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Journal of Applied Econometrics最新文献

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Robots at work? Pitfalls of industry-level data 机器人在工作？行业数据的陷阱
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-05 DOI: 10.1002/jae.3073
Karim Bekhtiar, Benjamin Bittschi, Richard Sellner
{"title":"Robots at work? Pitfalls of industry-level data","authors":"Karim Bekhtiar,&nbsp;Benjamin Bittschi,&nbsp;Richard Sellner","doi":"10.1002/jae.3073","DOIUrl":"10.1002/jae.3073","url":null,"abstract":"<div>\u0000 \u0000 <p>In their seminal paper, Graetz and Michaels (2018) find that robots increase productivity, lower output prices, and adversely affect the share of low-skilled labor. We demonstrate that these effects are partly driven by the sample composition and argue that focusing on manufacturing industries yields more credible results regarding the overall economic effects of robotization. The results show that focusing on robotizing industries leads to a sizable drop of the productivity effects, halving the effect size for labor productivity. Pronounced consequences from the sample choice occur for wage effects that are reversed from significantly positive into significantly negative. Controlling for demographic workforce characteristics proves to be essential for the significant labor productivity effects and leads to the reversal for wages.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 6","pages":"1180-1189"},"PeriodicalIF":2.3,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141384157","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
Estimating separable matching models 估算可分离匹配模型
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-04 DOI: 10.1002/jae.3061
Alfred Galichon, Bernard Salanié
{"title":"Estimating separable matching models","authors":"Alfred Galichon,&nbsp;Bernard Salanié","doi":"10.1002/jae.3061","DOIUrl":"https://doi.org/10.1002/jae.3061","url":null,"abstract":"<div>\u0000 \u0000 <p>Most recent empirical applications of matching with transferable utility have imposed a natural restriction: that the joint surplus be <i>separable</i> in the sources of unobserved heterogeneity. We propose here two simple methods to estimate models in this class. The first method is a minimum distance estimator that relies on the generalized entropy of matching. The second applies to the more special but popular Choo and Siow model, which reformulates as a generalized linear model with two-way fixed effects. Neither method requires solving for the stable matching. Both methods are easy to apply and perform very well.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 6","pages":"1021-1044"},"PeriodicalIF":2.3,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142429270","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
The US structural transformation and regional convergence: Racial heterogeneity 美国的结构转型和地区趋同：种族异质性
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-06-03 DOI: 10.1002/jae.3074
Minki Kim, Munseob Lee
{"title":"The US structural transformation and regional convergence: Racial heterogeneity","authors":"Minki Kim,&nbsp;Munseob Lee","doi":"10.1002/jae.3074","DOIUrl":"10.1002/jae.3074","url":null,"abstract":"<p>Structural transformation and regional convergence in US income are both longstanding trends. Caselli and Coleman (2001) documented that 60% of regional convergence between the US South and North from 1940 to 1990 was due to structural transformation. Our replication confirms these robust findings. Examining black and white populations separately, we find the magnitude of regional income convergence was much larger for the black workers, and that structural transformation explains most regional income convergence for white workers but only 30% for black workers. Extending the analysis until 2020, however, we observe income convergence among black workers and divergence among white workers. Structural transformation's role in income convergence or divergence from 1990 to 2020 is negligible.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 6","pages":"1172-1179"},"PeriodicalIF":2.3,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3074","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141271875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The shale oil boom and the US economy: Spillovers and time-varying effects 页岩油繁荣与美国经济：溢出效应和时变效应
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-24 DOI: 10.1002/jae.3059
Hilde C. Bjørnland, Julia Skretting
