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We study insurance and portfolio decisions, two opposite risk retention tradeoffs. Using household level data, we identify the first joint determinants (e.g. subjective expecta-tions, risk attitude) and frictions (e.g. liquidity constraints, financial literacy) in the literature. We also find key differences between the two decisions. Notably, contrary to economic intuition, risky asset holding and insurance coverage both increase with wealth. We show that this apparent puzzle is driven in part by a specific behavioral pattern (the poor invest too conservatively, while the rich over-insure), and can be explained by two factors: regret avoidance and nonperformance risk.

We study the behavior of U.S. consumers' inflation expectations during the high inflation period of 2021-22 using data from the Survey of Consumer Expectations. Short- and, to a lesser extent, mediumterm inflation expectations rose as inflation surged in 2021. Disagreement and uncertainty about future inflation increased significantly. Then, in 2022, even as inflation continued to climb, medium- and longerterm inflation expectations unexpectedly fell and medium- and longer-term deflation expectations increased. We find that respondents with deflation expectations tend to expect prices to mean revert and are more optimistic about the economic outlook.

We propose a new approach to assessing the anchoring of inflation expectations using "strategic surveys". Namely, we measure households' revisions in long-run inflation expectations after they are presented with different economic scenarios. A key advantage of this approach is that it provides a causal interpretation in terms of how inflation events affect long-run inflation expectations. We implement the method in the summer of 2019 and the spring-summer of 2021 when the anchoring of long-run inflation expectations was in question. We find that the risk of unanchoring of expectations was reasonably low in both periods, and that long-run inflation expectations were essentially as well anchored in August 2021 as in July 2019, before the COVID-19 pandemic.

This paper studies how inflation beliefs reported in the New York Fed's Survey of Consumer Expectations have evolved since the start of the COVID-19 pandemic. We find that household inflation expectations responded slowly and mostly at the short-term horizon. In contrast, the data reveal immediate and unprecedented increases in individual inflation uncertainty and in inflation disagreement across respondents. We find evidence of a strong polarization in inflation beliefs and we show differences across demographic groups. Finally, we document a strong link, consistent with precautionary saving, between inflation uncertainty and how respondents used the stimulus checks they received as part of the 2020 CARES Act.

This report presents an overview of the Survey of Consumer Expectations, a new monthly online survey of a rotating panel of household heads. The survey collects timely information on consumers' expectations and decisions on a broad variety of topics, including but not limited to inflation, household finance, the labor market, and the housing market. There are three main goals of the survey: (1) measuring consumer expectations at a high frequency, (2) understanding how these expectations are formed, and (3) investigating the link between expectations and behavior. This report discusses the origins of the survey, the questionnaire design, the implementation of the survey and the sample, and computation of various statistics that are released every month. We conclude with a discussion of how the results are disseminated, and how the (micro) data may be accessed.

During the Great Recession, the Federal Reserve implemented several novel programs to address adverse conditions in financial markets. Three of these temporary programs relied on an auction mechanism: the Term Auction Facility, the Term Securities Lending Facility, and the disposition of the Maiden Lane II portfolio. These auctions differed from one another in several dimensions: their objectives, rules, and the financial asset being traded. The object of this paper is to document, compare, and provide a rationale for the mechanics of the different auctions implemented by the Federal Reserve during the Great Recession.

Understanding the formation of consumer inflation expectations is considered crucial for managing monetary policy. This paper investigates how consumers form and update their inflation expectations using a unique information experiment embedded in a survey. We first elicit respondents' expectations for future inflation either in their own consumption basket or for the economy overall. We then randomly provide a subset of respondents with infl ation-relevant information: either past-year food price inflation, or a median professional forecast of next-year overall inflation. Finally, inflation expectations are re-elicited from all respondents. This design creates unique panel data that allow us to identify the effects of new information on respondents' inflation expectations. We find that respondents revise their inflation expectations in response to information, and do so meaningfully: revisions are proportional to the strength of the information signal, and inversely proportional to the precision of prior inflation expectations. We also find systematic differences in updating across demographic groups and by question wording, underscoring how different types of information may be more or less relevant for different groups, and how the observed impact of information may depend on methods used to elicit infl ation expectations.

To conduct academic research on the federal funds (fed funds) market, historically one of the most important financial markets in the U.S., some empirical economists have used market level measures published by the Markets Group at the Federal Reserve Bank of New York (FRBNY). To obtain more disaggregate data, some researchers have relied on a separate source of information: individual transactions inferred indirectly from an algorithm based on the work of Furfine (1999). To date, however, the accuracy of this algorithm has not been formally established. In this paper, we conduct a test aimed at assessing the ability of the algorithm to identify correctly individual overnight fed funds transactions conducted by two banks, which are among the most active in the fed funds market. The results are discouraging. We estimate the average type I and type II errors from 2007 to 2011 to be 81% and 23%, respectively. Furthermore, we argue that these errors i) apply to almost half of the algorithm's output, ii) introduce systematic biases, and iii) may not subside when the algorithm's output is aggregated. Our results therefore raise serious concerns about the appropriateness of using the algorithm's output to study the fed funds market. Because the FRBNY Markets Group relies on a different source of data than the algorithm output, our results have no bearing on their understanding of the fed funds market and their calculation of market level measures, including the effective fed funds rate.

