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作者：Bianchi, Francesco; Nicolo, Giovanni
作者单位：Duke University; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We propose a novel approach to deal with the problem of indeterminacy in linear rational expectations models. The method consists of augmenting the original state space with a set of auxiliary exogenous equations to provide the adequate number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always determinate, and is identical to the indeterminate solution of the original model. The proposed approach accommodates determinacy and any ...
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作者：Mehra, Rajnish; Wahal, Sunil; Xie, Daruo
作者单位：Arizona State University; Arizona State University-Tempe; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe; Australian National University
摘要：In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice versa. The data appear to be consistent a positive state-dependent premium for idiosyncratic risk both in the US and other developed...
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作者：Schwartz, Amy Ellen; Leos-Urbel, Jacob; McMurry, Joel; Wiswall, Matthew
作者单位：Syracuse University; Syracuse University; University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research
摘要：This paper examines New York City's Summer Youth Employment Program (SYEP). SYEP provides jobs to youth ages 14-24, and due to high demand for summer jobs, allocates slots through a random lottery system. We match student-level data from the SYEP program with educational records from the NYC Department of Education and use the random lottery to estimate the effects of SYEP participation on a number of academic outcomes, including test taking and performance. We find that SYEP participation has...
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作者：Grigolon, Laura
作者单位：University of Mannheim; Centre for Economic Policy Research - UK
摘要：Prominent features of differentiated product markets are segmentation and product proliferation blurring the boundaries between segments. I develop a tractable demand model, the Ordered Nested Logit, which allows for asymmetric substitution between segments. I apply the model to the automobile market where segments are ordered from small to luxury. I find that consumers, when substituting outside their vehicle segment, are more likely to switch to a neighboring segment. Accounting for such asy...
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作者：Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor
作者单位：Northwestern University; National Bureau of Economic Research; Northeastern University; CREATES; Northwestern University
摘要：We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the cross-sectional dimension of the panel is either fixed or increasing. We derive functional limit results for the cross-sectional distribution of betas evolving over time. We demonstrate, for constituents of t...
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作者：Lhuissier, Stephane; Tripier, Fabien
作者单位：European Central Bank; Bank of France; Universite Paris Saclay
摘要：Using a Markov-switching VAR, we show that the effects of uncertainty shocks on output are four times higher in a regime of economic distress than in a tranquil regime. We then provide a structural interpretation of these facts. To do so, we develop a business cycle model in which agents are aware of the possibility of regime changes when forming expectations. The model is estimated using a Bayesian minimum distance estimator that minimizes, over the set of structural parameters, the distance ...
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作者：Khan, Shakeeb; Ouyang, Fu; Tamer, Elie
作者单位：Boston College; University of Queensland; Harvard University
摘要：We explore inference on regression coefficients in semiparametric multinomial response models. We consider cross-sectional, and both static and dynamic panel settings where we focus throughout on inference under sufficient conditions for point identification. The approach to identification uses a matching insight throughout all three models coupled with variation in regressors: with cross-section data, we match across individuals while with panel data, we match within individuals over time. Ac...
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作者：Born, Benjamin; Pfeifer, Johannes
作者单位：Center for Economic & Policy Research (CEPR); Bundeswehr University Munich
摘要：Precautionary pricing and increasing markups in representative-agent DSGE models with nominal rigidities are commonly used to generate negative output effects of uncertainty shocks. We assess whether this theoretical model channel is consistent with the data. Three things stand out. First, consistent with precautionary wage setting, we find that wage markups increase after uncertainty shocks. Second, the impulse responses of price markups are largely inconsistent with the standard model, both ...
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作者：Armstrong, Timothy B.; Kolesar, Michal
作者单位：Yale University; Princeton University
摘要：We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the potential bias from misspecification of the moment conditions. In order to optimize performance under potential misspecification, the weighting matrix for this GMM estimator takes into account this pot...
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作者：Guo, Naijia; Leung, Charles Ka Yui
作者单位：Chinese University of Hong Kong; Chinese University of Hong Kong
摘要：Elite college attendance significantly impacts students' entrepreneurship decisions and career dynamics. We find that an elite college degree is positively correlated with entrepreneurship (i.e., owning an incorporated business) but not with other self-employment forms. Our overlapping generations model captures self-selection in education and career choices based on heterogeneous ability and family wealth endowments over the life cycle. Our estimates show that (1) entrepreneurs and other self...
