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作者：Hommes, Cars; Mavromatis, Kostas; Ozden, Tolga; Zhu, Mei
作者单位：Bank of Canada; University of Amsterdam; European Central Bank; De Nederlandsche Bank NV; University of Amsterdam; Shanghai University of Finance & Economics; Shanghai University of Finance & Economics
摘要：We introduce Behavioral Learning Equilibria (BLE) into a multivariate linear framework and apply it to New Keynesian DSGE models. In a BLE, boundedly rational agents use simple, but optimal AR(1) forecasting rules whose parameters are consistent with the observed sample mean and autocorrelation of past data. We study the BLE concept in a standard 3-equation New Keynesian model and develop an estimation methodology for the canonical Smets and Wouters (2007) model. A horse race between Rational ...
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作者：Lusompa, Amaze
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：It is well known that Local Projections (LP) residuals are autocorrelated. Conventional wisdom says that LP have to be estimated by OLS and that GLS is not possible because the autocorrelation process is unknown and/or because the GLS estimator would be inconsistent. I show that the autocorrelation process of LP can be written as a Vector Moving Average (VMA) process of the Wold errors and impulse responses and that autocorrelation can be corrected for using a consistent GLS estimator. Monte C...
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作者：Broer, Tobias; Krusell, Per; Oberg, Erik
作者单位：Paris School of Economics; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Uppsala University
摘要：We use an analytically tractable heterogeneous-agent (HANK) version of the standard New Keynesian model to show how the size of fiscal multipliers depends on (i) the distribution of factor incomes, and (ii) the source of nominal rigidities. With sticky prices but flexible wages, the standard representative-agent (RANK) model predicts large multipliers because profits fall after a fiscal stimulus and the resulting negative income effect makes the representative worker work harder. Our HANK mode...
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作者：Jang, Youngsoo; Sunakawa, Takeki; Yum, Minchul
作者单位：University of Queensland; Hitotsubashi University; University of Southampton
摘要：This paper studies how tax-and-transfer progressivity influences aggregate fluctuations when interacting with household heterogeneity. Using a simple static model of the extensive margin labor supply, we analytically characterize how a degree of progressivity influences differential labor supply responses to aggregate conditions across heterogeneous households. We then build a quantitative dynamic general equilibrium model with both idiosyncratic and aggregate productivity shocks and show that...
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作者：Bhattarai, Saroj; Lee, Jae Won; Yang, Choongryul
作者单位：University of Texas System; University of Texas Austin; Seoul National University (SNU); Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We show that the effectiveness of redistribution policy is tied to how much inflation it generates, and thereby to monetary-fiscal adjustments that ultimately finance the transfers. In the monetary regime, taxes increase to finance transfers while in the fiscal regime, inflation rises, imposing inflation taxes on public debt holders. We show analytically that the fiscal regime generates larger and more persistent inflation than the monetary regime. In a two-sector model, we quantify the effect...
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作者：Brunner, Felix; Hipp, Ruben
作者单位：Universidade Nova de Lisboa; Bank of Canada
摘要：We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging because they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a simulation study, we compare various regularization methods on both and conduct a comprehensive analysis of their performance. We show that standard estimators of large connectedness tables lead to b...
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作者：Juodis, Arturas; Kucinskas, Simas
作者单位：University of Amsterdam; Tinbergen Institute; Humboldt University of Berlin
摘要：Expectations affect economic decisions, and inaccurate expectations are costly. Expectations can be wrong due to either bias (systematic mistakes) or noise (unsystematic mistakes). We develop a framework for quantifying the level of noise in survey expectations. The method is based on the insight that theoretical models of expectation formation predict a factor structure for individual expectations. Using data from professional forecasters, we find that the magnitude of noise is large (10%-30%...
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作者：Aguiar, Victor H.; Boccardi, Maria Jose; Kashaev, Nail; Kim, Jeongbin
作者单位：Western University (University of Western Ontario); Amazon.com; State University System of Florida; Florida State University
摘要：The random utility model (RUM, McFadden and Richter (1990)) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a choice set. This assumption may fail when consideration of all alternatives is costly. We provide a theoretical and statistical framework that unifies well-known models of random (limited) consideration and generalizes them to allow for preference heterogeneity...
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作者：Gouin-Bonenfant, Emilien; Toda, Alexis Akira
作者单位：Columbia University; University of California System; University of California San Diego
摘要：We develop an analytical framework designed to solve and analyze heterogeneous-agent models that endogenously generate fat-tailed wealth distributions. We exploit the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to augment the conventional solution algorithm with a theory of the tail. Our framework allows for a precise understanding of the very top of the wealth distribution (e.g., analytical expressions for top wealth shares, type distrib...
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作者：Li, Qi; Pantano, Juan
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Arizona
摘要：Over the last several years, highly accurate methods of sex selection before conception have been developed. Given that strong preferences for sex variety in offspring have been documented for the U.S., we ask what the demographic consequences of sex-selection technology could be. Lacking variation across space and time in access to this technology, we estimate a dynamic programming model of fertility decisions with microdata on fertility histories. We leverage the quasi-experimental variation...
