-
作者：Bugni, Federico A.; Bunting, Jackson; Ura, Takuya
作者单位：Northwestern University; University of Washington; University of Washington Seattle; University of California System; University of California Davis
摘要：The literature on dynamic discrete games often assumes that the conditional choice probabilities and the state transition probabilities are homogeneous across markets and over time. We refer to this as the homogeneity assumption in dynamic discrete games. This assumption enables empirical studies to estimate the game's structural parameters by pooling data from multiple markets and from many time periods. In this paper, we propose a hypothesis test to evaluate whether the homogeneity assumptio...
-
作者：Chen, Kaiji; Wang, Qing; Xu, Tong; Zha, Tao
作者单位：Emory University; Southwestern University of Finance & Economics - China; Southwestern University of Finance & Economics - China; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; National Bureau of Economic Research
摘要：We study how China's loan-to-value (LTV) policy affects mortgage markets and household consumption, focusing on an abrupt and unprecedented relaxation in LTV limits for secondary houses from 2014Q4 to 2016Q3. Using a rich dataset of over three million loan-level records from a major Chinese commercial bank, supplemented by survey data on urban household finances, we analyze how this policy shift influenced mortgage demand, house prices, and consumption across household groups and at the aggreg...
-
作者：Chikhani, Pauline; Renne, Jean-Paul
作者单位：University of Lausanne
摘要：This paper uses a tractable stochastic integrated-assessment model to analyze the influence of climate change on asset returns across time and maturity. Quasi-analytical, or recursive, formulas allow to price various long-dated assets, including fixed-income products, derivatives, and equities. We find that climate risks will increasingly drive down long-term risk-free yields, reducing them by about 30 basis points by the end of the century. This decline reflects weaker growth and increased un...
-
作者：Allen, Roy; Rehbeck, John
作者单位：Western University (University of Western Ontario); Ohio State University; University System of Ohio; Ohio State University
摘要：This paper provides nonparametric identification results for random coefficient distributions in perturbed utility models. We cover discrete choice and models of multiple purchases. We establish identification using variation in mean quantities. The results apply even when an analyst observes only aggregate demands but not whether goods are chosen together. The identification results use exclusion restrictions on covariates and independence between random slope coefficients and random intercep...
-
作者：Higbee, Samuel D.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：I study the problem of a decision maker choosing a policy that allocates treatment to a heterogeneous population on the basis of experimental data that includes only a subset of possible treatment values. The effects of new treatments are partially identified by shape restrictions on treatment response. Policies are compared according to the minimax regret criterion, and I show that the empirical analog of the population decision problem has a tractable linear- and integer-programming formulat...
-
作者：Rucker, Maximilian; Vogt, Michael; Linton, Oliver; Walsh, Christopher
作者单位：Ulm University; University of Cambridge; Newcastle University - UK
摘要：We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a nontrivial extension of the very popular common correlated effects (CCE) approach. Roughly speaking, we proceed as follows: We first construct a projection device to eliminate the unobserved factors from the model by applying a dimensionality reduction transform to the matrix of cross-sectionally averaged covariates. The unknown...
-
作者：Chen, Xiaoshan; Lazarakis, Spyridon; Varthalitis, Petros
作者单位：Durham University; Lancaster University; Athens University of Economics & Business
摘要：This paper develops a world economy HANK model for the Euro Area (EA) Core and Periphery, which captures key features of EA cross- and within-country heterogeneity, to study debt target reforms. We show that fiscal consolidation under the current EA institutional arrangements is quite costly across and within countries, particularly affecting households in the Periphery. Reforming the EA debt targets closer to their historical values can significantly mitigate these welfare losses and make fis...
-
作者：Wachter, Jessica A.; Zhu, Yicheng
作者单位：University of Pennsylvania
摘要：Financial crises appear to have long-lasting effects, even after the crisis itself has passed. This paper offers a simple explanation based on Bayesian learning from rare events. Agents face a latent and time-varying probability of economic disaster. When a disaster occurs, learning results in greater effects on asset prices because agents update their probability of future disasters. Moreover, agents' belief that the disaster risk is high can rationally persist for years, even when it is in f...
-
作者：Balke, Kasper Kragh; Karlman, Markus; Kinnerud, Karin
作者单位：Norwegian School of Economics (NHH); BI Norwegian Business School
摘要：This paper considers optimal taxation of housing capital. To this end, we employ a life-cycle model calibrated to the U.S. economy, where asset holdings and labor productivity vary across households, and tax reforms lead to changes in house and rental prices, interest rates, and wages. We find that the optimal property tax in the long run is considerably higher than today, partly due to the relatively inelastic demand and supply of housing. A higher property tax also reduces house prices and c...
