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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：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：Chew, Soo Hong; Miao, Bin; Zhong, Songfa
作者单位：Southwestern University of Finance & Economics - China; National University of Singapore; Renmin University of China; New York University; New York University Abu Dhabi
摘要：Keynes (1921) and Ellsberg (1961) have articulated an aversion toward betting on an urn containing balls of two colors of unknown proportion to one with a 50-50 composition. Keynes views this as reflecting different preferences for bets arising from different sources of uncertainty. Ellsberg describes this as weighting the priors arising from the unknown urn pessimistically. In two experiments, we observe substantial links between attitude toward almost-objective uncertainty and attitudes towa...
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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：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：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...
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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 ...
