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作者：Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia
作者单位：Paris School of Economics; heSam Universite; Universite Pantheon-Sorbonne; Universite Libre de Bruxelles; Center for Economic & Policy Research (CEPR); University of London; London Business School
摘要：Is maximum likelihood suitable for factor models in large cross-sections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the cross-section (n) and the sample size (T), going to infinity along any path, and that maximum likelihood is viable for n large. The estimator is robust to misspecification of cross-sectional and time series correlation of t...
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作者：Koellinger, Philipp D.; Thurik, A. Roy
作者单位：Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung
摘要：We find new empirical regularities in the business cycle in a cross-country panel of 22 OECD countries for the period 1972 to 2007; entrepreneurship Granger-causes the cycles of the world economy. Furthermore, the entrepreneurial cycle is positively affected by the national unemployment cycle. We discuss possible causes and implications of these findings.
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作者：Coelho, Christiano A.; De Mello, Joao M. P.; Funchal, Bruno
作者单位：Pontificia Universidade Catolica do Rio de Janeiro
摘要：In December 2003, the Brazilian Congress passed a law that led to a natural personal lending experiment. The law allows banks to offer loans with repayment through automatic payroll deduction, which, in effect, turns future income into collateral. We estimate the impact of the new law using auto loans as a control group. The law has caused a reduction in interest rates and an increase in the volume of personal credit.
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作者：Giannone, Domenico; Henry, Jerome; Lalik, Magdalena; Modugno, Michele
作者单位：Universite Libre de Bruxelles; European Central Bank; European Central Bank
摘要：This paper describes how we constructed a real-time database for the euro area. The database covers more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available to the Governing Council members for their first monthly meeting. We study the properties of the real-time data flow and data revisions in the euro area, also providing comparisons with the United States and Japan. We illustrate how revisions contribute to the uncertainty surrounding key mac...
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作者：Komunjer, Ivana; Owyang, Michael T.
作者单位：University of California System; University of California San Diego; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and Timmerman (2008). Following their methodology, we derive a GMM test for multivariate forecast rationality that allows the forecaster's loss to be nonseparable across variables and takes into account for...
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作者：Carrillo, Paul E.; Emran, M. Shahe
作者单位：George Washington University; Columbia University
摘要：Governments provide public information to reduce information imperfections. Do households rely on public signals to inform themselves about market conditions? To identify the importance of public information in households' price expectations, we take advantage of a unique natural experiment in Ecuador where the published inflation rate had been different from the correct rate over a period of fourteen months due to a software error. We find that the public signal about prices plays an importan...
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作者：Toivanen, Otto; Vaananen, Lotta
作者单位：KU Leuven
摘要：A key input to inventive activity is human capital. Hence, it is important to understand the monetary incentives of inventors. We estimate the effect of patented inventions on individual earnings by linking data on U.S. patents and their inventors to Finnish employer-employee data. Returns are heterogeneous: inventors get a temporary reward of 3% of annual earnings for a patent grant and for highly cited patents a longer-lasting premium of 30% in earnings three years later. Similar medium-term...
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作者：Lugauer, Steven
作者单位：University of Notre Dame
摘要：I exploit the variation in demographic change across the United States to estimate the relationship between the age distribution in the population and the magnitude of cyclical output volatility. According to panel regression estimates, the relative supply of young workers, or youth share, has a statistically significant effect on the volatility of state-by-state GDP. Moreover, changes to the age distribution can account for up to 58% of the recent reduction in business cycle fluctuations, ind...
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作者：Hottenrott, Hanna; Peters, Bettina
作者单位：KU Leuven; Leibniz Association; Zentrum fur Europaische Wirtschaftsforschung (ZEW); University of Zurich
摘要：This study presents a novel empirical approach to identify financing constraints for innovation based on the concept of an ideal test (Hall, 2008). Firms were offered a hypothetical payment and asked to choose between alternatives of use. If they selected additional innovation projects, they must have had some unexploited investment opportunities that were not profitable using more costly external finance. We attribute constraints for innovation not only to lacking financing, but also to firms...
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作者：Andersen, Thomas Barnebeck; Bentzen, Jeanet; Dalgaard, Carl-Johan; Selaya, Pablo
作者单位：University of Southern Denmark; University of Copenhagen
摘要：Empirically, a higher frequency of lightning strikes is associated with slower growth in labor productivity across the 48 contiguous U.S. states after 1990; before 1990, there is no correlation between growth and lightning. Other climate variables (e.g., temperature, rainfall, and tornadoes) do not conform to this pattern. A viable explanation is that lightning influences IT diffusion. By causing voltage spikes and dips, a higher frequency of ground strikes leads to damaged digital equipment a...
