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作者：Boppart, Timo; Harmenberg, Karl; Hassler, John; Krusell, Per; Olsson, Jonna
作者单位：Stockholm University; University of Zurich; University of Oslo; Norwegian School of Economics (NHH)
摘要：Aimed at pandemic preparedness, we construct a framework for integrated epi-econ assessment that we believe would be useful for policymakers, especially at the early stages of a pandemic outbreak. We offer theory, calibration to micro-, macro-, and epi-data, and numerical methods for quantitative policy evaluation. The model has an explicit microeconomic, market-based structure. It highlights trade-offs, within period and over time, associated with activities that involve both valuable social ...
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作者：Kartal, Melis; Mueller, Wieland
作者单位：Vienna University of Economics & Business; University of Vienna; University of Vienna; Tilburg University; Tilburg University; Corvinus University Budapest
摘要：The theory of infinitely repeated games may lack predictive power due to its insensitivity to, for example, changes in some game parameters, the timing of players' moves, and communication possibilities. We propose a new approach by studying an infinitely repeated prisoner's dilemma game and its variants where preferences for cooperation are heterogeneous, and strategic risk arises from incomplete information about opponents' preferences. Our model generates a rich set of comparative static pr...
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作者：Chen, Kaiji; Wang, Qing; Xu, Tong; Zha, Tao
作者单位：Emory University; Southwestern University of Finance & Economics - China; Southwestern University of Finance & Economics - China; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; National Bureau of Economic Research
摘要：We study how China's loan-to-value (LTV) policy affects mortgage markets and household consumption, focusing on an abrupt and unprecedented relaxation in LTV limits for secondary houses from 2014Q4 to 2016Q3. Using a rich dataset of over three million loan-level records from a major Chinese commercial bank, supplemented by survey data on urban household finances, we analyze how this policy shift influenced mortgage demand, house prices, and consumption across household groups and at the aggreg...
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作者：Chikhani, Pauline; Renne, Jean-Paul
作者单位：University of Lausanne
摘要：This paper uses a tractable stochastic integrated-assessment model to analyze the influence of climate change on asset returns across time and maturity. Quasi-analytical, or recursive, formulas allow to price various long-dated assets, including fixed-income products, derivatives, and equities. We find that climate risks will increasingly drive down long-term risk-free yields, reducing them by about 30 basis points by the end of the century. This decline reflects weaker growth and increased un...
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作者：Honore, Bo E.; Muris, Chris; Weidner, Martin
作者单位：Princeton University; McMaster University; University of Oxford; University of Oxford
摘要：This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The a...
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作者：Cheela, Bhagath; Dehon, Andre; Fernandez-Villaverde, Jesus; Peri, Alessandro
作者单位：University of Pennsylvania; University of Pennsylvania; University of Colorado System; University of Colorado Boulder
摘要：We show how to use field-programmable gate arrays (FPGAs) and their associated high-level synthesis (HLS) compilers to solve heterogeneous agent models with incomplete markets and aggregate uncertainty (Krusell and Smith (1998)). We document that the acceleration delivered by one single FPGA is comparable to that provided by using 69 CPU cores in a conventional cluster. The time to solve 1200 versions of the model drops from 8 hours to 7 minutes, illustrating a great potential for structural e...
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作者：Fernandez-villaverde, Jesus; Hull, Isaiah
作者单位：University of Pennsylvania; University of Cambridge; BI Norwegian Business School
摘要：We introduce novel algorithms for solving dynamic programming problems in economics on a quantum annealer, a specialized quantum computer used for combinatorial optimization. Quantum annealers begin in a superposition of all states and generate candidate global solutions in milliseconds, regardless of problem size. In contrast to existing methods, those developed in this paper (1) recover value and policy functions, (2) avoid fundamental scaling bottlenecks, and (3) are already implementable f...
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作者：van den Bremer, Ton; Hambel, Christoph; van der Ploeg, Frederick
作者单位：University of Amsterdam; Delft University of Technology; Tilburg University; University of Oxford; Leibniz Association; Ifo Institut
摘要：An easy-to-interpret rule for the optimal risk-adjusted social cost of carbon is derived using perturbation analysis. This rule internalizes the adverse effects of global warming on the risk of recurring climate-related disasters, the risk of irreversible cascading climate tipping points, and the usual effect on total factor productivity. It and its three components approximate the true numerical optimum well, especially if the small parameters (i.e., the share of damages in GDP, the sensitivi...
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作者：Han, Jiequn; Yang, Yucheng; Weinan, E.
作者单位：Simons Foundation; Flatiron Institute; University of Zurich; Peking University; Peking University
摘要：We propose an efficient, reliable, and interpretable global solution method, the Deep learning-based algorithm for Heterogeneous Agent Models (DeepHAM), for solving high-dimensional heterogeneous agent models with aggregate shocks. The state distribution is approximately represented by a set of optimal generalized moments. Deep neural networks are used to approximate the value and policy functions, and the objective is optimized over directly simulated paths. In addition to being an accurate g...
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作者：Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan
作者单位：University of Cambridge; University of Southern California; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Tinbergen Institute; University of California System; University of California San Diego; University of California System; University of California San Diego
摘要：We provide a comprehensive examination of the predictive accuracy of panel forecasting methods based on individual, pooling, fixed effects, and empirical Bayes estimation, and propose optimal weights for forecast combination schemes. We consider linear panel data models, allowing for weakly exogenous regressors and correlated heterogeneity. We quantify the gains from exploiting panel data and demonstrate how forecasting performance depends on the degree of parameter heterogeneity, whether such...
