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作者：Paluszynski, Radoslaw; Stefanidis, Georgios
作者单位：University of Houston System; University of Houston; York University - Canada
摘要：Quantitative models of sovereign default predict that governments reduce borrowing during recessions to avoid debt crises. A prominent implication of this behavior is that the resulting interest rate spread volatility is counterfactually low. We propose that governments borrow into debt crises because of frictions in the adjustment of their expenditures. We develop a model of government good production, which uses public employment and intermediate consumption as inputs. The inputs have varyin...
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作者：Hortacsu, Ali; Natan, Olivia R.; Parsley, Hayden; Schwieg, Timothy; Williams, Kevin R.
作者单位：University of Chicago; National Bureau of Economic Research; University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin; University of Chicago; Yale University
摘要：We propose a demand estimation method that allows for a large number of zero- sale observations, rich unobserved heterogeneity, and endogenous prices. We do so by modeling small market sizes through Poisson arrivals. Each of these arriving consumers solves a standard discrete choice problem. We present a Bayesian IV estimation approach that addresses sampling error in product shares and scales well to rich data environments. The data requirements are traditional market-level data as well as a ...
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作者：Liu, Laura; Plagborg-Moller, Mikkel
作者单位：Indiana University System; Indiana University Bloomington; Princeton University
摘要：We develop a generally applicable full-information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross-sections of micro data. To handle unobserved aggregate state variables that affect cross-sectional distributions, we compute a numerically unbiased estimate of the model-implied likelihood function. Employing the likelihood estimate in a Markov Chain Monte Carlo algorithm, we obtain fully efficient and valid Bayesian inference. Evaluation o...
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作者：Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian
作者单位：Free University of Berlin; Martin Luther University Halle Wittenberg; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung
摘要：We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the economic interpretation of the structural shock of interest. We test alternative instruments and find that narrative and model...
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作者：Conley, Timothy G.; Goncalves, Silvia; Kim, Min Seong; Perron, Benoit
作者单位：Western University (University of Western Ontario); McGill University; Universite de Montreal; Universite de Montreal; University of Connecticut; Universite de Montreal
摘要：In this paper, we introduce a method of generating bootstrap samples with unknown patterns of cross- sectional/spatial dependence, which we call the spatial dependent wild bootstrap. This method is a spatial counterpart to the wild dependent bootstrap of Shao (2010) and generates data by multiplying a vector of independently and identically distributed external variables by the eigendecomposition of a bootstrap kernel. We prove the validity of our method for studentized and unstudentized stati...
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作者：Fernandez-Val, Ivan; van Vuuren, Aico; Vella, Francis; Peracchi, Franco
作者单位：Boston University; University of Gothenburg; University of Groningen; Georgetown University; University of Rome Tor Vergata
摘要：We analyze the role of selection bias in generating changes in the observed distribution of female hourly wages in the United States using CPS data for the years 1975 to 2020. We account for selection bias from the employment decision by modeling the distribution of the number of working hours and estimating a nonseparable model of wages. We decompose changes in the wage distribution into composition, structural, and selection effects. Composition effects increased wages at all quantiles while...
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作者：Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus T.
作者单位：State University of New York (SUNY) System; University at Albany, SUNY; University of Macau; Copenhagen Business School
摘要：This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first-order asymptotic validity, and use Edgeworth expansions to show that the LG bootstrap inference achieves second-order asymptotic refinements. Moreover, we provide new Laplace transform-based estimators of the spot ...
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作者：Gandhi, Amit; Lu, Zhentong; Shi, Xiaoxia
作者单位：Airbnb; Bank of Canada; University of Wisconsin System; University of Wisconsin Madison
摘要：In this paper, we introduce a new approach to estimating differentiated product demand systems that allows for products with zero sales in the data. Zeroes in demand are a common problem in differentiated product markets, but fall outside the scope of existing demand estimation techniques. We show that with a lower bound imposed on the expected sales quantities, we can construct upper and lower bounds for the conditional expectation of the inverse demand. These bounds can be translated into mo...
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作者：Braun, Robin
作者单位：Federal Reserve System - USA
摘要：When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short-run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound with a weakly informative prior, supply shocks turn out to be substantially more important. In this paper, I revisit the evidence in a model that combines weakly informative priors with identification by n...
