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Bruno Strulovici
[Contact] [Curriculum Vitae] [Research] [Teaching]
HOW
TO CONTACT ME
Mailing address:
Department of Economics
Northwestern University
2001 Sheridan Road
Evanston, Illinois
60208, USA
My office is Room 3221 in Arthur
Andersen Hall
Telephone: 847-491-8233
Facsimile: 847-491-7001
e-mail: b-strulovici@northwestern.edu
CURRICULUM VITAE
RESEARCH
Recent projects:
“Capital
Mobility and Asset Pricing” with
Darrell Duffie
We present
a model for the equilibrium movement of capital between asset markets
that are distinguished only by the levels of capital invested in each.
Investment in that market with the greatest amount of capital earns the
lowest risk premium. Intermediaries optimally trade off the costs of
intermediation against fees that depend on the gain they can offer to
investors for
moving
their capital to the market with the higher mean return. Those fees
also depend on the bargaining power of the investor, in light of
potential alternative intermediaries. In equilibrium, the speeds of
adjustment of mean returns and of capital between the two markets are
increasing in the degree to which capital is imbalanced between the two
markets.
“Learning
While Voting: Determinants of Collective Experimentation” R&R Econometrica
This paper
analyzes collective decision making when individual preferences evolve
through learning. Voters must take into account the effect of their
votes on everyone’s learning and, hence, future preferences. The
analysis is conducted in a two-arm bandit model with a safe alternative
and a risky alternative whose payoff distribution, or
“type”, varies across individuals and may be learned through
experimentation. Society is shown to experiment less than any of its
members would if he could dictate future decisions, and to be
systematically biased against experimentation compared to the
utilitarian optimum. Control sharing can even result in negative value
of experimentation: society may shun a risky alternative even if its
expected payoff is higher than the safe one’s. Commitment to a
fixed alternative can only increase efficiency if aggregate uncertainty
is small enough. Even when types are independent, a positive news shock
for anyone raises everyone’s incentive to experiment. Ex ante
preference correlation or heterogeneity reduces these inefficiencies.
"Comparative
Statics, Informativeness, and the Interval Dominance Order” with John Quah, forthcoming, Econometrica
We identify a natural way of ordering
functions, which we call the
interval dominance
order and develop a theory of monotone
comparative statics based on this order. This way of ordering functions
is weaker than the standard one based on the single crossing property
(Milgrom and Shannon, 1994) and so our results apply in some settings
where the single crossing property does not hold. For example, they are
useful when examining the comparative statics of optimal stopping time
problems. We also show that certain basic results in statistical
decision theory which are important in economics - specifically, the
complete class theorem of Karlin and Rubin (1956) and the results
connected with Lehmann’s (1988) concept of informativeness -
generalize to payoff functions obeying the interval dominance order.
“Performance
Sensitive Debt”
with Gustavo Manso and Alexei Tchistyi, forthcoming, Review
of Financial Studies
This paper
studies performance-sensitive debt (PSD), the class of debt obligations
whose interest payments depend on some measure of the borrowers
performance. We demonstrate that the existence of PSD obligations
cannot be explained by the trade-off theory of capital structure, as
PSD leads to earlier default and lower equity value compared to
fixed-rate debt of the same market value. We show that, consistent with
the pecking order theory, PSD can be used as an inexpensive screening
device and find empirically that firms choosing PSD loans are more
likely to improve their credit ratings than firms choosing
fixed-interest loans. We also develop a method to value PSD obligations
allowing for general payment profiles and obtain closed-form pricing
formulas for step-up bonds and linear PSD.
“Substitute goods, auctions, and
equilibrium” with
Paul Milgrom, Journal of Economic
Theory, 2009
This paper
identifies two notions of substitutes for auction and equilibrium
analysis. Weak substitutes, the usual price-theory notion, guarantees
monotonicity of tātonnement processes and convergence of clock auctions
to a pseudo-equilibrium, but only strong substitutes, which treats each
unit traded as a distinct good with its own price, guarantees that
every pseudo-equilibrium is a Walrasian equilibrium, that the Vickrey
outcome is in the core, and that the “law of aggregate demand”
is satisfied. When goods are divisible, weak substitutes along with
concavity guarantees all of the above properties, except for the law of
aggregate demand.
“Generalized
Monotonicity Analysis” with
Thomas Weber, Economic Theory,
2009
Complex
economic models often lack the structure for the application of
standard techniques in monotone comparative statics. Generalized
Monotonicity Analysis (GMA) extends the available methods in several
directions. First, it provides a way of finding parameter moves that
yield monotonicity of model solutions. Second, it allows studying the
monotonicity of functions or subsets of variables. Third, GMA naturally
provides bounds on the sensitivity of variables to parameter changes.
Fourth, GMA may be used to derive conditions under which monotonicity
obtains with respect to functions of parameters, corresponding to
imposed parameter moves. Fifth, GMA contributes insights into the
theory of comparative statics, for example, with respect to dealing with
constraints or exploiting additional information about the model
structure. Several applications of GMA are presented, including
constrained optimization, non-supermodular games, aggregation, robust
inference, and monotone comparative dynamics.
TEACHING
Econ 335 Syllabus
Econ 498-2 Syllabus
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