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Sectoral slowdowns in the United Kingdom: Evidence from transmission probabilities and economic linkages 英国的部门经济放缓：从传导概率和经济联系中得出的证据
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-10-17 DOI: 10.1002/jae.3004
Eva F. Janssens, Robin L. Lumsdaine
{"title":"Sectoral slowdowns in the United Kingdom: Evidence from transmission probabilities and economic linkages","authors":"Eva F. Janssens,&nbsp;Robin L. Lumsdaine","doi":"10.1002/jae.3004","DOIUrl":"10.1002/jae.3004","url":null,"abstract":"<p>This paper studies spillovers across macroeconomic sectors in the United Kingdom, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of economic deterioration to assess whether sectors with large bilateral economic linkages as measured through network data have a greater statistical likelihood of spillovers between them. The combination of both approaches reveals the Monetary Financial Institutions sector's role as shock absorber and identifies the most important channels of spillovers. The inferential discrepancies between network data and statistical spillovers highlight the contribution of the proposed methodology.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135993135","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 efficacy of ability proxies for estimating the returns to schooling: A factor model-based evaluation 估算学校教育回报的能力代用指标的有效性：基于因子模型的评估
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-10-16 DOI: 10.1002/jae.3011
Mohitosh Kejriwal, Xiaoxiao Li, Linh Nguyen, Evan Totty
{"title":"The efficacy of ability proxies for estimating the returns to schooling: A factor model-based evaluation","authors":"Mohitosh Kejriwal,&nbsp;Xiaoxiao Li,&nbsp;Linh Nguyen,&nbsp;Evan Totty","doi":"10.1002/jae.3011","DOIUrl":"10.1002/jae.3011","url":null,"abstract":"<div>\u0000 \u0000 <p>A common approach to addressing ability bias is to augment the earnings-schooling regression with proxies for cognitive and non-cognitive skills. We evaluate this approach using a factor model framework, which allows consistent estimation of the returns to schooling without relying on proxies. The factor model estimators may be viewed as implicitly estimating proxy measurement error and/or accounting for omitted dimensions of ability. A bias decomposition quantifies the contribution of the proxies while the estimated latent skills are used to construct direct tests for their viability. Both sets of results confirm the inadequacy of the proxies in capturing the latent skills.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136142115","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
Reassessing growth vulnerability 重新评估增长的脆弱性
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-09-25 DOI: 10.1002/jae.3005
Dooyeon Cho, Seunghwa Rho
{"title":"Reassessing growth vulnerability","authors":"Dooyeon Cho,&nbsp;Seunghwa Rho","doi":"10.1002/jae.3005","DOIUrl":"10.1002/jae.3005","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper replicates the results of Adrian et al. (<i>American Economic Review</i>, 2019) that GDP growth volatility is mainly driven by the lower quantiles of the distribution which is predicted by the financial condition. It extends their study by estimating the model with the IVX-QR estimator of Lee (<i>Journal of Econometrics</i>, 2016) and double weighted estimator of Cai et al. (<i>Journal of Econometrics</i>, 2022) considering that the financial condition index is highly serially correlated. Both models are estimated with the smoothed estimating equation approach of Kaplan and Sun (<i>Econometric Theory</i>, 2017). The results show that the findings of Adrian et al. (<i>American Economic Review</i>, 2019) are robust to possible bias due to the existence of persistent predictors. The out-of-sample forecasting exercises suggest that methods that are robust to the existence of persistent predictors can improve forecasting performance at the lower quantiles of the GDP growth distribution.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135864347","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
Narrow and wide replication of Chalfin and McCrary (REStat, 2018) Chalfin 和 McCrary 的狭义和广义复制（REStat，2018 年）
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-09-15 DOI: 10.1002/jae.3007
Federico Crudu, Advait Moharir
{"title":"Narrow and wide replication of Chalfin and McCrary (REStat, 2018)","authors":"Federico Crudu,&nbsp;Advait Moharir","doi":"10.1002/jae.3007","DOIUrl":"10.1002/jae.3007","url":null,"abstract":"<div>\u0000 \u0000 <p>We undertake a narrow and wide replication of \"Are US Cities Underpoliced? Theory and Evidence\" by Chalfin and McCrary. Using data from medium to large cities in the United States from 1960 to 2010, the authors estimate the effect of police on crime. To correct for the presence of measurement error, they propose to combine the information from two proxies of the police variable within the generalized method of moments framework. Throughout our replication exercise, we find that, in general, the original results are robust to computation in <span>R</span> compared to <span>STATA</span> and to the inclusion of more recent data (until 2019).</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135396933","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
Recent changes in the nature of the distribution dynamics of the US county incomes 美国县级收入分配动态性质的最新变化
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-09-13 DOI: 10.1002/jae.3006
Seonyoung Park, Donggyun Shin
{"title":"Recent changes in the nature of the distribution dynamics of the US county incomes","authors":"Seonyoung Park,&nbsp;Donggyun Shin","doi":"10.1002/jae.3006","DOIUrl":"10.1002/jae.3006","url":null,"abstract":"<div>\u0000 \u0000 <p>We study the evolution of the cross-sectional distributions of county-level per capita income in the United States from 1970 to 2017. We confirm previous findings of convergence in pre-transfer income during the 1970s and 1980s but present new evidence of rising inequality since the early 1990s, which is characterized by bipolarization. Cross-county differences in education and industry composition explain much of this recent trend, which almost disappears in post-transfer incomes. Among the various government transfer programs, medical benefits play the greatest role in making the distribution less unequal.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134989637","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 Federal Reserve's output gap: The unreliability of real-time reliability tests 美联储的产出缺口：实时可靠性测试的不可靠性
