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作者：Lazarus, Eben; Lewis, Daniel J.; Stock, James H.
作者单位：Massachusetts Institute of Technology (MIT); Federal Reserve System - USA; Federal Reserve Bank - New York; Harvard University; National Bureau of Economic Research
摘要：Heteroskedasticity- and autocorrelation-robust (HAR) inference in time series regression typically involves kernel estimation of the long-run variance. Conventional wisdom holds that, for a given kernel, the choice of truncation parameter trades off a test's null rejection rate and power, and that this tradeoff differs across kernels. We formalize this intuition: using higher-order expansions, we provide a unified size-power frontier for both kernel and weighted orthonormal series tests using ...
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作者：Boerma, Job; Karabarbounis, Loukas
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We revisit the causes, welfare consequences, and policy implications of the dispersion in households' labor market outcomes using a model with uninsurable risk, incomplete asset markets, and home production. Allowing households to be heterogeneous in both their disutility of home work and their home production efficiency, we find that home production amplifies welfare-based differences, meaning that inequality in standards of living is larger than we thought. We infer significant home producti...
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作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University
摘要：We consider estimation and inference on average treatment effects under unconfoundedness conditional on the realizations of the treatment variable and covariates. Given nonparametric smoothness and/or shape restrictions on the conditional mean of the outcome variable, we derive estimators and confidence intervals (CIs) that are optimal in finite samples when the regression errors are normal with known variance. In contrast to conventional CIs, our CIs use a larger critical value that explicitl...
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作者：Vayanos, Dimitri; Vila, Jean-Luc
作者单位：University of London; London School Economics & Political Science
摘要：We model the term structure of interest rates that results from the interaction between investors with preferences for specific maturities and risk-averse arbitrageurs. Shocks to the short rate are transmitted to long rates through arbitrageurs' carry trades. Arbitrageurs earn rents from transmitting the shocks through bond risk premia that relate positively to the slope of the term structure. When the short rate is the only risk factor, changes in investor demand have the same relative effect...
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作者：Bagwell, Kyle; Staiger, Robert W.; Yurukoglu, Ali
作者单位：Stanford University; National Bureau of Economic Research; Dartmouth College; Stanford University
摘要：We develop a model of international tariff negotiations to study the design of the institutional rules of the GATT/WTO. A key principle of the GATT/WTO is its most-favored-nation (MFN) requirement of nondiscrimination, a principle that has long been criticized for inviting free-riding behavior. We embed a multisector model of international trade into a model of interconnected bilateral negotiations over tariffs and assess the value of the MFN principle. Using 1990 trade flows and tariff outcom...
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作者：Ai, Hengjie; Bhandari, Anmol
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper studies asset pricing and labor market dynamics when idiosyncratic risk to human capital is not fully insurable. Firms use long-term contracts to provide insurance to workers, but neither side can fully commit; furthermore, owing to costly and unobservable retention effort, worker-firm relationships have endogenous durations. Uninsured tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In equilibrium, exposure to the tail risk generates higher aggregate ...
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作者：Sadler, Evan
作者单位：Columbia University
摘要：We often make high stakes choices based on complex information that we have no way to verify. Careful Bayesian reasoning-assessing every reason why a claim could be false or misleading-is not feasible, so we necessarily act on faith: we trust certain sources and treat claims as if they were direct observations of payoff relevant events. This creates a challenge when trusted sources conflict: Practically speaking, is there a principled way to update beliefs in response to contradictory claims? ...
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作者：Kasy, Maximilian; Sautmann, Anja
作者单位：University of Oxford; The World Bank
摘要：Standard experimental designs are geared toward point estimation and hypothesis testing, while bandit algorithms are geared toward in-sample outcomes. Here, we instead consider treatment assignment in an experiment with several waves for choosing the best among a set of possible policies (treatments) at the end of the experiment. We propose a computationally tractable assignment algorithm that we call exploration sampling, where assignment probabilities in each wave are an increasing concave f...
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作者：Mavroeidis, Sophocles
作者单位：University of Oxford
摘要：I show that the zero lower bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I propose a simple way to test the efficacy of unconventional policies, modeled via a shadow rate. I apply this method to U.S. monetary policy using a three-equation structural vector autoregressive model of inflation, unemployment, and the Federal Funds rate. I reject the null hypot...
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作者：Bilal, Adrien; Rossi-Hansberg, Esteban
作者单位：Harvard University; University of Chicago
摘要：The location of individuals determines their job and schooling opportunities, amenities, and housing costs. We conceptualize the location choice of individuals as a decision to invest in a location asset. This asset has a current cost equal to the location's rent, and a future payoff through better job and schooling opportunities. As with any asset, savers in the location asset transfer resources into the future by going to expensive locations with high future returns. In contrast, borrowers t...
