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作者：Brownlees, Christian; Hans, Christina; Nualart, Eulalia
作者单位：Pompeu Fabra University; Barcelona School of Economics
摘要：This work proposes a credit risk model for large panels of financial institutions in which default intensity interdependence is induced by exposure to common factors as well as dependence between entity specific idiosyncratic shocks. In particular, the idiosyncratic shocks have a sparse partial correlation structure that we call the bank credit risk network. A LASSO estimation procedure is introduced to recover the network from CDS data. The methodology is used to study credit risk interdepend...
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作者：Gelman, Michael
作者单位：Claremont Colleges; Claremont Graduate University; Claremont McKenna College
摘要：Many empirical studies show that cash on hand is the most important source of variation in explaining heterogeneity in the marginal propensity to consume (MPC). To explain this, one class of models focuses on the role of heterogeneity in persistent characteristics across individuals while the other class focuses on the role of circumstances within individuals. This paper provides the first empirical measure of the relative importance of circumstances and characteristics in explaining the varia...
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作者：Wu, Chunzan
作者单位：Peking University
摘要：Income tax in the U.S. has become less progressive since the late 1970s in spite of rising income inequality. Why? Modeling policy makers as a Ramsey government that may weight heterogeneous households differently, I find that economic changes can explain about 61% of the reduction in progressivity observed. Aging population and declining gender gap induce a less progressive income tax, whereas changing idiosyncratic risks and the declines of labor share and interest rate have the opposite eff...
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作者：Kureishi, Wataru; Paule-Paludkiewicz, Hannah; Tsujiyama, Hitoshi; Wakabayashi, Midori
作者单位：Deutsche Bundesbank; Goethe University Frankfurt; Tohoku University
摘要：Most economic models assume that time preferences are stable over time, but the evidence on their long-term stability is lacking. We study whether and how time preferences change over the life cycle, using representative long-term panel data. We provide new evidence that discount rates decrease with age and the decline is remarkably linear over the life cycle. Decreasing discount rates help a canonical life-cycle model explain the saving puzzles of households undersaving when young and oversav...
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作者：Iliopulos, Eleni; Perego, Erica; Sopraseuth, Thepthida
作者单位：Universite Paris Saclay; Universite Paris Saclay; CY Cergy Paris Universite
摘要：We propose a mechanism that explains standard stylized facts in both international macroeconomics and international finance. To do so, we develop a New Keynesian DSGE model with financial frictions a la Bernanke et al. (1999), in which we depart from the full-information rational expectations (FIRE) assumption. The key ingredient is home information bias (HIB) in expectations. While the FIRE model predicts high consumption co-movements, no departure from uncovered interest parity (UIP) and pro...
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作者：Babus, Ana; Hachem, Kinda
作者单位：Washington University (WUSTL); Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：Regulatory debates about centralized trading assume security design is immune to market structure. We consider a regulator who introduces an exchange to increase liquidity, understanding that security design is endogenous. For a given security, investors would like to trade in a larger market and, for a given market structure, they would like to trade a safer security. We show that financial intermediaries design riskier securities after the exchange is introduced, even when the exchange leads...
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作者：Eggers, Andrew C.; Ellison, Martin; Lee, Sang Seok
作者单位：University of Chicago; University of Oxford; University of Oxford; Ihsan Dogramaci Bilkent University
摘要：The convention in the news media is to announce a recession if a country experiences two consecutive quarters of negative growth. We exploit the arbitrary threshold implied by this practice to identify the economic impact of recession announcements through a Regression Discontinuity Design (RDD). Estimation results show that news of a recession leads to a discontinuous fall in consumer confidence, consumption growth and final estimates of GDP growth in a panel of countries. The effect is large...
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作者：Davis, Morris A.; Larson, William D.; Oliner, Stephen D.; Shui, Jessica
作者单位：Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Federal Housing Finance Agency; American Enterprise Institute for Public Policy Research
摘要：Data from millions of appraisals in 2012-2019 are used to estimate residential land prices, the share of house value attributable to land, and related statistics down to the census tract level for areas that include the vast majority of U.S. population and single-family housing. The results confirm predictions about land prices from canonical urban models. Over 2012-2019, we show that land prices rose faster than house prices in large metro areas, boosting the land share of house value, while ...
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作者：Ilut, Cosmin; Saijo, Hikaru
作者单位：Duke University; National Bureau of Economic Research; University of California System; University of California Santa Cruz
摘要：We argue that information accumulation provides a quantitatively successful propagation mechanism that challenges and empirically improves on the conventional New Keynesian models with many nominal and real rigidities. In particular, we build a tractable heterogeneous-firm business cycle model where firms face Knightian uncertainty about their profitability and learn it through production. The feedback between uncertainty and economic activity maps fundamental shocks into an as if procyclical ...
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作者：Gutierrez, German; Jones, Callum; Philippon, Thomas
作者单位：New York University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：We use a structural model to study the interaction between barriers-to-entry, investment, and monetary policy. We first show that entry cost shocks have distinct macroeconomic implications: they raise markups but reduce aggregate demand and investment in such a way that inflation barely changes. Entry costs can thus rationalize the coexistence of increasing markups and low inflation. We then estimate the model on U.S. data. We find that entry costs have risen in the U.S. over the past 20 years...