{"title":"The shale oil boom and the US economy: Spillovers and time-varying effects","authors":"Hilde C. Bjørnland,&nbsp;Julia Skretting","doi":"10.1002/jae.3059","DOIUrl":"10.1002/jae.3059","url":null,"abstract":"<p>We provide new evidence that the transmission of oil price shocks to the US economy has changed with the shale oil boom. To show this, we develop a time-varying parameter factor-augmented vector autoregressive (FAVAR) model with a large data environment of state-level, industry, and aggregate US data. The model effectively captures potential spillovers between oil and non-oil industries, as well as variation over time. Specified in this way, we find that investment, income, industrial production, and (non-oil) employment in most oil-producing and some manufacturing-intensive US states increase following an oil-specific shock—effects that were not present before the shale oil boom.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 6","pages":"1000-1020"},"PeriodicalIF":2.3,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3059","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141102152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Expecting the unexpected: Stressed scenarios for economic growth 出乎意料：经济增长的压力情景
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-22 DOI: 10.1002/jae.3060
Gloria González-Rivera, C. Vladimir Rodríguez-Caballero, Esther Ruiz
{"title":"Expecting the unexpected: Stressed scenarios for economic growth","authors":"Gloria González-Rivera,&nbsp;C. Vladimir Rodríguez-Caballero,&nbsp;Esther Ruiz","doi":"10.1002/jae.3060","DOIUrl":"10.1002/jae.3060","url":null,"abstract":"<p>We propose the construction of conditional growth densities under stressed factor scenarios to assess the level of exposure of an economy to small probability but potentially catastrophic economic and/or financial scenarios, which can be either domestic or international. The choice of severe yet plausible stress scenarios is based on the joint probability distribution of the underlying factors driving growth, which are extracted with a multilevel dynamic factor model (DFM) from a wide set of domestic/worldwide and/or macroeconomic/financial variables. All together, we provide a risk management tool that allows for a complete visualization of the dynamics of the growth densities under average scenarios and extreme scenarios. We calculate growth-in-stress (GiS) measures, defined as the 5% quantile of the stressed growth densities, and show that GiS is a useful and complementary tool to growth-at-risk (GaR) when policymakers wish to carry out a multidimensional scenario analysis. The unprecedented economic shock brought by the COVID-19 pandemic provides a natural environment to assess the vulnerability of US growth with the proposed methodology.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"926-942"},"PeriodicalIF":2.3,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3060","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141109879","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
News or animal spirits? Consumer confidence and economic activity: Redux 新闻还是动物精神？消费者信心与经济活动：再现
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-21 DOI: 10.1002/jae.3070
Sangyup Choi, Jaehun Jeong, Dohyeon Park, Donghoon Yoo
{"title":"News or animal spirits? Consumer confidence and economic activity: Redux","authors":"Sangyup Choi,&nbsp;Jaehun Jeong,&nbsp;Dohyeon Park,&nbsp;Donghoon Yoo","doi":"10.1002/jae.3070","DOIUrl":"10.1002/jae.3070","url":null,"abstract":"<div>\u0000 \u0000 <p>Barsky and Sims (2012, AER) demonstrated, via indirect inference, that confidence innovations can be viewed as noisy signals about medium-term economic growth. They highlighted that the connection between confidence and subsequent activity, such as consumption and output, is primarily driven by news shocks about the future. We expand upon their research by incorporating the Great Recession and ZLB episodes, during which animal spirits have a greater potential to influence economic activity. Nevertheless, we confirm the main finding of Barsky and Sims (2012) that this relationship is predominantly driven by news about the future rather than animal spirits.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"960-966"},"PeriodicalIF":2.3,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141149058","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
Nowcasting Euro area GDP with news sentiment: A tale of two crises 利用新闻情绪预测欧元区 GDP：两次危机的故事
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-09 DOI: 10.1002/jae.3057
Julian Ashwin, Eleni Kalamara, Lorena Saiz
{"title":"Nowcasting Euro area GDP with news sentiment: A tale of two crises","authors":"Julian Ashwin,&nbsp;Eleni Kalamara,&nbsp;Lorena Saiz","doi":"10.1002/jae.3057","DOIUrl":"10.1002/jae.3057","url":null,"abstract":"<p>This paper shows that newspaper articles contain signals that can materially improve real-time nowcasts of real GDP growth for the Euro area. Using articles from 15 popular European newspapers, which are machine translated into English, we create sentiment metrics that update daily and assess their value for nowcasting, comparing with competitive and rigorous benchmarks. We find that newspaper text is especially helpful early in the quarter before other indicators are available. We also find that general-purpose sentiment measures perform better than more economics-focused ones in response to unanticipated events and nonlinear supervised models can help capture extreme movements in growth but require sufficient training data to be effective.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"887-905"},"PeriodicalIF":2.3,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3057","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140933471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Terrorism and education: Evidence from instrumental variables estimators 恐怖主义与教育：来自工具变量估计器的证据