We provide empirical evidence for the existence, magnitude, and economic impact of stigma associated with banks borrowing from the Federal Reserve's discount window facility. We find that, during the height of the financial crisis, banks were willing to pay an average premium of at least 37 basis points (and 150 basis points after Lehman's bankruptcy) to borrow from the Term Auction Facility rather than from the discount window. The incidence of stigma varied according to bank characteristics and market conditions. Finally, we find that discount window stigma is economically relevant since it increased banks' borrowing costs during the crisis. Our results have important implications for the provision of liquidity by central banks.

We compare the inflation expectations reported by consumers in a survey with their behavior in a financially incentivized investment experiment designed such that future inflation affects payoffs. The inflation expectations survey is found to be informative in the sense that the beliefs reported by the respondents are correlated with their choices in the experiment. Furthermore, most respondents appear to act on their inflation expectations showing patterns consistent (both in direction and magnitude) with expected utility theory. Respondents whose behavior cannot be rationalized tend to be less educated and to score lower on a numeracy and financial literacy scale. These findings are therefore the first to provide support to the microfoundations of modern macroeconomic models.

Accurate measurements of probabilistic beliefs have become increasingly important both in practice and in academia. Introduced by statisticians in the 1950s to promote truthful reports in simple environments, Proper Scoring Rules (PSR) are now arguably the most popular incentivized mechanisms to elicit an agent's beliefs. This paper generalizes the analysis of PSR to richer environments relevant to economists. More specifically, we combine theory and experiment to study how beliefs reported with a PSR may be biased when i) the PSR payments are increased, ii) the agent has a financial stake in the event she is predicting, and iii) the agent can hedge her prediction by taking an additional action. Our results reveal complex distortions of reported beliefs, thereby raising concerns about the ability of PSR to recover truthful beliefs in general economic environments.

Public expectations and perceptions of inflation may affect economic decisions, and have subsequent effects on actual inflation. The Michigan Survey of Consumers uses questions about 'prices in general' to measure expected and perceived inflation. Median responses track official measure of inflation, showing some tendency toward overestimation and considerable disagreement between respondents. Possibly, responses reflect how much respondents thought of salient personal experiences with specific prices when being asked about 'prices in general.' Here, we randomly assigned respondents to questions about 'prices in general,' as well as 'the rate of inflation' and 'price you pay.' Reported expectations and perceptions were higher and more dispersed for 'prices in general' than for 'the rate of inflation,' with 'prices you pay' and 'prices in general' showing similar responses patterns. Compared to questions about 'the rate of inflation,' questions about 'prices in general' and 'prices you pay' focused respondents relatively more on personal price experiences-and elicited expectations that were more strongly correlate to the expected price increases for food and transportation, which were relatively large and likely salient, but not to the expected price increases for housing, which were relatively small and likely less salient. Our results have implications for survey measures of inflation expectations.

There is a debate about whether risk aversion is the main source of overbidding in a first-price independent private values auction. As an alternative, we adopt a non-expected utility framework, and identify an interpretable property on the probability weighting function which always induces overbidding.

Using a rich sample of Canadian government securities auctions, we estimate the structural parameters of a share-auction model accounting for asymmetries across bidders. We find little evidence of asymmetries between participants at Canadian government nominal bond auctions. A counter-factual analysis also suggests that given the assumptions underlying the model used, including that participation and quality of information are exogenous, the discriminatory format currently in place is superior to the uniform-price format in terms of the revenue generated by the Canadian government. Both auction formats, however, are found, under the same assumptions, to be dominated by the so-called "Spanish auction" format., À l'aide d'un riche échantillon d'adjudications de titres du gouvernement canadien, les auteurs estiment les paramètres structurels d'un modèle d'enchère pluri-unitaire qui tient compte de la présence éventuelle d'asymétries dans le comportement des soumissionnaires. Leurs résultats ne mettent en évidence aucune asymétrie majeure entre les participants aux adjudications d'obligations à rendement nominal. En outre, une analyse contrefactuelle donne à penser que, compte tenu des hypothèses qui sous-tendent le modèle des auteurs, dont celle voulant que le degré de participation et la qualité de l'information soient des variables exogènes, le mode actuel d'adjudication à prix multiples rapporte au gouvernement canadien des revenus supérieurs à ceux que l'on obtiendrait au moyen d'enchères à prix uniforme. Il semble toutefois qu'à ce chapitre, la forme d'adjudication « à l'espagnole » dominerait les deux autres formes, toujours selon les mêmes hypothèses.

