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作者：Fernandez-Villaverde, Jesus; Levintal, Oren
作者单位：University of Pennsylvania; Reichman University
摘要：This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the lines of those proposed by Rietz (1988), Barro (2006), Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require solution methods that can handle the large nonlinearities triggered by low-probability, high-impact events with accuracy and speed. We solve a standard New Keynesian model with Epstein-Zin preferences and t...
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作者：Honore, Bo E.; de Paula, Aureo
作者单位：Princeton University; University of London; University College London
摘要：This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. Another feature of the proposed model is that it will generate equal durations with positive probability. Our approach takes a stylized economic model that leads to a univariate generalized accelerated failure time model as a starting point. In this model, agents decide when to transiti...
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作者：Winberry, Thomas
作者单位：University of Chicago; National Bureau of Economic Research
摘要：I develop a computational method for solving and estimating heterogeneous agent macro models with aggregate shocks. The main challenge is that the aggregate state vector contains the distribution of agents, which is typically infinite-dimensional. I approximate the distribution with a flexible parametric family, reducing its dimensionality to a finite set of endogenous parameters, and solve for the dynamics of these endogenous parameters by perturbation. I implement the method in Dynare and sh...
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作者：Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; Tallon, Jean-Marc
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Centre National de la Recherche Scientifique (CNRS); University of London; Queen Mary University London; University of Oxford; Centre National de la Recherche Scientifique (CNRS); Paris School of Economics
摘要：This paper assesses the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk-free rate in data and measure the uncertainty each period conditional on the actual, observed history of (U.S.) macroeconomic growth outcomes...
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作者：Berliant, Marcus; Watanabe, Axel H.
作者单位：Washington University (WUSTL); Concordia University - Canada; Universite de Montreal
摘要：Zipf's law is one of the best known empirical regularities in urban economics. There is extensive research on the subject, where each city is treated symmetrically in terms of the cost of transactions with other cities. Recent developments in network theory facilitate the examination of an asymmetric transport network. In a scale-free network, the chance of observing extremes in network connections becomes higher than the Gaussian distribution predicts and, therefore, it explains the emergence...
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作者：Gordon, Grey; Qiu, Shi
作者单位：Indiana University System; Indiana University Bloomington
摘要：A divide and conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To solve a discrete problem with n states and n choices, the algorithm requires at most nlog(2)(n)+5n objective function evaluations. In contrast, existing methods for nonconcave problems require n(2) evaluations in the worst case. For concave problems, the solution technique can be combined with a method exploiting concavity to reduce evaluations to 14n+2log(2)(n). A version of the algorithm e...
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作者：Gayle, George-Levi; Golan, Limor; Soytas, Mehmet A.
作者单位：Washington University (WUSTL); Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Ozyegin University
摘要：This paper explores the estimation of a class of life-cycle discrete choice dynastic models. It provides a new representation of the value function for these class of models. It compare a multistage conditional choice probability (CCP) estimator based on the new value function representation with a modified version of the full solution maximum likelihood estimator (MLE) in a Monte Carlo study. The modified CCP estimator performs comparably to the MLE in a finite sample but greatly reduces the ...
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作者：Ambrus, Attila; Chaney, Eric; Salitskiy, Igor
作者单位：Duke University; National Bureau of Economic Research; University of Oxford
摘要：We investigate the effect of delay on prices in bargaining situations using a data set containing thousands of captives ransomed from Barbary pirates between 1575 and 1692. Plausibly exogenous variation in the delay in ransoming provides evidence that negotiating delays decreased the size of ransom payments, and that much of the effect stems from the signalling value of strategic delay, in accordance with theoretical predictions. We also structurally estimate a version of the screening type ba...
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作者：Cowell, Frank A.; Flachaire, Emmanuel
作者单位：University of London; London School Economics & Political Science; Centre National de la Recherche Scientifique (CNRS); Aix-Marseille Universite; Aix-Marseille Universite
摘要：Our new approach to mobility measurement involves separating out the valuation of positions in terms of individual status (using income, social rank, or other criteria) from the issue of movement between positions. The quantification of movement is addressed using a general concept of distance between positions and a parsimonious set of axioms that characterize the distance concept and yield a class of aggregative indices. This class of indices induces a superclass of mobility measures over th...
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作者：Arai, Yoichi; Ichimura, Hidehiko
作者单位：Waseda University; University of Tokyo
摘要：A new bandwidth selection method that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity design estimator of the average treatment effect at the cut-off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection method is shown to be smaller than other bandwidth selection methods proposed in the literature. The approach that the bandwidth sel...
