock processes are latent regime-shifting Markov chains. Belief revisions result in severe parameter drift: Response signs and magnitudes vary widely over time despite ideal exogeneity. Even with linear causal effects, shock responses are non-linear, preventing direct extrapolation. Analytical formulae are derived for extrapolating responses or inferring causal parameters. Extrapolation and inference hinges upon shock histories and correct assumptions regarding potential data generating processes. A martingale condition is necessary and sufficient for shock responses to directly recover comparative statics, but stochastic monotonicity is insufficient for correct sign inference

Effect of resonances on the transport properties of two-dimensional disordered systems

We study both analytically and numerically how the electronic structure and the transport properties of a two-dimensional disordered system are modified in the presence of resonances. The energy dependence of the density of states and the localization length at different resonance energies and strengths of coupling between resonances and random states are determined. The results show, that at energy equals to the resonance energy there is an enhancement in the density of states. In contrast, the localization length remains unaffected from the presence of the resonances and is similar to the one of the standard Anderson model. Finally, we calculate the diffusion constant as a function of energy and we reveal interesting analogies with experimental results on light scattering in the presence of Mie resonances.Comment: 4 pages, 4 figures, accepted in Phys. Rev. B (2000

Resonant tunneling of electromagnetic waves through polariton gaps

We consider resonant tunneling of electromagnetic waves through an optical barrier formed by dielectric layers with the frequency dispersion of their dielectric permiability. The frequency region between lower and upper polariton branches in these materials presents a stop band for electromagnetic waves. We show that resonance tunneling through this kind of barriers is qualitatevely different from tunneling through other kind of optical barriers as well as from quantum mechanic tunneling through a rectangular barrier. We find that the width of the resonance maxima of the transmission coeffcient tends to zero as frequency approach the lower boundary of the stop band in a very sharp non-analytical way. Resonance transmission peaks give rise to new photonic bands inside the stop band if one considers periodical array of the layers.Comment: 8 pages, 5 figure

Investment, capital stock, and replacement cost of assets when economic depreciation is non-geometric

This paper extends the Q-theory of investment to capital goods with arbitrary efficiency profiles. When efficiency is non-geometric, the firm's capital stock and the replacement cost of its assets are fundamentally different aggregates of the firm's investment history. If capital goods have constant efficiency over a finite useful life, simple proxies are readily available for both the replacement cost of assets in place and capital stock. Under this assumption, we decompose the total investment rate along two dimensions: into its net and replacement components, and into its cash and non-cash components. We show these components exhibit significantly different economic determinants and behavior

Are Institutions Informed About News?

This paper combines daily buy and sell institutional trading volume with all news announcements from Reuters. Using institutional order flow (buy volume minus sell volume) we find a variety of evidence that institutions are informed. Institutional trading volume predicts the occurrence of news announcements. Institutional order flow predicts (i) the sentiment of the news; (ii) the stock market reaction on news announcement days; (iii) the stock market reaction on crisis news days; and (iv) earnings announcement surprises. These results suggest that significant price discovery related to news stories occurs through institutional trading prior to the news announcement date

The performance of optimally diversified firms Reconciling theory and evidence

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