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作者：Aryal, Gaurab; Perrigne, Isabelle; Vuong, Quang; Xu, Haiqing
作者单位：Boston University; Rice University; New York University; University of Texas System; University of Texas Austin
摘要：In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurees choose from a finite number of coverages. We show that the joint distribution of risk and risk aversion is nonparametrically identified despite bunching due to multidimensional types and a finite number of coverages. Our identification strategy exploits the obse...
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作者：Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher; Rebucci, Alessandro
作者单位：University of Lausanne; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - Dallas; Johns Hopkins University; National Bureau of Economic Research
摘要：We develop a new model of cycles and crises in emerging markets, featuring an occasionally binding borrowing constraint and stochastic volatility, and estimate it with quarterly data for Mexico since 1981. We propose an endogenous regime-switching formulation of the occasionally binding borrowing constraint, develop a general perturbation method to solve the model, and estimate it using Bayesian methods. We find that the model fits the Mexican data well without systematically relying on large ...
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作者：Carroll, Christopher D.; Crawley, Edmund; Du, William; Frankovic, Ivan; Tretvoll, Hakon
作者单位：Johns Hopkins University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Deutsche Bundesbank; Statistics Norway; BI Norwegian Business School; BI Norwegian Business School
摘要：Using a heterogeneous agent model calibrated to match spending dynamics over four years following an income shock (Fagereng, Holm, and Natvik (2021)), we assess the effectiveness of three fiscal stimulus policies implemented during recent recessions. Unemployment insurance (UI) extensions are the bang for the buck winner when the metric is effectiveness in boosting utility. Stimulus checks are second-best and have two advantages (over UI): they arrive faster, and are scalable. A temporary (two...
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作者：Del Bono, Emilia; Kinsler, Josh; Pavan, Ronni
作者单位：University of Essex; University System of Georgia; University of Georgia; University of Rochester
摘要：This paper develops a framework to address issues of contamination in parent-reported measures of child noncognitive skills. We estimate a dynamic model in which child and parental skills evolve jointly and leverage information provided by teachers and interviewers to deal with contamination of parent-reported measures. The model also allows us to examine the relative importance of mothers and fathers in the evolution of child skills. Our findings reveal that ignoring contamination significant...
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作者：Andersen, Torben G.; Tan, Yingwen; Todorov, Viktor; Zhang, Zhiyuan
作者单位：Northwestern University; Shanghai University of Finance & Economics; Northwestern University
摘要：We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives featuring deterministic trends in the volatility curve dynamics. Application to S&P 500 futures data provides strong evidence of nonstationary variation in the volatility pattern, with implications for re...
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作者：Rucker, Maximilian; Vogt, Michael; Linton, Oliver; Walsh, Christopher
作者单位：Ulm University; University of Cambridge; Newcastle University - UK
摘要：We develop new econometric methods for estimation and inference in high-dimensional panel data models with interactive fixed effects. Our approach can be regarded as a nontrivial extension of the very popular common correlated effects (CCE) approach. Roughly speaking, we proceed as follows: We first construct a projection device to eliminate the unobserved factors from the model by applying a dimensionality reduction transform to the matrix of cross-sectionally averaged covariates. The unknown...
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作者：Kleibergen, Frank; Zhan, Zhaoguo
作者单位：University of Amsterdam; University System of Georgia; Kennesaw State University
摘要：We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) chi 2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification, hence its name. The minimizer is the so-called pseudo-true value, which equals the true value of the structural parameter under correct specification. To emphasize its importance for applied work whe...
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作者：Bjornland, Hilde C.; Chang, Yoosoon; Cross, Jamie L.
作者单位：BI Norwegian Business School; Indiana University Bloomington; Indiana University System; Indiana University Bloomington; University of Melbourne
摘要：This paper proposes a new mixed vector autoregression (MVAR) model to examine the relationship between aggregate time series and functional variables in a multivariate setting. The model facilitates a reexamination of the oil-stock price nexus by estimating the effects of demand and supply shocks from the global market for crude oil on the entire distribution of U.S. stock returns since the late 1980s. We show that the MVAR effectively extracts information from the returns distribution that is...
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作者：Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano; Mertens, Elmar
作者单位：University of London; Queen Mary University London; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Bocconi University; Centre for Economic Policy Research - UK; Deutsche Bundesbank
摘要：Vector autoregressions (VARs) are popular for forecasting, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We examine reduced-form shadow rate VARs that model interest rates as censored observations of a latent shadow rate process and develop an efficient Bayesian estimation algorithm that accommodates large models. When compared to a standard VAR, our better-performing shadow rate VARs generate superior predictions for inter...
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作者：Freyaldenhoven, Simon
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Linear factor models are generally not identified. We provide sufficient conditions for identification: Under a natural sparsity assumption (the presence of local factors that affect only subsets of observables), the true loading matrix is the sparsest rotation and can be recovered by minimizing the & ell; 1-norm of the loading matrix. This enables economically meaningful interpretation of the individual factors. More generally, our & ell; 1-rotation criterion offers a novel approach to simpli...
