发布求助
文献互助 智能选刊 最新文献

Quantitative Economics最新文献

筛选
英文 中文
Fixed‐ k inference for volatility 修正了波动率的‐k推断
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2021-01-01 DOI: 10.3982/qe1749
T. Bollerslev, Jia Li, Z. Liao
{"title":"Fixed‐\u0000 k inference for volatility","authors":"T. Bollerslev, Jia Li, Z. Liao","doi":"10.3982/qe1749","DOIUrl":"https://doi.org/10.3982/qe1749","url":null,"abstract":"We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy‐to‐calculate pointwise confidence intervals for the volatility at any given point in time. Extending the theory to a high‐dimensional inference setting with a growing number of estimation blocks further permits the construction of uniform confidence bands for the volatility path. An empirically realistically calibrated simulation study underscores the practical reliability of the new inference procedures. An empirical application based on intraday data for the S&P 500 equity index reveals highly significant abrupt changes, or jumps, in the market volatility at FOMC news announcement times, validating recent uses of various high‐frequency‐based identification schemes in asset pricing finance and monetary economics.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"1 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70361368","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: 6
The welfare effects of asset mean‐testing income support 资产平均收入支持的福利效应
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2021-01-01 DOI: 10.3982/QE1241
Felix Wellschmied
{"title":"The welfare effects of asset mean‐testing income support","authors":"Felix Wellschmied","doi":"10.3982/QE1241","DOIUrl":"https://doi.org/10.3982/QE1241","url":null,"abstract":"This paper studies the savings and employment effects of the asset means‐test in US income support programs using a structural life‐cycle model with productivity, disability, and unemployment risk. An asset means‐test incentivizes low‐income households to hold few financial assets making them vulnerable to predictable and unpredictable income changes. Moreover, it incentivizes relatively productive households that happen to have few financial assets to leave the labor force. However, it allows for relative generous transfers to households in most need. Moreover, it counteracts relatively productive households leaving the labor force after the age of 50. In terms of the welfare of an unborn household, the asset means‐test that optimally trades off these effects is $150,000, and abolishing it is close to optimal.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"26 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78616634","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: 3
A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy 一种衡量经济政策冲击的新方法，并将其应用于常规和非常规货币政策
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2021-01-01 DOI: 10.3982/qe1225
A. Inoue, B. Rossi
{"title":"A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy","authors":"A. Inoue, B. Rossi","doi":"10.3982/qe1225","DOIUrl":"https://doi.org/10.3982/qe1225","url":null,"abstract":"We propose a new approach to analyze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call them “ functional shocks.” We show how to identify such shocks and how to trace their effects in the economy via VARs using “ VARs with functional shocks” and “ functional local projections.” Using our new procedure, we address the crucial question of studying the effects of monetary policy by identifying monetary policy shocks as shifts in the whole term structure of government bond yields in a narrow window of time around monetary policy announcements. Our approach sheds new light on the effects of monetary policy shocks, both in conventional and unconventional periods, and shows that traditional identification procedures may miss important effects. Our new procedure has the advantage of identifying monetary policy shocks during both conventional and unconventional monetary policy periods in a unified manner and can be applied more generally to other economic shocks.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"1 1","pages":""},"PeriodicalIF":1.8,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70360130","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: 16
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk 顽固性贝塔系数:系统性风险横截面分散的日内变化
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2021-01-01 DOI: 10.3982/QE1570
T. Andersen, Martin Thyrsgaard, V. Todorov
{"title":"Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk","authors":"T. Andersen, Martin Thyrsgaard, V. Todorov","doi":"10.3982/QE1570","DOIUrl":"https://doi.org/10.3982/QE1570","url":null,"abstract":"We study the temporal behavior of the cross-sectional distribution of assets’ market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the cross-sectional dimension of the panel is either fixed or increasing. We derive functional limit results for the cross-sectional distribution of betas evolving over time. We demonstrate, for constituents of the S&P 500 market index, that the dispersion in betas is elevated at the market open and gradually declines over the trading day. This intraday pattern varies significantly over time and reacts to information shocks such as clustered earning announcements and releases of macroeconomic news. We find that earnings news increase beta dispersion while FOMC announcements have the opposite effect on market betas.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"12 1","pages":"647-682"},"PeriodicalIF":1.8,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70360748","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: 12
Climate change and U.S. agriculture: Accounting for multidimensional slope heterogeneity in panel data 气候变化与美国农业:面板数据中的多维坡度异质性
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2020-11-17 DOI: 10.3982/qe1319
Michael Keane, Timothy Neal
{"title":"Climate change and U.S. agriculture: Accounting for multidimensional slope heterogeneity in panel data","authors":"Michael Keane, Timothy Neal","doi":"10.3982/qe1319","DOIUrl":"https://doi.org/10.3982/qe1319","url":null,"abstract":"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 parameters (intercepts and slopes). Both forms of heterogeneity are important: We find strong evidence that production function parameters adapt to local climate, and also that sensitivity of yield to high temperature declined from 1950–89. We use our estimates to project corn yields to 2100 using 19 climate models and three greenhouse gas emission scenarios. We predict unmitigated climate change will greatly reduce yield. Our mean prediction (over climate models) is that adaptation alone can mitigate 36% of the damage, while emissions reductions consistent with the Paris targets would mitigate 76%.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":" ","pages":""},"PeriodicalIF":1.8,"publicationDate":"2020-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42741872","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: 14
Discrete‐time dynamic principal–agent models: Contraction mapping theorem and computational treatment 离散时间动态委托-代理模型:收缩映射定理和计算处理
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2020-11-01 DOI: 10.3982/qe960
Philipp Renner, K. Schmedders
