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The importance of supply and demand for oil prices: Evidence from non‐Gaussianity 供给和需求对油价的重要性:来自非高斯性的证据
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe2091
Robin Braun
{"title":"The importance of supply and demand for oil prices: Evidence from non‐Gaussianity","authors":"Robin Braun","doi":"10.3982/qe2091","DOIUrl":"https://doi.org/10.3982/qe2091","url":null,"abstract":"When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short‐run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound with a weakly informative prior, supply shocks turn out to be substantially more important. In this paper, I revisit the evidence in a model that combines weakly informative priors with identification by non‐Gaussianity. For this purpose, a SVAR is developed where the unknown distributions of the structural shocks are modeled nonparametrically. The empirical findings suggest that once identification by non‐Gaussianity is incorporated into the model, posterior mass of the short‐run oil supply elasticity shifts toward zero and oil supply shocks become minor drivers of oil prices. In terms of contributions to the forecast error variance of oil prices, the model arrives at median estimates of just 6% over a 16‐month horizon.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135562746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Costly information acquisition in centralized matching markets 集中式匹配市场中昂贵的信息获取
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe1955
Rustamdjan Hakimov, Dorothea Kübler, Siqi Pan
{"title":"Costly information acquisition in centralized matching markets","authors":"Rustamdjan Hakimov, Dorothea Kübler, Siqi Pan","doi":"10.3982/qe1955","DOIUrl":"https://doi.org/10.3982/qe1955","url":null,"abstract":"When applying to a university, students and their parents devote considerable time acquiring information about university programs in order to form preferences. We explore ways to reduce wasteful information acquisition, that is, to help students avoid acquiring information about out‐of‐reach schools or universities, using a market design approach. Focusing on markets where students are ranked by universities based on exam scores, we find that, both theoretically and experimentally, a sequential serial dictatorship mechanism leads to higher student welfare than a direct serial dictatorship mechanism. This is because the sequential mechanism informs students about which universities are willing to admit them, thereby directing their search. Our experiments also show that the sequential mechanism has behavioral advantages because subjects deviate from the optimal search strategy less frequently than under the direct mechanism. Furthermore, providing historical cutoff scores under the direct mechanism can increase student welfare, especially when the information costs are high, although the observed effect is weaker than that of a sequential mechanism.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135561253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A new posterior sampler for Bayesian structural vector autoregressive models 一种新的贝叶斯结构向量自回归模型后验采样器
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe2207
Martin Bruns, Michele Piffer
{"title":"A new posterior sampler for Bayesian structural vector autoregressive models","authors":"Martin Bruns, Michele Piffer","doi":"10.3982/qe2207","DOIUrl":"https://doi.org/10.3982/qe2207","url":null,"abstract":"We develop an importance sampler for sign restricted Bayesian structural vector autoregressive models. The algorithm nests as a special case the sampler associated with the popular Normal inverse Wishart Uniform prior, while allowing to move beyond such prior in medium sized models. We then propose a prior on contemporaneous impulse responses that provides flexibility on the magnitude and shape of the impact responses. We illustrate the quantitative relevance of the choice of the prior in an application to US monetary policy shocks. We find that the real effects of monetary policy shocks are stronger under our proposed prior than in the Normal inverse Wishart Uniform setup.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"258 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135561041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Capital reallocation and the cyclicality of aggregate productivity 资本再配置与总生产率的周期性
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe1892
Russell W. Cooper, Immo Schott
{"title":"Capital reallocation and the cyclicality of aggregate productivity","authors":"Russell W. Cooper, Immo Schott","doi":"10.3982/qe1892","DOIUrl":"https://doi.org/10.3982/qe1892","url":null,"abstract":"Capital reallocation between firms is procyclical and leads to variations in measured aggregate productivity. In this paper, we ask how much of the cyclical variation in measured productivity is the consequence of capital reallocation. We build a heterogeneous‐firm model to study the effects of exogenous shocks to total factor productivity (TFP) and to the costs of reallocation. These shocks cause an endogenous cyclicality of measured aggregate productivity. Only a model driven by exogenous TFP shocks is able to generate both data‐consistent cyclical movements in reallocation and sizeable variations in measured aggregate productivity. We find that capital reallocation does not play a major role in amplifying aggregate productivity variations over the business cycle.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135562012","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Backmatter of Quantitative Economics Vol. 14 Iss. 4 《数量经济学背景》第14卷第4期
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe144bm
