Complex outliers of Hermitian random matrices

In this paper, we study the asymptotic behavior of the outliers of the sum a Hermitian random matrix and a finite rank matrix which is not necessarily Hermitian. We observe several possible convergence rates and outliers locating around their limits at the vertices of regular polygons as in a previous work by Benaych-Georges and Rochet, as well as possible correlations between outliers at macroscopic distance as in works by Knowles, Yin, Benaych-Georges and Rochet. We also observe that a single spike can generate several outliers in the spectrum of the deformed model, as already noticed in several previous works. In the particular case where the perturbation matrix is Hermitian, our results complete a previous work of Benaych-Georges, Guionnet and Ma\"ida, as we consider fluctuations of outliers lying in "holes" of the limit support, which happen to exhibit surprising correlations

The Biais-Martimort-Rochet equilibrium with direct mechanisms

In this note we show that the equilibrium characterized by Biais, Martimort and Rochet (Econometrica, 78, 2000) could have been characterized by using direct mechanisms.Common Agency, Revelation Principle, Direct Mechanisms, Nonlinear Prices

Must-Take Cards: Merchant Discounts and Avoided Costs

Antitrust authorities often argue that merchants cannot reasonably turn down payment cards and therefore must accept excessively high merchant discounts. The paper attempts to shed light on this “must-take cards” view from two angles. First, the paper gives some operational content to the notion of “must-take card” through the “avoided-cost test” or “tourist test”: would the merchant want to refuse a card payment when a non-repeat customer with enough cash in her pocket is about to pay at the cash register? It analyzes its relevance as an indicator of excessive interchange fees. Second, it identifies four key sources of potential social biases in the payment card systems’ determination of interchange fees: internalization by merchants of a fraction of cardholder surplus, issuers’ per-transaction markup, merchant heterogeneity, and extent of cardholder multi-homing. It compares the industry and social optima both in the short term (fixed number of issuers) and the long term (in which issuer offerings and entry respond to profitability)

Multi-Time Systems of Conservation Laws

Motivated by the work of P.L. Lions and J-C. Rochet [12], concerning multi-time Hamilton-Jacobi equations, we introduce the theory of multi-time systems of conservation laws. We show the existence and uniqueness of solution to the Cauchy problem for a system of multi-time conservation laws with two independent time variables in one space dimension. Our proof relies on a suitable generalization of the Lax-Oleinik formula.Comment: 2

The Biais-Martimort-Rochet equilibrium with direct mechanisms

In this note we show that the equilibrium characterized by Biais, Martimort and Rochet (Econometrica, 2000) could have been characterized by direct mechanisms even if the Revelation Principle does not apply in their setting. The use of more sophisticated mechanisms, such as menus, was not necessary.Common Agency, Revelation Principle, Direct Mechanisms, Nonlinear Prices.

Why Are There So Many Banking Crises? The Politics and Policy of Bank Regulation

Almost every country in the world has sophisticated systems to prevent banking crises. Yet such crises--and the massive financial and social damage they can cause--remain common throughout the world. Does deposit insurance encourage depositors and bankers to take excessive risks? Are banking regulations poorly designed? Or are banking regulators incompetent? Jean-Charles Rochet, one of the world’s leading authorities on banking regulation, argues that the answer in each case is "no." In Why Are There So Many Banking Crises? , he makes the case that, although many banking crises are precipitated by financial deregulation and globalization, political interference often causes--and almost always exacerbates--banking crises. If, for example, political authorities are allowed to pressure banking regulators into bailing out banks that should be allowed to fail, then regulation will lack credibility and market discipline won't work. Only by insuring the independence of banking regulators, Rochet says, can market forces work and banking crises be prevented and minimized. In this important collection of essays, Rochet examines the causes of banking crises around the world in recent decades, focusing on the lender of last resort; prudential regulation and the management of risk; and solvency regulations. His proposals for reforms that could limit the frequency and severity of banking crises should interest a wide range of academic economists and those working for central and private banks and financial services authorities.banking crises, bank regulation, deposit insurance, globalization

A Threshold Regularization Method for Inverse Problems

A number of regularization methods for discrete inverse problems consist in considering weighted versions of the usual least square solution. However, these so-called filter methods are generally restricted to monotonic transformations, e.g. the Tikhonov regularization or the spectral cut-off. In this paper, we point out that in several cases, non-monotonic sequences of filters are more efficient. We study a regularization method that naturally extends the spectral cut-off procedure to non-monotonic sequences and provide several oracle inequalities, showing the method to be nearly optimal under mild assumptions. Then, we extend the method to inverse problems with noisy operator and provide efficiency results in a newly introduced conditional framework

Three-types models of multidimensional screening

This paper analyzes the variety of optimal screening contracts in a relatively simple multidimensional framework a` la Armstrong and Rochet (1999), when only three types of agents are present. It is shown, among other things, that the well known principle in optimal contract theory of `no distortion at the top' does not carry over to the multidimensional caseAsymmmetric information; multidimensional screening; optimal contract

Bayesian interpretation of Generalized empirical likelihood by maximum entropy

We study a parametric estimation problem related to moment condition models. As an alternative to the generalized empirical likelihood (GEL) and the generalized method of moments (GMM), a Bayesian approach to the problem can be adopted, extending the MEM procedure to parametric moment conditions. We show in particular that a large number of GEL estimators can be interpreted as a maximum entropy solution. Moreover, we provide a more general field of applications by proving the method to be robust to approximate moment conditions