Related papers: Multifactor CES General Equilibrium: Models and Ap…
We propose a novel framework in high-dimensional factor models to simultaneously analyse multiple tensor time series, each with potentially different tensor orders and dimensionality. The connection between different tensor time series is…
Cap-based regulations are widely used to address distributional disparities in matching markets, but their efficiency relative to alternative instruments such as subsidies remains poorly understood. This paper develops a framework for…
We provide four novel results for nonhomothetic Constant Elasticity of Substitution preferences (Hanoch, 1975). First, we derive a closed-form representation of the expenditure function of nonhomothetic CES under relatively flexible…
This study delves into the origins of excess capacity by examining the reactions of capital, labor, and capital intensity. To achieve this, we have employed a novel three-layered production function model, estimating the elasticity of…
Recessions are periods in which the least productive firms in the economy exit, and as the economy recovers, they are replaced by new and more productive entrants. These cleansing effects improve the average firm productivity. At the same…
In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…
We consider an economic geography model with two inter-regional proximity structures: one governing goods trade and the other governing production externalities across regions. We investigate how the introduction of the latter affects the…
We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals comes through the price at which the produced good is sold and…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
Cross-correlation functions (CCFs) are classical tools for studying lead-lag relationships between paired time series, but they are most often used descriptively rather than inferentially. Motivated by mouse experiments on gut-brain…
Macroeconomic theories of growth and wealth distribution have an outsized influence on national and international social and economic policies. Yet, due to a relative lack of reliable, system wide data, many such theories remain, at best,…
We propose a function-on-function linear regression model for time-dependent curve data that is consistently estimated by imposing factor structures on the regressors. An integral operator based on cross-covariances identifies two…
Automation raises productivity and reduces paid human labor, but it also reallocates income and ownership claims. This paper studies that tradeoff in a static benchmark and in a stationary heterogeneous-agent general equilibrium. Firms…
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic…
The global decline in the labor income share has challenged the classical Kaldor facts; however, the macroeconomic aggregation mechanism -- namely, how aggregate factor shares emerge from firm-level heterogeneity -- remains underexplored.…
In this paper, we analyze the long-term distributive impact of climate change through rising food prices. We use a standard incomplete markets model and account for non-linear Engel curves for food consumption. For the calibration of our…
Market power behaviour often occurs in modern wholesale electricity markets. Mixed Complementarity Problems (MCPs) have been typically used for computational modelling of market power when it is characterised by an oligopoly with…
This article discusses the use of dynamic factor models in macroeconomic forecasting, with a focus on the Factor-Augmented Error Correction Model (FECM). The FECM combines the advantages of cointegration and dynamic factor models, providing…
Labor share, the fraction of economic output accrued as wages, is inexplicably declining in industrialized countries. Whilst numerous prior works attempt to explain the decline via economic factors, our novel approach links the decline to…
The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three dimensions -- importing countries, exporting countries, and…