相关论文: Output, Employment, and Price Effects of U.S. Narr…

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the…

This paper addresses the challenges of giving a causal interpretation to vector autoregressions (VARs). I show that under independence assumptions VARs can identify average treatment effects, average causal responses, or a mix of the two,…

Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their temporal dynamics. The framework is then used to make…

The analysis of the effects of monetary policy shocks using the common econometric models (such as VAR or SVAR) poses several empirical anomalies. However, it is known that in these econometric models the use of a large amount of…

The empirical literature on the relationship between income inequality and economic growth has produced highly heterogeneous and often conflicting results. This paper investigates the sources of this heterogeneity using a meta-analytic…

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile…

The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…

This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…

Accurate forecasting of downside risks to economic growth is critically important for policymakers and financial institutions, particularly in the wake of recent economic crises. This paper extends the Growth-at-Risk (GaR) approach by…

With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed…

This paper provides the first estimates of the pass-through rate of the ongoing temporary value-added tax (VAT) reduction, which is part of the German fiscal response to COVID-19. Using a unique dataset containing the universe of price…

Economic behavior is shaped not only by quantitative information but also by the narratives through which such information is communicated and interpreted (Shiller, 2017). I show that narratives extracted from earnings calls significantly…

Different proxy variables used in fiscal policy SVARs lead to contradicting conclusions regarding the size of fiscal multipliers. Our analysis suggests that the conflicting results may stem from violations of the proxy exogeneity…

Linear regressions with period and group fixed effects are widely used to estimate policies' effects: 26 of the 100 most cited papers published by the American Economic Review from 2015 to 2019 estimate such regressions. It has recently…

Economic models assume that payroll tax burdens fall fully on workers, but where does tax incidence fall when taxes are firm-specific and time-varying? Unemployment insurance in the United States has the key feature of varying both across…

We propose an approach to estimate how individuals' expectations influence their responses to a counterfactual change. The approach relies on average partial effects, which recover counterfactual impacts under conditions that we specify. We…

This paper proposes an identification inspired from the SVAR-IV literature that uses external instruments to identify PVARs, and discusses associated issues of identification, estimation, and inference. I introduce a form of local average…

Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content of low-frequency variables and the results from conditional…

We use a controlled laboratory experiment to study the causal impact of income decreases within a time period on redistribution decisions at the end of that period, in an environment where we keep fixed the sum of incomes over the period.…

We propose a factor network autoregressive (FNAR) model for time series with complex network structures. The coefficients of the model reflect many different types of connections between economic agents ("multilayer network"), which are…