S J Routledge. The Economics of Search. Brian P. McCall and John J. McCall. ^ Taylor & Francis Group LONDON AND NEW YORK

Transcription

1 The Economics of Search 2008 AGI-Information Management Consultants May be used for personal purporses only or by libraries associated to dandelon.com network. Brian P. McCall and John J. McCall S J Routledge ^ Taylor & Francis Group LONDON AND NEW YORK

2 Contents List of figures xiii List of tables xiv Preface xv 1 Introduction Preliminaries Contracts, incentives and asymmetric information Search theory Institutional aspects of search economics The explanatory power of economic search Outline of this volume 11 2 Mathematical methods Introduction Markov chains and related processes An introduction to stochastic dynamic programming Some results in probability theory: a measure theoretic approach The Poisson process 45 3 The history and evolution of sequential analysis Introduction Early literary and intuitive contributions to the economics of job search Stigler's insights Stigler's model Early mathematical contributions to the economics of job search The sequential job search model 57

3 viii Contents 3.7 Sequential analysis: a deeper mathematical perspective Optimal stopping theory Markov decision processes The four stellar examples of MDPs 63 4 The basic sequential search model and its ramifications Introduction An important example The fixed-sample size model The basic sequential search model: infinite time horizon, no discounting An alternative view of the reservation wage Infinite time horizon: discounting Infinite time horizon with discounting and a random number of job offers Risky ordering and sequential search The basic sequential model: search for the lowest price Optimal stopping Finite time horizon On-the-job search Search in the presence of experience qualities: the Lippman and McCall belated information model The Lucas equilibrium model for the basic sequential search model Reservation wage property preserved in a continuous search model Optimal replacement policy Martingales and the.existence of a reservation wage 101 Appendix 4.1: A naive comparison of FSM and BSM 103 Appendix 4.II: A more sophisticated comparison of FSM and BSM 106 Appendix 4.III: The French version of BSM Estimation methods for duration models Introduction Hazard functions Counting processes and martingales Parametric methods for continuous-time data with covariates The Cox regression model Discrete-time duration data 143

4 Contents 5.7 Multi-spell discrete-time models Competing risk models General discrete-time life history models Specification tests for duration models Unemployment, unemployment insurance and sequential job search Introduction Mismatch unemployment Layoff unemployment with positive probability of recall: the temporary layoff Unemployment insurance and job search decisions (Mortensen 1977) More on the incentive effects of unemployment insurance Efficient unemployment insurance (Acemoglu and Shimer 1999) More on optimal umemployment insurance Job search in a dynamic economy Introduction Search in a dynamic economy (Lippman and McCall) Labor market interpretation Variable intensity of search The basic theorem Wealth and search Systematic search Optimal quitting policies Monotone Markov chains and their applications: Conlisk's research Recent research by Muller and Stoyan Expected utility maximizing job search Introduction Characterizing risk and risk aversion Comparative statics results Applications of Theorem The basic job search model Expected utility maximizing search with recall Expected utility maximizing search without recall Risk aversion and the wage gap Consumption commitments and local risk aversion 244 ix

5 x Contents 9 Multi-armed bandits and their economic applications Introduction The multi-armed bandit problem General MAB framework A model of job search with heterogeneous opportunities Miller's model of job matching and occupational choice Superprocesses: adding decisions to bandits Discounted restless bandits A sample of early responses to Diamond's paradox and Rothschild's complaint Introduction Price dispersion Matchmaking Search technology Principal-agent problems and durable matches Equilibrium models of price dispersion General structure of equilibrium models Equilibrium search after the Diamond-Mortensen-Pissarides breakthrough Introduction Two-sided search and wage determination: the Mortensen-Pissarides approach Matching technology Search equilibrium Equilibrium unemployment (Mortensen and Pissarides 1999) Wage differentials, employer size, and unemployment Equilibrium search with offers and counteroffers Competitive search equilibrium Labor market policies in an equilibrium search model (Lucas-Prescott in action) The search contributions of Lars Ljungqvist and Tom Sargent Two-sided search, marriage and matchmakers Bilateral search and vertical heterogeneity Two-sided search withfixedsearch costs Rocheteau-Wright models of search and money Recent discoveries 354

6 Contents xi 12 Structural estimation methods Introduction Early models (Kiefer and Neumann 1979a, 1979b) Illustrations of structural estimation The general model Solution methods Finite horizon (T < ) search model Estimation methods Structural estimation of equilibrium job search models Structural estimation and model complexity Dacre, Glazebrook, Nino-Mora (1999) The ubiquity of search Historical prelude Introduction The evolution of money Liquidity and search The housing market and liquidity (Krainer and Leroy) The house-selling problem: the view from operations research The natural rate of unemployment A modern approach to the natural rate of unemployment Adam Smith on dynamic stochastic models Coordination and inflation Economic growth and coordination Auctions versus sequential search Auctions and bidding by McAfee and McMillan The analytics of search with posted prices Sale of a deteriorating asset via sequential search Middlemen, market-makers, and electronic search Real options Resource allocation in a random environment Topics for further inquiry Exchangeability Polya urns Urn methods The secretary problem 483

7 xii Contents 14.5 The economics of information, behavioral biology, and neuro-economics Equilibrium search models revisited 490 Notes 491 Bibliography 506 Index 540