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作者：Vejlin, Rune; Veramendi, Gregory F.
作者单位：Aarhus University; University of London; Royal Holloway University London
摘要：This paper develops a sufficient statistics approach for estimating the role of search frictions in wage dispersion and life-cycle wage growth. We show how the wage dynamics of displaced workers are directly informative of both for a large class of search models. Specifically, the correlation between pre- and post-displacement wages is informative of frictional wage dispersion. Furthermore, the fraction of displaced workers who suffer a wage loss is informative of frictional wage growth and jo...
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作者：Semenova, Vira; Goldman, Matt; Chernozhukov, Victor; Taddy, Matt
作者单位：University of California System; University of California Berkeley; Massachusetts Institute of Technology (MIT); Amazon.com
摘要：This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by a high-dimensional parameter in both homogeneous cross-sectional and unit-heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting the base treatment variable with explanatory variables. The first step of our procedure is orthogonalization, where we partial out the controls and unit effects from the outcome and the base treatment and take...
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作者：Davezies, Laurent; D'Haultfoeuille, Xavier; Mugnier, Martin
作者单位：Institut Polytechnique de Paris; ENSAE Paris
摘要：We consider fixed-effects binary choice models with a fixed number of periods T and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution F, Chamberlain (2010) shows that the common slope parameter is point identified if and only if F is logistic. However, he only considers in his proof T = 2. We show that the result does not generalize to T & GE; 3: the common slope parameter can be identified when F belongs to a family including the logit...
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作者：Amisano, Gianni; Tristani, Oreste
作者单位：Federal Reserve System - USA; European Central Bank; Center for Economic & Policy Research (CEPR)
摘要：We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro- and yield-data from the United States. Regime shifts in the conditional variance of productivity shocks, or uncertainty shocks, are a crucial driver of bond risk premia. We highlight three main results. First, our term premia on 10-year bonds are highly correlated with estimates from the affine literature, even if less markedly volatile. Second, uncertainty ...
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作者：Cho, Daeha
作者单位：Hanyang University
摘要：This paper uses an estimated Heterogeneous Agent New Keynesian (HANK) model to evaluate the quantitative importance of two channels in driving aggregate consumption fluctuations in the US: (i) precautionary savings against unemployment risk and (ii) MPC heterogeneity. I find that MPC heterogeneity is the dominant channel because a large fraction of households are close to the borrowing limit. The empirical average MPC target in HANK generates counterfactually volatile aggregate consumption, an...
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作者：Hafner, Samuel
作者单位：University of St Gallen
摘要：This paper analyzes risk aversion in discriminatory share auctions. I generalize the k-step share auction model of Kastl (2011, 2012) and establish that marginal profits are set-identified for any given coefficient of constant absolute risk aversion. I also derive necessary conditions for best-response behavior, which allows determining risk preferences from bidding data. Further, I show how the bidders' optimality conditions allow computing bounds on the marginal profits that are tighter than...
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作者：Filippin, Antonio; Mantovani, Marco
作者单位：University of Milan; IZA Institute Labor Economics; University of Milano-Bicocca
摘要：We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where traders are sorted according to their RA. RA should induce steeper individual demands and, under its most common parametrizations, drive equilibrium prices closer to revealing the state. Results support the prediction on individual demands, but not the prediction on prices, which do not vary with RA and are close to the risk-neutral benchmark. This purported conflict is due to ...
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作者：Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail
作者单位：Johns Hopkins University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of London; London Business School; Amazon.com
摘要：We estimate a production-based general equilibrium model featuring demand- and supply-side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand- and supply-side uncertainty imply large contractions in real activity and an increase in term premia, but supply-side uncertainty has larger effects on inflation and investment. We introduce a novel analytical decompos...
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作者：Chahrour, Ryan; Chugh, Sanjay K.; Potter, Tristan
作者单位：Cornell University; University System of Ohio; Ohio State University; Drexel University
摘要：We identify the main shock driving fluctuations in long-horizon productivity expectations, consistent with theories of TFP news. The identified shock induces strong comovement patterns in output, consumption, investment, employment, and stock prices even though TFP does not change significantly for more than 2 years. A labor search model in which wages are determined by a cash-flow sharing rule, rather than the present value of match surplus, matches the observed responses to the news shock. T...
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作者：Gauriot, Romain; Page, Lionel; Wooders, John
作者单位：Deakin University; University of Queensland; New York University; New York University Abu Dhabi
摘要：Mixed-strategy Nash equilibrium is the cornerstone of our understanding of strategic situations that require decision makers to be unpredictable. Using data from nearly half a million serves over 3000 tennis matches, and data on player rankings from the ATP and WTA, we examine whether the behavior of professional tennis players is consistent with equilibrium. We find that win rates conform remarkably closely to the theory for men, but conform somewhat less neatly for women. We show that the be...