Cette thèse est composée de trois essais liés à la conception de mécanisme et aux enchères. Dans le premier essai j'étudie la conception de mécanismes bayésiens efficaces dans des environnements où les fonctions d'utilité des agents dépendent de l'alternative choisie même lorsque ceux-ci ne participent pas au mécanisme. En plus d'une règle d'attribution et d'une règle de paiement le planificateur peut proférer des menaces afin d'inciter les agents à participer au mécanisme et de maximiser son propre surplus; Le planificateur peut présumer du type d'un agent qui ne participe pas. Je prouve que la solution du problème de conception peut être trouvée par un choix max-min des types présumés et des menaces. J'applique ceci à la conception d'une enchère multiple efficace lorsque la possession du bien par un acheteur a des externalités négatives sur les autres acheteurs. Le deuxième essai considère la règle du juste retour employée par l'agence spatiale européenne (ESA). Elle assure à chaque état membre un retour proportionnel à sa contribution, sous forme de contrats attribués à des sociétés venant de cet état. La règle du juste retour est en conflit avec le principe de la libre concurrence puisque des contrats ne sont pas nécessairement attribués aux sociétés qui font les offres les plus basses. Ceci a soulevé des discussions sur l'utilisation de cette règle: les grands états ayant des programmes spatiaux nationaux forts, voient sa stricte utilisation comme un obstacle à la compétitivité et à la rentabilité. Apriori cette règle semble plus coûteuse à l'agence que les enchères traditionnelles. Nous prouvons au contraire qu'une implémentation appropriée de la règle du juste retour peut la rendre moins coûteuse que des enchères traditionnelles de libre concurrence. Nous considérons le cas de l'information complète où les niveaux de technologie des firmes sont de notoriété publique, et le cas de l'information incomplète où les sociétés observent en privée leurs coûts de production. Enfin, dans le troisième essai je dérive un mécanisme optimal d'appel d'offre dans un environnement où un acheteur d'articles hétérogènes fait face a de potentiels fournisseurs de différents groupes, et est contraint de choisir une liste de gagnants qui est compatible avec des quotas assignés aux différents groupes. La règle optimale d'attribution consiste à assigner des niveaux de priorité aux fournisseurs sur la base des coûts individuels qu'ils rapportent au décideur. La manière dont ces niveaux de priorité sont déterminés est subjective mais connue de tous avant le déroulement de l'appel d'offre. Les différents coûts rapportés induisent des scores pour chaque liste potentielle de gagnant. Les articles sont alors achetés à la liste ayant les meilleurs scores, s'il n'est pas plus grand que la valeur de l'acheteur. Je montre également qu'en général il n'est pas optimal d'acheter les articles par des enchères séparées., This thesis is made of three essays related to mechanism design and auctions. In first essay I study Bayesian efficient mechanism design in environments where agents' utility functions depend on the chosen alternative even if they do not participate to the mechanism. In addition to an allocation rule and a payment rule the designer may choose appropriate threats in order to give agents the incentive to participate and maximize his own expected surplus; The planner may presume the type of an agent who does not participate. I show that the solution of the design problem can be found by a max - min choice of the presumed types and threats. I apply this to the design of an efficient multi-unit auction when a buyer in possession of the good causes negative externalities on other buyers.\\ The second essay considers the fair return rule used by the European Space Agency (ESA). It ensures each member state of ESA a return proportional to its contribution, in the form of contracts awarded to firms coming from that state. The fair return rule is in conflict with the principle of free competition since contracts are not necessarily awarded to firms with the lowest bids. This has raised debates on the use of this rule: it is well accepted by small states, but larger states with strong national space programs, see its strict use as an obstacle to competitiveness and cost effectiveness. It is easy to believe that this rule is more costly to the agency than traditional auctions. We show on the contrary that an adequate implementation of the fair return rule may cause it to be less expensive to the agency than the traditional auctions of free competition. We consider the case of complete information where firms' technology levels are common knowledge, and the case of incomplete information where firms observe privately their production costs. In both cases we show that adequate implementation of the fair return rule may help take advantage of asymmetries between countries in order to expect a lower cost than with traditional auctions.\\ Finally, in the third essay I derive an optimal procurement mechanism in an environment where a buyer of heterogeneous items faces potential suppliers from different groups, and is constrained to choose a winning list that is consistent with some exogenous quotas assigned to the different groups. The optimal allocation rule consists of assigning priority levels to suppliers on the basis of their cost reports. The way these priority levels are determined is subjective but known to all before the auction. The individual reports induce scores for each potential winning list. The items are then purchased from one of the lists with the best score, provided it is not greater than the buyer's valuation for the items. I also find that it is not optimal to purchase the items through separate auctions, unless the buyer's valuation is sufficiently high or low.

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