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作者：Bayer, Christian; Luetticke, Ralph
作者单位：University of Bonn; Center for Economic & Policy Research (CEPR); IZA Institute Labor Economics; Centre for Economic Policy Research - UK; University of London; University College London
摘要：This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn, Kaplan, Moll, Winberry, and Wolf (2017) on how to solve such models in continuous time. We suggest first solving for the stationary equilibrium of the model without aggregate risk. We then write the functionals that describe the dynamic equilibrium as sparse expansi...
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作者：Maliar, Lilia; Maliar, Serguei; Taylor, John B.; Tsener, Inna
作者单位：City University of New York (CUNY) System; Center for Economic & Policy Research (CEPR); Santa Clara University; Stanford University; National Bureau of Economic Research; Universitat de les Illes Balears
摘要：We consider a class of infinite-horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time-inhomogeneous: they depend not only on state but also on time. We propose a quantitative framework, called extended function path (EFP), for calibrating, solving, simulating, and estimating such nonstationary Markov models. The EFP framework relies on ...
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作者：Leung, Michael P.
作者单位：University of Southern California
摘要：Counterfactual policy evaluation often requires computation of game-theoretic equilibria. We provide new algorithms for computing pure-strategy Nash equilibria of games on networks with finite action spaces. The algorithms exploit the fact that many agents may be endowed with types such that a particular action is a dominant strategy. These agents can be used to partition the network into smaller subgames whose equilibrium sets may be more feasible to compute. We provide bounds on the complexi...
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作者：Garcia-Perez Ignacio, J.; Rendon, Silvio
作者单位：Universidad Pablo de Olavide; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：We propose and estimate a model of family job search and wealth accumulation with data from the Survey of Income and Program Participation (SIPP). This dataset reveals a very asymmetric labor market for household members who share that their job finding is stimulated by their partners' job separation. We uncover a job search-theoretic basis for this added worker effect, which occurs mainly during economic downturns, but also by increased nonemployment transfers. Thus, our analysis shows that t...
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作者：Hai, Rong; Krueger, Dirk; Postlewaite, Andrew
作者单位：University of Miami; University of Pennsylvania
摘要：We propose a new category of consumption goods, memorable goods, that generate a utility flow even after physical consumption. Empirically, memorable goods expenditures exhibit frequent zero monthly purchases and lumpy expenditure spikes. Memorable goods expenditures are 20% the size of nondurable expenditures, but three times as volatile. We then develop a consumption-savings model with borrowing constraints and income risk that formalizes the notion of memorable goods and distinguishes them ...
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作者：Hsieh, Chih-Sheng; Lee, Lung-Fei; Boucher, Vincent
作者单位：National Taiwan University; University System of Ohio; Ohio State University; Laval University
摘要：We model network formation and interactions under a unified framework by considering that individuals anticipate the effect of network structure on the utility of network interactions when choosing links. There are two advantages of this modeling approach: first, we can evaluate whether network interactions drive friendship formation or not. Second, we can control for the friendship selection bias on estimated interaction effects. We provide microfoundations of this statistical model based on ...
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作者：Creal, Drew D.; Wu, Jing Cynthia
作者单位：University of Notre Dame; National Bureau of Economic Research
摘要：Gaussian affine term structure models attribute time-varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a novel form of stochastic rate of time preference into an otherwise standard model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use ...
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作者：Keane, Michael; Neal, Timothy
作者单位：University of New South Wales Sydney
摘要：We study potential impacts of future climate change on U.S. agricultural productivity using county-level yield and weather data from 1950 to 2015. To account for adaptation of production to different weather conditions, it is crucial to allow for both spatial and temporal variation in the production process mapping weather to crop yields. We present a new panel data estimation technique, called mean observation OLS (MO-OLS) that allows for spatial and temporal heterogeneity in all regression p...
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作者：Renner, Philipp; Schmedders, Karl
作者单位：Lancaster University; International Institute for Management Development (IMD)
摘要：We consider discrete-time dynamic principal-agent problems with continuous choice sets and potentially multiple agents. We prove the existence of a unique solution for the principal's value function only assuming continuity of the functions and compactness of the choice sets. We do this by a contraction mapping theorem and so also obtain a convergence result for the value function iteration. To numerically compute a solution for the problem, we have to solve a collection of static principal-ag...
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作者：Mertens, Elmar; Nason, James M.
作者单位：Deutsche Bundesbank; North Carolina State University
摘要：This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken from the Survey of Professional Forecasters (SPF). We estimate these joint dynamics by combining an unobserved components (UC) model of inflation and a sticky-information forecast mechanism. The UC model decomposes inflation into trend and gap components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is to allow for time-...
