Igor Livshits - Academia.edu (original) (raw)
Papers by Igor Livshits
Journal of Economic Surveys, 2015
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This paper proves an analogue of Pratt's theorem for two measures of risk aversion for mean-... more This paper proves an analogue of Pratt's theorem for two measures of risk aversion for mean-variance preferences. A direct link is established between these measures and standard measures of risk aversion. Implications for problems of choice under uncertainty such as portfolio choice problems are derived. This paper establishes the equivalence of two measures of risk aversion for a general class of mean-variance preferences. It further derives implications for decision making under uncertainty, and establishes portfolio characterization of risk aversion for mean- variance preferences, which allows for comparison of agents' attitudes toward risk based on the choices they make under uncertainty. The motivation for studying mean-variance preferences is twofold: 1) they are widely used in finance; and 2) Epstein (1985) has shown that in the class of Machina's (1982) non-expected utility preferences only mean-variance preferences satisfy appropriate decreasing-absolute- ri...
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Economics Letters, 2002
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The Review of Economic Studies, 2016
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... Superstores or Mom and Pops? Technology Adoption and Productivity Differences in Retail Trade... more ... Superstores or Mom and Pops? Technology Adoption and Productivity Differences in Retail Trade David Lagakos Federal Reserve Bank of Minneapolis and Arizona State University ABSTRACT ...
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SSRN Electronic Journal, 2000
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This paper studies the choice between general and speciflc human capital. A trade-ofi arises beca... more This paper studies the choice between general and speciflc human capital. A trade-ofi arises because general human capital, while less productive, can easily be reallocated across flrms. Accordingly, the fraction of individuals with speciflc human capital depends on the amount of uncertainty in the economy. Our model implies that while economies with more speciflc human capital tend to be more
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2004 Meeting Papers, 2004
This paper presents a theoretical framework in which either long-term or short-term labor contrac... more This paper presents a theoretical framework in which either long-term or short-term labor contracts arise endogenously. The fundamental trade-off is between firm specific and general human capital. While firm-specific human capital is more productive than general human capital, it cannot be reallocated in response to firm specific shocks. Firm-specific human capital is thus more attractive in environments where firms face less uncertainly about the quality of their projects. When firm-specific human capital is optimal and workers do not have access to perfect financial markets, long-term labor contracts are necessary to decentralize the first-best allocation. Within this framework, we show that `volatility,'' which has no aggregate consequences in economies with general human capital, has large and persistent negative effects in economies with long-term contracts. Volatility is modelled by an aggregate state which determines the accuracy of firms' signals about the quality of their projects. This model therefore sheds light on the sources of the recent stagnation of the Japanese economy. It also provides a rationale for Japan having adopted long-term labor contracts in the 1950's: since imitation is less uncertain than innovation, economies catching up to the frontier are well served by implementing long-term labor contracts
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Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. T... more Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. To evaluate this story, we develop a simple model that incorporates two key frictions: asymmetric information about borrowers risk of default and a fixed cost to create each contract offered by lenders. Innovations which reduce the fixed cost or ameliorate asymmetric information have large extensive margin
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Several recent defaults on sovereign debt were accompanied by major bank- ing crises in the defau... more Several recent defaults on sovereign debt were accompanied by major bank- ing crises in the defaulting countries. We argue that the banking crises, trig- gered by the defaults, were due to inadequate prudential regulations, which did not recognize the riskiness of the government debt. We use a simple model of prudential regulation to illustrate this point. We further show that
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Journal of Economic Surveys, 2015
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This paper proves an analogue of Pratt's theorem for two measures of risk aversion for mean-... more This paper proves an analogue of Pratt's theorem for two measures of risk aversion for mean-variance preferences. A direct link is established between these measures and standard measures of risk aversion. Implications for problems of choice under uncertainty such as portfolio choice problems are derived. This paper establishes the equivalence of two measures of risk aversion for a general class of mean-variance preferences. It further derives implications for decision making under uncertainty, and establishes portfolio characterization of risk aversion for mean- variance preferences, which allows for comparison of agents' attitudes toward risk based on the choices they make under uncertainty. The motivation for studying mean-variance preferences is twofold: 1) they are widely used in finance; and 2) Epstein (1985) has shown that in the class of Machina's (1982) non-expected utility preferences only mean-variance preferences satisfy appropriate decreasing-absolute- ri...
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Economics Letters, 2002
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The Review of Economic Studies, 2016
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... Superstores or Mom and Pops? Technology Adoption and Productivity Differences in Retail Trade... more ... Superstores or Mom and Pops? Technology Adoption and Productivity Differences in Retail Trade David Lagakos Federal Reserve Bank of Minneapolis and Arizona State University ABSTRACT ...
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Bookmarks Related papers MentionsView impact
SSRN Electronic Journal, 2000
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This paper studies the choice between general and speciflc human capital. A trade-ofi arises beca... more This paper studies the choice between general and speciflc human capital. A trade-ofi arises because general human capital, while less productive, can easily be reallocated across flrms. Accordingly, the fraction of individuals with speciflc human capital depends on the amount of uncertainty in the economy. Our model implies that while economies with more speciflc human capital tend to be more
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2004 Meeting Papers, 2004
This paper presents a theoretical framework in which either long-term or short-term labor contrac... more This paper presents a theoretical framework in which either long-term or short-term labor contracts arise endogenously. The fundamental trade-off is between firm specific and general human capital. While firm-specific human capital is more productive than general human capital, it cannot be reallocated in response to firm specific shocks. Firm-specific human capital is thus more attractive in environments where firms face less uncertainly about the quality of their projects. When firm-specific human capital is optimal and workers do not have access to perfect financial markets, long-term labor contracts are necessary to decentralize the first-best allocation. Within this framework, we show that `volatility,'' which has no aggregate consequences in economies with general human capital, has large and persistent negative effects in economies with long-term contracts. Volatility is modelled by an aggregate state which determines the accuracy of firms' signals about the quality of their projects. This model therefore sheds light on the sources of the recent stagnation of the Japanese economy. It also provides a rationale for Japan having adopted long-term labor contracts in the 1950's: since imitation is less uncertain than innovation, economies catching up to the frontier are well served by implementing long-term labor contracts
Bookmarks Related papers MentionsView impact
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Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. T... more Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. To evaluate this story, we develop a simple model that incorporates two key frictions: asymmetric information about borrowers risk of default and a fixed cost to create each contract offered by lenders. Innovations which reduce the fixed cost or ameliorate asymmetric information have large extensive margin
Bookmarks Related papers MentionsView impact
Several recent defaults on sovereign debt were accompanied by major bank- ing crises in the defau... more Several recent defaults on sovereign debt were accompanied by major bank- ing crises in the defaulting countries. We argue that the banking crises, trig- gered by the defaults, were due to inadequate prudential regulations, which did not recognize the riskiness of the government debt. We use a simple model of prudential regulation to illustrate this point. We further show that
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