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作者：Amir-Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun
作者单位：Goethe University Frankfurt; Federal Reserve System - USA; Federal Reserve Bank - Richmond; University of Hamburg
摘要：How much have the dynamics of U.S. time series changed over the last century? Has the evolution of the Federal Reserve as an institution over the 100 years altered the transmission of monetary policy shocks? To tackle these questions, we build a multivariate time series model with time-varying parameters and stochastic volatility that features measurement errors in observables. We find substantial changes in the structure of the economy. There is also large variation in the impact of monetary ...
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作者：Coey, Dominic
作者单位：Stanford University
摘要：Using a large set of private health insurance claims, we estimate how physicians' financial incentives affect their treatment choices in heart attack management. Different insurance plans pay physicians different amounts for the same services, generating the required variation in financial incentives. We begin by presenting evidence that, unconditionally, plans that pay physicians more for more invasive treatments are associated with a larger fraction of such treatments. To interpret this corr...
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作者：Gordon, Grey
作者单位：Indiana University System; Indiana University Bloomington
摘要：More debt forgiveness directly benefits households but indirectly makes credit more expensive. How does aggregate risk affect this trade-off? In a calibrated general equilibrium life-cycle model, aggregate risk reduces the welfare benefit of making default very costly when the costs are borne by all households at all times. The result does not necessarily extend to state-contingent policies. The Bankruptcy Abuse Prevention and Consumer Protection Act of 2005 in particular generates a small wel...
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作者：Lazzati, Natalia
作者单位：University of Michigan System; University of Michigan
摘要：This paper studies (nonparametric) partial identification of treatment response with social interactions. It imposes conditions motivated by economic theory on the primitives of the model, that is, the structural equations, and shows that they imply shape restrictions on the distribution of potential outcomes via monotone comparative statics. The econometric framework is tractable and allows for counterfactual predictions in models with multiple equilibria. Under three sets of assumptions, we ...
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作者：Eo, Yunjong; Morley, James
作者单位：University of Sydney; University of New South Wales Sydney
摘要：We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about the error and regressors, and allowing for multiple breaks in mean and variance parameters. In our asymptotic analysis, we determine the critical values for a likelihood ratio test of a break date and the...
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作者：de Nicola, Francesca
作者单位：The World Bank
摘要：I develop and estimate a dynamic stochastic optimization model to assess the impact of weather insurance on the consumption, investment, and welfare of farmers in developing countries. Weather insurance has the potential to provide large welfare gains, equivalent to a permanent increase in consumption of almost 17%. Moreover, it can allow for the adoption of riskier but more productive seeds, further enhancing welfare. The interplay with other uninsured risks, the presence of liquidity constra...
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作者：Andrews, Isaiah; Mikusheva, Anna
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper examines the issue of weak identification in maximum likelihood, motivated by problems with estimation and inference in a multidimensional dynamic stochastic general equilibrium model. We show that two forms of the classical score (Lagrange multiplier) test for a simple hypothesis concerning the full parameter vector are robust to weak identification. We also suggest a test for a composite hypothesis regarding a subvector of parameters. The suggested subset test is shown to be asymp...
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作者：Kim, Dong-Hyuk
作者单位：Vanderbilt University
摘要：I propose a Bayesian method to analyze bid data from first-price auctions under private value paradigms. I use a series representation to specify the valuation density so that bidding monotonicity is always satisfied, and I impose density affiliation by the nonparametric technique of Beresteanu (2007). This flexible method is, therefore, fully compatible with the underlying economic theory. To handle such a rich specification, I use a simulated likelihood, yet obtain a correct posterior by reg...
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作者：Canova, Fabio; Forero, Fernando J. Perez
作者单位：European University Institute; Centre for Economic Policy Research - UK
摘要：This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time-v...
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作者：Holter, Hans A.
作者单位：University of Oslo
摘要：I document a strong negative cross-country correlation between intergenerational earnings persistence and measures of tax progressivity and level, and between intergenerational earnings persistence and public expenditure on tertiary education. To explain these correlations, I then develop an intergenerational life-cycle model of human capital accumulation and earnings that features progressive taxation, public education expenditure, and borrowing constraints among the determinants of earnings ...
