-
作者：Boehm, Michael J.; Siegel, Christian
作者单位：University of Bonn; IZA Institute Labor Economics; University of Kent; Centre for Economic Policy Research - UK
摘要：This article studies the impact of demographic change on experienced workers' relative wages and employment rates. We investigate empirical predictions from a framework of supply and demand for experience skill, using variation across U.S. local labor markets (LLMs) over the last decades and instrumenting experience skill supply by the LLMs' age structures a decade earlier. We find that aging substantially reduces experienced workers' relative wages and full-time employment rates, and also the...
-
作者：Adrian, Tobias; Boyarchenko, Nina; Giannone, Domenico
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York; Amazon.com; Center for Economic & Policy Research (CEPR)
摘要：We estimate the evolution of the conditional joint distribution of economic and financial conditions. Although the joint distribution is approximately Gaussian during normal periods, sharp tightenings of financial conditions lead to the emergence of additional modes. The U.S. economy has historically resolved quickly to the good mode, but we conjecture that poor policy choices could lead to prolonged periods of multimodality. We argue that multimodality arises naturally in a macrofinancial int...
-
作者：Airaudo, Marco; Hajdini, Ina
作者单位：Drexel University
摘要：We study the existence of Stochastic Consistent Expectations Equilibria (SCEE) in linear Markov regime switching models. An SCEE exists when the model-implied mean and first-order autocorrelation coincide with those predicted by the agents via misspecified forecasting rules. For a simple regime-switching monetary policy model, the parametric space where at least one SCEE exists is rather wide, and may extend well beyond the rational expectations equilibrium determinacy frontier. Misspecified e...
-
作者：Phillips, Peter C. B.; Jin, Sainan
作者单位：Yale University; University of Auckland; University of Southampton; Singapore Management University
摘要：Trend elimination and business cycle estimation are analyzed by finite sample and asymptotic methods. An overview history is provided, operator theory is developed, limit theory as the sample size n ->infinity is derived, and filtered series properties are studied relative to smoothing parameter (lambda) behavior. Simulations reveal that limit theory with lambda=O(n4) delivers excellent approximations to the HP filter for common sample sizes but fails to remove stochastic trends, contrary to s...
-
作者：Grevenbrock, Nils; Groneck, Max; Ludwig, Alexander; Zimper, Alexander
作者单位：European University Institute; University of Groningen; Tilburg University; Goethe University Frankfurt; Centre for Economic Policy Research - UK; University of Pretoria
摘要：This article investigates the roles of psychological biases for deviations between subjective survival beliefs (SSBs) and objective survival probabilities. We model these deviations through age-dependent inverse S-shaped probability weighting functions. Our estimates suggest that implied measures for cognitive weakness increase and relative optimism decrease with age. Direct measures of cognitive weakness and optimism share these trends. Our regression analyses confirm that these factors play ...
-
作者：Chemla, Gilles; Hennessy, Christopher
作者单位：Imperial College London; Centre National de la Recherche Scientifique (CNRS); University of London; London Business School; Center for Economic & Policy Research (CEPR); European Corporate Governance Institute
摘要：We incorporate structural modelers into the economy they model. Using traditional moment matching, they treat policy changes as zero probability (or exogenous) counterfactuals. Bias occurs since real-world agents understand policy changes are positive probability events guided by modelers. Downward, upward, or sign bias occurs. Bias is illustrated by calibrating the Leland model to the 2017 tax cut. The traditional identifying assumption, constant moment partial derivative sign, is incorrect w...
-
作者：Hamilton, Barton H.; Hincapie, Andres; Miller, Robert A.; Papageorge, Nicholas W.
作者单位：Washington University (WUSTL); University of North Carolina; University of North Carolina Chapel Hill; Carnegie Mellon University; Johns Hopkins University; National Bureau of Economic Research; Johns Hopkins University
摘要：We develop and estimate a dynamic structural model of demand in a setting where product characteristics endogenously evolve in response to aggregate consumer choices. The direction and speed of innovation are inefficient because individuals do not account for their influence on innovation, creating an externality. Our application focuses on drugs invented to combat human immunodeficiency virus; they differ in their efficacy and propensity to cause side effects. We find that the externality is ...
-
作者：Ebert, Sebastian
作者单位：Frankfurt School Finance & Management
摘要：We report results from an experiment that contrasts preferences toward the risk of what may happen (outcome risk preferences) with preferences toward the risk of when something may happen (time or delay risk preferences). Just as choices over monetary risks identify utility independently from discounting, choices over uncertain delays of a fixed reward identify discounting independently from utility. We replicate the widespread finding of outcome risk aversion, but-in a perfectly symmetric des...
-
作者：Kaas, Leo; Kimasa, Bihemo
作者单位：Goethe University Frankfurt; University of Konstanz
摘要：We analyze the joint dynamics of prices, productivity, and employment across firms, building a dynamic equilibrium model of heterogeneous firms who compete for workers and customers in frictional labor and product markets. Using panel data on prices and output for German manufacturing firms, the model is calibrated to evaluate the quantitative contributions of productivity and demand for the labor market. Product market frictions decisively dampen the firms' employment adjustments to productiv...
-
作者：Phillips, Peter C. B.; Shi, Zhentao
作者单位：Yale University; University of Auckland; University of Southampton; Singapore Management University; Chinese University of Hong Kong
摘要：We propose a procedure of iterating the HP filter to produce a smarter smoothing device, called the boosted HP (bHP) filter, based on L-2-boosting in machine learning. Limit theory shows that the bHP filter asymptotically recovers trend mechanisms that involve integrated processes, deterministic drifts, and structural breaks, covering the most common trends that appear in current modeling methodology. A stopping criterion automates the algorithm, giving a data-determined method for data-rich e...