{"title":"Backmatter of Quantitative Economics Vol. 14 Iss. 4","authors":"","doi":"10.3982/qe144bm","DOIUrl":"https://doi.org/10.3982/qe144bm","url":null,"abstract":"","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135562013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecasting with a panel Tobit model 使用面板Tobit模型进行预测
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe1505
Laura Liu, Hyungsik Roger Moon, Frank Schorfheide
{"title":"Forecasting with a panel Tobit model","authors":"Laura Liu, Hyungsik Roger Moon, Frank Schorfheide","doi":"10.3982/qe1505","DOIUrl":"https://doi.org/10.3982/qe1505","url":null,"abstract":"We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross‐sectional distribution of heterogeneous coefficients and then implicitly use this distribution as prior to construct Bayes forecasts for the individual time series. In addition to density forecasts, we construct set forecasts that explicitly target the average coverage probability for the cross‐section. We present a novel application in which we forecast bank‐level loan charge‐off rates for small banks.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136297310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Demand estimation with infrequent purchases and small market sizes 不经常购买和小市场规模的需求估计
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe2147
Ali Hortaçsu, Olivia R. Natan, Hayden Parsley, Timothy Schwieg, Kevin R. Williams
{"title":"Demand estimation with infrequent purchases and small market sizes","authors":"Ali Hortaçsu, Olivia R. Natan, Hayden Parsley, Timothy Schwieg, Kevin R. Williams","doi":"10.3982/qe2147","DOIUrl":"https://doi.org/10.3982/qe2147","url":null,"abstract":"We propose a demand estimation method that allows for a large number of zero‐ sale observations, rich unobserved heterogeneity, and endogenous prices. We do so by modeling small market sizes through Poisson arrivals. Each of these arriving consumers solves a standard discrete choice problem. We present a Bayesian IV estimation approach that addresses sampling error in product shares and scales well to rich data environments. The data requirements are traditional market‐level data as well as a measure of market sizes or consumer arrivals. After presenting simulation studies, we demonstrate the method in an empirical application of air travel demand.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135561051","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fiscal multipliers: A heterogenous‐agent perspective 财政乘数:异质性主体视角
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe1901
Tobias Broer, Per Krusell, Erik Öberg
{"title":"Fiscal multipliers: A heterogenous‐agent perspective","authors":"Tobias Broer, Per Krusell, Erik Öberg","doi":"10.3982/qe1901","DOIUrl":"https://doi.org/10.3982/qe1901","url":null,"abstract":"We use an analytically tractable heterogeneous‐agent (HANK) version of the standard New Keynesian model to show how the size of fiscal multipliers depends on (i) the distribution of factor incomes, and (ii) the source of nominal rigidities. With sticky prices but flexible wages, the standard representative‐agent (RANK) model predicts large multipliers because profits fall after a fiscal stimulus and the resulting negative income effect makes the representative worker work harder. Our HANK model, where workers do not own stock, and thus do not receive profit income, predicts smaller fiscal multipliers. In fact, they are smaller with sticky prices than with flexible prices. When wages are the source of nominal rigidity, in contrast, fiscal multipliers are close to one, independently of income heterogeneity and price stickiness.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135733716","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The origins and effects of macroeconomic uncertainty 宏观经济不确定性的起源和影响
3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe1979
Francesco Bianchi, Howard Kung, Mikhail Tirskikh
{"title":"The origins and effects of macroeconomic uncertainty","authors":"Francesco Bianchi, Howard Kung, Mikhail Tirskikh","doi":"10.3982/qe1979","DOIUrl":"https://doi.org/10.3982/qe1979","url":null,"abstract":"We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and supply‐side uncertainty imply large contractions in real activity and an increase in term premia, but supply‐side uncertainty has larger effects on inflation and investment. We introduce a novel analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and demand uncertainty are strongly correlated in the beginning of our sample, but decouple after the Great Recession.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136297305","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Ellsberg meets Keynes at an urn 埃尔斯伯格在骨灰盒里遇见了凯恩斯
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2023-01-01 DOI: 10.3982/qe2253
S. Chew, Bin Miao, Songfa Zhong
{"title":"Ellsberg meets Keynes at an urn","authors":"S. Chew, Bin Miao, Songfa Zhong","doi":"10.3982/qe2253","DOIUrl":"https://doi.org/10.3982/qe2253","url":null,"abstract":"Keynes (1921) and Ellsberg (1961) have articulated an aversion toward betting on an urn containing balls of two colors of unknown proportion to one with a 50–50 composition. Keynes views this as reflecting different preferences for bets arising from different sources of uncertainty. Ellsberg describes this as weighting the priors arising from the unknown urn pessimistically. In two experiments, we observe substantial links between attitude toward almost‐objective uncertainty and attitudes toward multiple‐prior uncertainties in terms of ambiguity and its corresponding compound risk. Our findings point to a shared component across domains of uncertainty and motivate the need for further theoretical development.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"1 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70361549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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