Autor: Sorawoot Srisuma

WP 100 Bank Privatization and Market Structure of the Banking Industry: Evidence from a Dynamic Structural Model

Abstract – This paper examines the effects of bank privatization on the market structure of the banking industry. A dynamic game between Brazilian public and private banks is estimated. We show that profits of private banks are positively affected by the number of public banks and negatively affected by the number of private banks operating in small isolated markets. We used the model to analyze two counterfactual scenarios. In the first, public banks are privatized; in the second public banks are closed. Both counterfactuals predict a significant drop in the number of bank branches operating in small isolated markets. Download do Paper Ano: 2016 Working-paper: 100 Sorawoot Srisuma Ler todos os Posts de Sorawoot Srisuma’s Share...

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WP 099 ORDINARY LEAST SQUARES ESTIMATION OF A DYNAMIC GAME MODEL

Abstract – Estimation of dynamic games is known to be a numerically challenging task. A common form of the payoff functions employed in practice takes the linear-in-parameter specification. We show a least squares estimator taking a familiar OLS/GLS expression is available in such a case. Our proposed estimator has a closed form. It can be computed without any numerical optimization and always minimizes the least squares objective function. We specify the optimally weighted GLS estimator that is efficient in the class of estimators under consideration. Our estimator appears to perform well in a simple Monte Carlo experiment. Download do Paper Ano: 2016 Working-paper: 099 Sorawoot Srisuma Ler todos os Posts de Sorawoot Srisuma’s Share...

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WP 097 Joint Analysis of the Discount Factor and Payoff Parameters in Dynamic Discrete Choice Games

Abstract – Most empirical models of dynamic games assume the discount factor to be known and focus on the estimation of the payoff parameters. However, the discount factor can be identified when the payoffs satisfy parametric or other nonparametric restrictions. We show when the payoffs take the popular linear-in-parameter specification, the joint identification of the discount factor and payoff parameters can be simplified to a one-dimensional model that is easy to analyze. We also show that switching costs (e.g. entry costs) that often feature in empirical work can be identified in closed-form, independently of the discount factor and other specification of the payoff function. Our identification strategies are constructive. They lead to easy to compute estimands that are global solutions. Estimating the discount factor permits direct inference on borrowing rate. Our estimates of the switching costs can be used for specification testing. We illustrate with a Monte Carlo study and the dataset from Ryan (2012). Download do Paper Ano: 2016 Working-paper: 097 Sorawoot Srisuma Ler todos os Posts de Sorawoot Srisuma’s Share...

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