-
作者：Bansal, Ravi; Kiku, Dana; Yaron, Amir
作者单位：Duke University; University of Illinois System; University of Illinois Urbana-Champaign; University of Pennsylvania; National Bureau of Economic Research
摘要：The discrepancy between the decision and data-sampling intervals, known as time aggregation, confounds the identification of long-, short-run growth, and volatility risks in asset prices. This paper develops a method to simultaneously estimate the model parameters and the decision interval of the agent by exploiting identifying restrictions of the Long Run Risk (LRR) model that account for time aggregation. The LRR model finds considerable empirical support in the data; the estimated decision ...
-
作者：Hassler, John; Sinn, Hans-Werner
作者单位：Stockholm University; Leibniz Association; Ifo Institut; University of Munich
摘要：Agriculture sector output (biocarbon) is a good substitute for oil in energy production but oil cannot be used as food. This one-way substitutability is analyzed in a dynamic general equilibrium model. It features three endogenous phases: a pure fossil, a mixed fossil and biocarbon and an absorbing biocarbon fuel only phase. In the latter two, the demand for biocarbon as fuel leads to increasing food prices. Depending on how easily capital and labor can reallocate, food prices increase by betw...
-
作者：Kahn, Charles M.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
-
作者：Yogo, Motohiro
作者单位：Princeton University; National Bureau of Economic Research
摘要：In a life-cycle model, a retiree faces stochastic health depreciation and chooses consumption, health expenditure, and the allocation of wealth between bonds, stocks, and housing. The model explains key facts about asset allocation and health expenditure across health status and age. The portfolio share in stocks is low overall and is positively related to health, especially for younger retirees. The portfolio share in housing is negatively related to health for younger retirees and falls sign...
-
作者：Andrade, Philippe; Crump, Richard K.; Eusepi, Stefano; Moench, Emanuel
作者单位：European Central Bank; Bank of France; Federal Reserve System - USA; Federal Reserve Bank - New York; Deutsche Bundesbank
摘要：We document a novel set of facts about disagreement among professional forecasters: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time varying at all horizons. We propose a generalized model of imperfect information that can jointly explain these facts. We further use the term structure of disagr...
-
作者：Leduc, Sylvain; Liu, Zheng
作者单位：Bank of Canada; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Search frictions in the labor market give rise to a new option-value channel through which uncertainty affects aggregate economic activity, and the effects of which are reinforced by the presence of nominal rigidities. With these features, an increase in uncertainty resembles an aggregate demand shock because it increases unemployment and lowers inflation. Using a new empirical measure of uncertainty based on the Michigan survey and a VAR model, we show that these theoretical patterns are cons...
-
作者：Ales, Laurence
作者单位：Carnegie Mellon University
-
作者：Kuang, Pei; Mitra, Kaushik
作者单位：University of Birmingham
摘要：Observed macroeconomic forecasts display a positive correlation between expectations of long-run growth of endogenous variables (e.g., output) and cyclical activity. Existing business cycle models appear inconsistent with the evidence. This paper presents a model of the business cycle in which households have imperfect knowledge of long-run growth rate of endogenous variables and continually learn about these growth rates. The model features comovement and mutual influence between households' ...
-
作者：Gervais, Martin; Jaimovich, Nir; Siu, Henry E.; Yedid-Levi, Yaniv
作者单位：University of Iowa; University of Southern California; University of British Columbia; National Bureau of Economic Research
摘要：Why is unemployment higher for younger individuals? We address this question in a frictional model of the labor market that features learning about occupational fit. In order to learn the occupation in which they are most productive, workers sample occupations over their careers. Because young workers are more likely to be in matches that represent a poor occupational fit, they spend more time in transition between occupations. Through this mechanism, our model can replicate the observed age d...
-
作者：Sommer, Kamila
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Motivated by large shifts in uninsurable earnings risk over time, this paper studies the link between delaying and reducing fertility on the one hand, and earnings and fertility risks on the other. When children are modeled as consumption commitments, increases in earnings risk are associated with a reduction in family sizes and patterns of delayed childbearing. Since household ability to bear children declines with age, the postponement of birth associated with the increased earnings risk dri...
