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作者：Bray, Robert L.
作者单位：Northwestern University
摘要：Morton and Wecker (1977) stated that the value iteration algorithm solves a dynamic program's policy function faster than its value function when the limiting Markov chain is ergodic. I show that their proof is incomplete, and provide a new proof of this classic result. I use this result to accelerate the estimation of Markov decision processes and the solution of Markov perfect equilibria.
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作者：Plagborg-Moller, Mikkel
作者单位：Princeton University
摘要：I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation of the data. This approach has two advantages over Structural Vector Autoregressions. First, it imposes prior information directly on the impulse responses in a flexible and transparent manner. Second, it can handle noninvertible impulse response functions, which are often encountered in applications. Rapid simulation of the poster...
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作者：Van Zandweghe, Willem; Wolman, Alexander L.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We study discretionary equilibrium in the Calvo pricing model for a monetary authority that chooses the money supply, producing three main contributions. First, price-adjusting firms have a unique equilibrium price for a broad range of parameterizations, in contrast to earlier results for the Taylor pricing model. Second, a generalized Euler equation makes transparent how the monetary authority affects future welfare through its influence on the future state of the economy. Third, we provide g...
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作者：Harenberg, Daniel; Marelli, Stefano; Sudret, Bruno; Winschel, Viktor
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We present a global sensitivity analysis that quantifies the impact of parameter uncertainty on model outcomes. Specifically, we propose variance-decomposition-based Sobol' indices to establish an importance ranking of parameters and univariate effects to determine the direction of their impact. We employ the state-of-the-art approach of constructing a polynomial chaos expansion of the model, from which Sobol' indices and univariate effects are then obtained analytically, using only a limited ...
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作者：Gillingham, Kenneth; Tsvetanov, Tsvetan
作者单位：Yale University; National Bureau of Economic Research; University of Kansas
摘要：This paper estimates demand for residential solar photovoltaic (PV) systems using a new approach to address three empirical challenges that often arise with count data: excess zeros, unobserved heterogeneity, and endogeneity of price. Our results imply a price elasticity of demand for solar PV systems of -0.65. Counterfactual policy simulations indicate that reducing state financial incentives in half would have led to 9% fewer new installations in Connecticut in 2014. Calculations suggest a s...
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作者：Bugni, Federico A.; Ura, Takuya
作者单位：Duke University; University of California System; University of California Davis
摘要：Single-agent dynamic discrete choice models are typically estimated using heavily parametrized econometric frameworks, making them susceptible to model misspecification. This paper investigates how misspecification affects the results of inference in these models. Specifically, we consider a local misspecification framework in which specification errors are assumed to vanish at an arbitrary and unknown rate with the sample size. Relative to global misspecification, the local misspecification a...
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作者：l'Haridon, Olivier; Vieider, Ferdinand M.
作者单位：Universite de Rennes; Ghent University
摘要：We obtain rich measurements of risk preferences for 2939 subjects across 30 countries, and use the data to paint a picture of the distribution of risk preferences across the globe using structural equation models. Reference-dependence and likelihood-dependence are found to be important everywhere. Model parameters in non-Western countries differ systematically from those in Western countries, with poorer countries substantially more risk tolerant than rich countries on average. We qualify prev...
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作者：Barthelemy, Jean; Marx, Magali
作者单位：European Central Bank; Bank of France; Institut d'Etudes Politiques Paris (Sciences Po)
摘要：This paper determines conditions for the existence of a unique rational expectations equilibrium-determinacy-in a monetary policy switching economy. We depart from the existing literature by providing such conditions considering all bounded equilibria. We then apply these conditions to a new Keynesian model with switching Taylor rules. First, deviation from the Taylor principle in one regime does not necessarily cause indeterminacy. Second, very different responses to inflation may trigger ind...
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作者：Colacito, R.; Croce, M. M.; Liu, Zhao
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Bocconi University; Duke University
摘要：We characterize the equilibrium of a complete markets economy with multiple agents featuring a preference for the timing of the resolution of uncertainty. Utilities are defined over an aggregate of two goods. We provide conditions under which the solution of the planner's problem exists, and it features a nondegenerate invariant distribution of Pareto weights. We also show that perturbation methods replicate the salient features of our recursive risk-sharing scheme, provided that higher-order ...
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作者：Torgovitsky, Alexander
作者单位：University of Chicago
摘要：I show that sharp identified sets in a large class of econometric models can be characterized by solving linear systems of equations. These linear systems determine whether, for a given value of a parameter of interest, there exists an admissible joint distribution of unobservables that can generate the distribution of the observed variables. The joint distribution of unobservables is not required to satisfy any parametric restrictions, but can (if desired) be assumed to satisfy a variety of l...