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-05-09 DOI: 10.1002/jae.3058
Marco Alfano, Joseph-Simon Görlach
{"title":"Terrorism and education: Evidence from instrumental variables estimators","authors":"Marco Alfano,&nbsp;Joseph-Simon Görlach","doi":"10.1002/jae.3058","DOIUrl":"10.1002/jae.3058","url":null,"abstract":"<p>This paper estimates the effect of exposure to terrorist violence on education. Since terrorists may choose targets endogenously, we construct a set of novel instruments. To that end, we leverage exogenous variation from a local terrorist group's revenues and its affiliation with al-Qaeda. Across several Kenyan datasets, we find that attacks suppress school enrolment more than predicted by difference-in-differences-type estimators. This indicates that terrorists target areas experiencing unobserved, positive shocks. Evidence suggests fears and concerns as mechanisms of impact, rather than educational supply.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"906-925"},"PeriodicalIF":2.3,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3058","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140933639","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Gains from trade: Demand, supply, and idiosyncratic shocks 贸易收益：需求、供给和特异性冲击
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-29 DOI: 10.1002/jae.3051
Ruben Dewitte, Bruno Merlevede, Glenn Rayp
{"title":"Gains from trade: Demand, supply, and idiosyncratic shocks","authors":"Ruben Dewitte,&nbsp;Bruno Merlevede,&nbsp;Glenn Rayp","doi":"10.1002/jae.3051","DOIUrl":"10.1002/jae.3051","url":null,"abstract":"<div>\u0000 \u0000 <p>Firm-level sales are often used as a proxy for productivity to quantify welfare gains from trade (GFT) using firm-level data. This approach ignores the fact that heterogeneity in firm-level sales is driven by factors other than productivity. Our theoretical and empirical analysis reveals that using sales as a proxy conflates persistent productivity with transitory demand and supply shocks, resulting in an over-dispersed productivity distribution. Assigning this shock-inflated productivity to a modeled economy's supply-side results in overestimated GFT. We show how to obtain unbiased productivity estimates, aggregate trade elasticities, and GFT estimates by exploiting the revenue production function from a single-source country.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"870-886"},"PeriodicalIF":2.3,"publicationDate":"2024-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140828213","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
Tests for equal forecast accuracy under heteroskedasticity 异方差条件下同等预测准确性测试
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-22 DOI: 10.1002/jae.3050
David I. Harvey, Stephen J. Leybourne, Yang Zu
{"title":"Tests for equal forecast accuracy under heteroskedasticity","authors":"David I. Harvey,&nbsp;Stephen J. Leybourne,&nbsp;Yang Zu","doi":"10.1002/jae.3050","DOIUrl":"10.1002/jae.3050","url":null,"abstract":"<div>\u0000 \u0000 <p>Heteroskedasticity is a common feature in empirical time series analysis, and in this paper, we consider the effects of heteroskedasticity on statistical tests for equal forecast accuracy. In such a context, we propose two new Diebold–Mariano-type tests for equal accuracy that employ nonparametric estimation of the loss differential variance function. We demonstrate that these tests have the potential to achieve power improvements relative to the original Diebold–Mariano test in the presence of heteroskedasticity, for a quite general class of loss differential series. The size validity and potential power superiority of our new tests are studied theoretically and in Monte Carlo simulations. We apply our new tests to competing forecasts of changes in the dollar/sterling exchange rate and find the new tests provide greater evidence of differences in forecast accuracy than the original Diebold–Mariano test, illustrating the value of these new procedures for practitioners.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"850-869"},"PeriodicalIF":2.3,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140676748","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
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