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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：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：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：Li, Chenchuan (Mark); Muller, Ulrich K.
作者单位：Princeton University
摘要：We consider inference about a scalar coefficient in a linear regression model. One previously considered approach to dealing with many controls imposes sparsity, that is, it is assumed known that nearly all control coefficients are (very nearly) zero. We instead impose a bound on the quadratic mean of the controls' effect on the dependent variable, which also has an interpretation as an R-2-type bound on the explanatory power of the controls. We develop a simple inference procedure that exploi...
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作者：Canova, Fabio; Matthes, Christian
作者单位：BI Norwegian Business School; Centre for Economic Policy Research - UK; Indiana University System; Indiana University Bloomington
摘要：We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate likelihood-based estimators in mean squared error and composite models are superior to individual models in the Kullback-Leibler sense. We describe Bayesian quasi-posterior computations and compare our approach to Bayesian model averaging, finite mixture, and robust control p...
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作者：Dolado, Juan J.; Lale, Etienne; Siassi, Nawid
作者单位：Universidad Carlos III de Madrid; University of Quebec; University of Quebec Montreal; Technische Universitat Wien
摘要：Three features of real-life reforms of dual employment protection legislation (EPL) systems are particularly hard to study through the lens of standard labor-market search models: (i) the excess job turnover implied by dual EPL, (ii) the nonretroactive nature of EPL reforms, and (iii) the transition dynamics from dual to a unified EPL system. In this paper, we develop a computationally tractable model addressing these issues. Our main finding is that the welfare gains of reforming a dual EPL s...
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作者：Cherchye, Laurens; De Rock, Bram; Vermeulen, Frederic; Walther, Selma
作者单位：KU Leuven; Universite Libre de Bruxelles; University of Sussex
摘要：Do individuals marry and divorce for economic reasons? Can we measure the economic attractiveness of a person's marriage market? We answer these questions using a structural model of consumer-producer households that is applied to rich data from Malawi. Using revealed preference conditions for a stable marriage market, we define the economic attractiveness of a potential match as the difference between the potential value of consumption and leisure with the new partner and the value of consump...
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作者：Kaido, Hiroaki; Wuthrich, Kaspar
作者单位：Boston University; University of California System; University of California San Diego
摘要：The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen (2005)) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the nonsmoothness and nonconvexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression subproblems which are convex and can be solved efficiently. This reformulation leads to new ident...
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作者：Kalouptsidi, Myrto; Scott, Paul T.; Souza-Rodrigues, Eduardo
作者单位：Harvard University; New York University; University of Toronto
摘要：Dynamic discrete choice (DDC) models are not identified nonparametrically, but the non-identification of models does not necessarily imply the nonidentification of counterfactuals. We derive novel results for the identification of counterfactuals in DDC models, such as non-additive changes in payoffs or changes to agents' choice sets. In doing so, we propose a general framework that allows the investigation of the identification of a broad class of counterfactuals (covering virtually any count...
