Seminar on Economics

From Design to Disclosure

Speaker: Prof. Kun ZHANG

Lecturer

School of Economics

University of Queensland

Abstract:

This paper studies sender-receiver games in which the sender discloses evidence to a receiver who then offers an allocation and transfers. Our framework encompasses monopoly pricing, bargaining over policies, and insurance markets. In this setting, we characterize the full set of equilibrium payoffs. Our main result establishes that any payoff profile that can be achieved through information design can also be supported in an equilibrium of the disclosure game. Hence, in the contracting environments that we study, our analysis offers a microfoundation for information design and suggests that the gap between information design and disclosure is negligible.

Date: 30 October 2024 (Wednesday)

Time: 14:00-15:15

Language: English

Venue: E21B-G002

All are welcome!

Department of Economics
Faculty of Social Sciences
University of Macau

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Seminar on Economics

Characteristic Function-based Factor Modelling of Affine Jump Diffusions Using Options 

Speaker: Prof. Herman Peter BOSWIJK

Professor of Financial Econometrics and Vice-Dean / Chair

Amsterdam School of Economics

University of Amsterdam

Abstract:

We develop a framework to analyse affine jump diffusions using factor modelling techniques, offering a novel method to study which and how many risk factors drive the price process of a single asset. We use information contained in options to construct observations on the characteristic function of the returns on the underlying asset, without having to specify a parametric model. We show how to form a linear factor model out of these observations. Our asymptotic framework is one in which the number of observed options, of varying strikes, tends to infinity. We prove asymptotic normality of the factor model, and provide a feasible central limit theorem which can be used for testing. In addition, we prove that diagnostic criteria based on the eigenvalues of the sample covariance matrix of the constructed factor model are able to consistently estimate the number of factors, and that principal component analysis is able to extract these factors. An empirical application suggests that the main factor driving the S&P 500 returns is a stochastic variance process, which explains 97% of the variation in the factor model.

Date: 16 October 2024 (Wednesday)

Time : 14:00-15:15

Language: English

Venue: E21B-G002

All are welcome!

Department of Economics
Faculty of Social Sciences
University of Macau

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Seminar on Economics

Designing a new market: Civil service jobs selection, assignment and reassignment in Brazil 

Speaker: Prof. Inácio BÓ

Associate Professor

Department of Economics

University of Macau

Abstract:

This study explores the formulation and implementation of Brazil’s Unified National Public Competition (CPNU), a governmental innovation aimed at centralizing public servant recruitment for government jobs in multiple institutions in the country. Addressing the complexities of candidates applying for multiple positions, we describe the market design techniques chosen to tackle these challenges. It focuses on candidate allocation across different phases, job assignments, waitlist management, and quota implementation, demonstrating how traditional approaches could lead to inefficiencies. The proposed solutions aim to improve candidate distribution while ensuring fair affirmative action policies. The proposals we describe are currently being used in the first edition of the CPNU, in which more than two million candidates in 220 cities registered to compete for more than six thousand jobs.

Date: 9 October 2024 (Wednesday)

Time : 14:00-15:15

Language: English

Venue: E21B-G016

All are welcome!

Department of Economics
Faculty of Social Sciences
University of Macau

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