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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：Cai, Yongyang; Judd, Kenneth L.
作者单位：University System of Ohio; Ohio State University; Stanford University
摘要：We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desktop computer will suffice for large problems, but it can also use parallel tools efficiently. The SCEQ method...
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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：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：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：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...