{"title":"Discrete‐time dynamic principal–agent models: Contraction mapping theorem and computational treatment","authors":"Philipp Renner, K. Schmedders","doi":"10.3982/qe960","DOIUrl":"https://doi.org/10.3982/qe960","url":null,"abstract":"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–agent problems at each iteration. As a result, in the discrete‐time setting solving the static problem is the difficult step. If the agent's expected utility is a rational function of his action, then we can transform the bi‐level optimization problem into a standard nonlinear program. The final results of our solution method are numerical approximations of the policy and value functions for the dynamic principal–agent model. We illustrate our solution method by solving variations of two prominent social planning models from the economics literature. \u0000 \u0000Optimal unemployment tax principal–agent model repeated moral hazard C63 D80 D82","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"11 1","pages":"1215-1251"},"PeriodicalIF":1.8,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49271324","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
Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation 用摄动方法求解具有总风险和许多特殊状态的离散时间异构智能体模型
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2020-11-01 DOI: 10.3982/qe1243
Christian Bayer, R. Luetticke
{"title":"Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation","authors":"Christian Bayer, R. Luetticke","doi":"10.3982/qe1243","DOIUrl":"https://doi.org/10.3982/qe1243","url":null,"abstract":"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 expansions around their stationary equilibrium counterparts. Finally, we use the perturbation method of Schmitt‐Grohé and Uribe (2004) to approximate the aggregate dynamics of the model.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":" ","pages":""},"PeriodicalIF":1.8,"publicationDate":"2020-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43821363","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: 13
Testing jointly for structural changes in the error variance and coefficients of a linear regression model 联合检验线性回归模型的误差方差和系数的结构变化
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2020-10-07 DOI: 10.3982/QE1332
Pierre Perron, Yohei Yamamoto, Jing Zhou
{"title":"Testing jointly for structural changes in the error variance and coefficients of a linear regression model","authors":"Pierre Perron, Yohei Yamamoto, Jing Zhou","doi":"10.3982/QE1332","DOIUrl":"https://doi.org/10.3982/QE1332","url":null,"abstract":"We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type regressors and the assumptions on the errors are quite mild. Their distribution can be nonnormal and conditional heteroskedasticity is permitted. Extensions to the case with serially correlated errors are also treated. We provide the required tools to address the following testing problems, among others: (a) testing for given numbers of changes in regression coefficients and variance of the errors; (b) testing for some unknown number of changes within some prespecified maximum; (c) testing for changes in variance (regression coefficients) allowing for a given number of changes in the regression coefficients (variance); (d) a sequential procedure to estimate the number of changes present. These testing problems are important for practical applications as witnessed by interests in macroeconomics and finance where documenting structural changes in the variability of shocks to simple autoregressions or vector autoregressive models have been a concern.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":" ","pages":""},"PeriodicalIF":1.8,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42111294","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: 19
A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models 半/非参数模型的非退化Vuong检验和后选择置信区间
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2020-10-07 DOI: 10.3982/qe1312
Z. Liao, Xiaoxia Shi
{"title":"A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models","authors":"Z. Liao, Xiaoxia Shi","doi":"10.3982/qe1312","DOIUrl":"https://doi.org/10.3982/qe1312","url":null,"abstract":"This paper proposes a new model selection test for the statistical comparison of semi/non‐parametric models based on a general quasi‐likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier nested and strictly nonnested cases. The uniform size control is achieved without using pretesting, sample‐splitting, or simulated critical values. We also show that the test has nontrivial power against all ‐local alternatives and against some local alternatives that converge to the null faster than . Finally, we provide a framework for conducting uniformly valid post model selection inference for model parameters. The finite sample performance of the nondegenerate test and that of the post model selection inference procedure are illustrated in a mean‐regression example by Monte Carlo. Asymptotic size model selection/comparison test post model selection inference semi/nonparametric models C14 C31 C32","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"11 1","pages":"983-1017"},"PeriodicalIF":1.8,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3982/qe1312","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41684312","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: 8
Eligibility, Experience Rating, and Unemployment Insurance Take-up 资格，经验评级，和失业保险的采取
IF 1.8 3区 经济学
Quantitative Economics Pub Date : 2020-10-07 DOI: 10.3982/TE1373
S. Auray, David L. Fuller
{"title":"Eligibility, Experience Rating, and Unemployment Insurance Take-up","authors":"S. Auray, David L. Fuller","doi":"10.3982/TE1373","DOIUrl":"https://doi.org/10.3982/TE1373","url":null,"abstract":"In this paper we investigate the causes and consequences of \"unclaimed\" unemployment insurance (UI) benefits. A search model is developed where the costs to collecting UI benefits include both a traditional \"fixed\" administrative cost and an endogenous cost arising from worker and firm interactions. Experience rated taxes give firms an incentive to challenge a worker's UI claim, and these challenges are costly for the worker. Exploiting data on improper denials of UI benefits across states in the U.S. system, a two-way fixed e ects analysis shows a statistically significant negative relationship between the improper denials and the UI take-up rate, providing empirical support for our model. We calibrate the model to elasticities implied by the two-way fixed e ects regression to quantify the relative size of these UI collection costs. The results imply that on average the costs associated with firm challenges of UI claims account for 42% of the total costs of collecting, with improper denials accounting for 6% of the total cost. The endogenous collection costs imply the unemployment rate responds much slower to changes in UI benefits relative to a model with fixed collection costs. Finally, removing all eligibility requirements and allowing workers to collect UI benefits without cost increases welfare by almost 5% with minimal impact on the unemployment rate.","PeriodicalId":46811,"journal":{"name":"Quantitative Economics","volume":"11 1","pages":"1059-1107"},"PeriodicalIF":1.8,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47869704","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信