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作者：Del Negro, Marco; Primiceri, Giorgio E.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Northwestern University
摘要：This note shows how to apply the procedure of Kim et al. (1998) to the estimation of VAR, DSGE, factor, and unobserved components models with stochastic volatility. In particular, it revisits the estimation algorithm of the time-varying VAR model of Primiceri (2005). The main difference of the new algorithm is the ordering of the various MCMC steps, with each individual step remaining the same.
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作者：Mackowiak, Bartosz; Wiederholt, Mirko
作者单位：European Central Bank; Centre for Economic Policy Research - UK
摘要：We develop a dynamic stochastic general equilibrium (DSGE) model with rational inattention and compare its predictions to data. Households and decision-makers in firms have limited attention and optimally allocate their attention. Rational inattention is the only source of slow adjustment. The model matches the empirical impulse responses to monetary policy shocks and aggregate technology shocks. At the same time, profit losses and utility losses from inattention are very small. Furthermore, i...
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作者：Frankel, David M.; Jin, Yu
作者单位：Iowa State University; Shanghai University of Finance & Economics
摘要：We study the effects of securitization on interbank lending competition. An applicant's observable features are seen by a remote bank, while her true credit quality is known only to a local bank. Without securitization, the remote bank does not compete because of a winner's curse. With securitization, in contrast, ignorance is bliss: the less a bank knows about its loans, the less of a lemons problem it faces in selling them. This enables the remote bank to compete successfully in the lending ...
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作者：Cowgill, Bo; Zitzewitz, Eric
作者单位：University of California System; University of California Berkeley; Dartmouth College
摘要：Despite the popularity of prediction, markets among economists, businesses, and policymakers have been slow to adopt them in decision-making. Most studies of prediction markets outside the lab are from public markets with large trading populations. Corporate prediction markets face additional issues, such as thinness, weak incentives, limited entry, and the potential for traders with biases or ulterior motives-raising questions about how well these markets will perform. We examine data from pr...
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作者：Cohn, Alain; Marechal, Michel Andre; Noll, Thomas
作者单位：University of Chicago; University of Zurich
摘要：We conducted an experiment with 182 inmates from a maximum security prison to analyze the impact of criminal identity salience on cheating. The results show that inmates cheat more when we exogenously render their criminal identity more salient. This effect is specific to individuals who have a criminal identity, because an additional placebo experiment shows that regular citizens do not become more dishonest in response to crime-related reminders. Moreover, our experimental measure of cheatin...
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作者：Gennaioli, Nicola; Voth, Hans-Joachim
作者单位：Bocconi University; Bocconi University; University of Zurich
摘要：Powerful, centralized states controlling a large share of national income only begin to appear in Europe after 1500. We build a model that explains their emergence in response to the increasing importance of money for military success. When fiscal resources are not crucial for winning wars, the threat of external conflict stifles state-building. As finance becomes critical, internally cohesive states invest in state capacity while divided states rationally drop out of the competition, causing ...
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作者：Simonovska, Ina
作者单位：University of California System; University of California Davis; National Bureau of Economic Research
摘要：I study the positive relationship between prices of tradable goods and per capita income. I develop a highly tractable general equilibrium model of international trade with heterogeneous firms and non-homothetic consumer preferences that positively links prices of tradables to consumer income. Guided by the model's testable prediction, I estimate the elasticity of price with respect to per capita income from a unique data set that I construct, which features prices of 245 identical goods sold ...
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作者：Hackbarth, Dirk; Johnson, Timothy
作者单位：Boston University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We examine the asset pricing implications of a neoclassical model of repeated investment and disinvestment. Prior research has emphasized a negative relation between productivity and equity risk that results from operating leverage when capital adjustment is costly. In general, however, expansion and contraction options affect risk in the opposite direction: they lower equity risk as profitability declines. The general prediction is a non-monotonic overlay of opposing real option and operating...
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作者：Bordon, Paola; Fu, Chao
作者单位：Universidad de Chile; University of Wisconsin System; University of Wisconsin Madison
摘要：Many countries use college-major-specific admissions policies that require a student to choose a college-major pair jointly. Given the potential of student-major mismatches, we explore the equilibrium effects of postponing student choice of major. We develop a sorting equilibrium model under the college-major-specific admissions regime, allowing for match uncertainty and peer effects. We estimate the model using Chilean data. We introduce the counterfactual regime as a Stackelberg game in whic...
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作者：Fisman, Raymond; Wang, Yongxiang
作者单位：Columbia University; University of Southern California
摘要：We study the relationship between the political connections of Chinese firms and workplace fatalities. In our preferred specification, we find that the worker death rate for connected companies is two to three times that of unconnected firms (depending on the sample employed), a pattern that holds for within-firm estimations. The connections-mortality relationship is attenuated in provinces where safety regulators' promotion is contingent on meeting safety targets. In the absence of fatalities...
