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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：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：Bruns, Martin; Piffer, Michele
作者单位：University of East Anglia; University of London; King's College London
摘要：We develop an importance sampler for sign restricted Bayesian structural vector autoregressive models. The algorithm nests as a special case the sampler associated with the popular Normal inverse Wishart Uniform prior, while allowing to move beyond such prior in medium sized models. We then propose a prior on contemporaneous impulse responses that provides flexibility on the magnitude and shape of the impact responses. We illustrate the quantitative relevance of the choice of the prior in an a...
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作者：Hakimov, Rustamdjan; Kuebler, Dorothea; Pan, Siqi
作者单位：University of Lausanne; Technical University of Berlin; Leibniz Association; Ifo Institut; University of Melbourne
摘要：When applying to a university, students and their parents devote considerable time acquiring information about university programs in order to form preferences. We explore ways to reduce wasteful information acquisition, that is, to help students avoid acquiring information about out-of-reach schools or universities, using a market design approach. Focusing on markets where students are ranked by universities based on exam scores, we find that, both theoretically and experimentally, a sequenti...
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作者：Cooper, Russell W.; Schott, Immo
作者单位：European University Institute; National Bureau of Economic Research; Universite de Montreal
摘要：Capital reallocation between firms is procyclical and leads to variations in measured aggregate productivity. In this paper, we ask how much of the cyclical variation in measured productivity is the consequence of capital reallocation. We build a heterogeneous-firm model to study the effects of exogenous shocks to total factor productivity (TFP) and to the costs of reallocation. These shocks cause an endogenous cyclicality of measured aggregate productivity. Only a model driven by exogenous TF...
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作者：Kim, Jun Sung; Patacchini, Eleonora; Picard, Pierre M.; Zenou, Yves
作者单位：Sungkyunkwan University (SKKU); Bocconi University; Cornell University; University of Luxembourg; Universite Catholique Louvain; Monash University; IZA Institute Labor Economics
摘要：This paper studies how the strength of social ties is affected by the geographical location of other individuals and their social capital. We characterize the equilibrium in terms of both social interactions and social capital. We show that lower travel costs increase not only the interaction frequency but also the social capital for all agents. We also show that the equilibrium frequency of interactions is lower than the efficient one. Using a unique geocoded data set of friendship networks a...
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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：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...