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-08-24 DOI: 10.1002/jae.3003
Josefine Quast, Maik H. Wolters
{"title":"The Federal Reserve's output gap: The unreliability of real-time reliability tests","authors":"Josefine Quast,&nbsp;Maik H. Wolters","doi":"10.1002/jae.3003","DOIUrl":"10.1002/jae.3003","url":null,"abstract":"<p>Output gap revisions can be large even after many years. Real-time reliability tests might therefore be sensitive to the choice of the final output gap vintage that the real-time estimates are compared to. This is the case for the Federal Reserve's output gap. When accounting for revisions in response to the global financial crisis in the final output gap, the improvement in real-time reliability since the mid-1990s is much smaller than found by Edge and Rudd (<i>Review of Economics and Statistics, 2016, 98(4), 785–791</i>). The negative bias of real-time estimates from the 1980s has disappeared, but the size of revisions continues to be as large as the output gap itself. We systematically analyse how the real-time reliability assessment is affected through varying the final output gap vintage. We find that the largest changes are caused by output gap revisions after recessions. Economists revise their models in response to such events, leading to economically important revisions for not only the most recent years but also reaching back up to two decades. This might improve the understanding of past business cycle dynamics but decreases the reliability of real-time output gaps ex post.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49208284","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
Was Harold Zurcher myopic after all? Replicating Rust's engine replacement estimates 哈罗德•苏黎世(Harold Zurcher)到底是不是近视了?复制Rust的引擎更换估算
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-08-21 DOI: 10.1002/jae.3001
Christopher Ferrall
{"title":"Was Harold Zurcher myopic after all? Replicating Rust's engine replacement estimates","authors":"Christopher Ferrall","doi":"10.1002/jae.3001","DOIUrl":"10.1002/jae.3001","url":null,"abstract":"<p>Rust (1987) studies the dynamic decision making under uncertainty made by Harold Zurcher to replace bus engines. In the decades since, the model has been applied, extended, and used as an example multiple times. This paper resolves some discrepancies in how data were transformed in the original and subsequent archives. Using a package that standardizes computation of estimated dynamic programming, it replicates the 12 original maximum likelihood estimates and the six main hypothesis tests of whether Zurcher's decisions were myopic or not. The discrepancy in the data processing results in modest differences in estimates and log-likelihoods, but the <i>p</i>-values are essentially the same because the differences are very similar across values of the discount factor in the tests.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43499913","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: 1
Featured Cover 特色封面
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-08-03 DOI: 10.1002/jae.3002
James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb
{"title":"Featured Cover","authors":"James G. MacKinnon,&nbsp;Morten Ørregaard Nielsen,&nbsp;Matthew D. Webb","doi":"10.1002/jae.3002","DOIUrl":"https://doi.org/10.1002/jae.3002","url":null,"abstract":"<p>The cover image is based on the Research Article <i>Fast and reliable jackknife and bootstrap methods for cluster-robust inference</i> by James G. MacKinnon et al., https://doi.org/10.1002/jae.2969.\u0000\u0000 <figure>\u0000 <div><picture>\u0000 <source></source></picture><p></p>\u0000 </div>\u0000 </figure></p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50123616","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
Heterogeneous responses to corporate marginal tax rates: Evidence from small and large firms 对企业边际税率的异质性反应：来自小型企业和大型企业的证据
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-31 DOI: 10.1002/jae.3000
Ruhollah Eskandari, Morteza Zamanian
{"title":"Heterogeneous responses to corporate marginal tax rates: Evidence from small and large firms","authors":"Ruhollah Eskandari,&nbsp;Morteza Zamanian","doi":"10.1002/jae.3000","DOIUrl":"10.1002/jae.3000","url":null,"abstract":"<p>Do small and large firms respond differently to tax cuts? Using new narrative measures of the exogenous variation in corporate marginal tax rates and a unique dataset of US manufacturing firms, we find that the investment of large firms is more sensitive to a marginal tax cut than that of small firms. Furthermore, we show that small firms finance their new investments almost entirely through debt, whereas large firms use both cash and debt. Following a tax cut, the tax advantage of debt financing falls relative to cash financing. This substitution effect is more pronounced for large firms and induces them to rely on cash financing to a larger extent than small firms.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3000","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135209319","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
Monetary policy and exchange rate anomalies in set-identified SVARs: Revisited set - identified svar中的货币政策和汇率异常:再访
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-25 DOI: 10.1002/jae.2999
Sebastian K. Rüth, Wouter Van der Veken
{"title":"Monetary policy and exchange rate anomalies in set-identified SVARs: Revisited","authors":"Sebastian K. Rüth,&nbsp;Wouter Van der Veken","doi":"10.1002/jae.2999","DOIUrl":"10.1002/jae.2999","url":null,"abstract":"<div>\u0000 \u0000 <p>Set-identified vector autoregressions typically document violations of uncovered interest rate parity (<i>forward discount puzzle</i>) and <i>gradual</i> appreciation–depreciation cycles of exchange rates (<i>delayed overshooting puzzle</i>) following contractionary monetary policy shocks. We revisit both anomalies in a framework similar to Kim et al. (2017, JPE). We complement their identifying restrictions on how monetary policy <i>affects</i> the economy with restrictions on (i) how monetary policy <i>reacts</i> to the economy and (ii) historical monetary policy innovations. In this hybrid identification, no major forward discount premia emerge. Once we additionally impose that monetary policy propagates through <i>domestic</i> financial conditions, exchange rates also overshoot with less delay.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43931062","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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