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Scaling and measurement error sensitivity of scoring rules for distribution forecasts 分布预测评分规则的规模和测量误差敏感性
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-19 DOI: 10.1002/jae.3056
Onno Kleen
{"title":"Scaling and measurement error sensitivity of scoring rules for distribution forecasts","authors":"Onno Kleen","doi":"10.1002/jae.3056","DOIUrl":"10.1002/jae.3056","url":null,"abstract":"<p>This paper examines the impact of data rescaling and measurement error on scoring rules for distribution forecast. First, I show that all commonly used scoring rules for distribution forecasts are robust to rescaling the data. Second, the forecast ranking based on the continuous ranked probability score is less sensitive to gross measurement error than the ranking based on the log score. The theoretical results are complemented by a simulation study aligned with frequently revised quarterly US gross domestic product (GDP) growth data, a simulation study aligned with financial market volatility, and an empirical application forecasting realized variances of S&amp;P 100 constituents.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"833-849"},"PeriodicalIF":2.3,"publicationDate":"2024-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3056","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140623852","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
Real-time weakness of the global economy 全球经济的实时疲软
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-19 DOI: 10.1002/jae.3054
Danilo Leiva-León, Gabriel Perez Quiros, Eyno Rots
{"title":"Real-time weakness of the global economy","authors":"Danilo Leiva-León,&nbsp;Gabriel Perez Quiros,&nbsp;Eyno Rots","doi":"10.1002/jae.3054","DOIUrl":"10.1002/jae.3054","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose an empirical framework to measure the real-time weakness of the global economy. This framework relies on nonlinear factor models to identify recessionary and expansionary episodes, fitted to several macroeconomic variables, for the largest advanced and emerging economies. The country-specific inferences are then combined to construct both a Global Weakness Index and a Global Intensity Index. As new economic data become available from different regions, this information is continually updated to provide high-frequency, real-time insights into (i) the strength of the global economy, (ii) the economic regions supporting this strength, (iii) country-specific and global risk assessments, and (iv) the intensity of recessionary and expansionary episodes.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"813-832"},"PeriodicalIF":2.3,"publicationDate":"2024-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140623846","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
Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics 从量子回归中构建密度预测：宏观金融动态的多模态性
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-18 DOI: 10.1002/jae.3049
James Mitchell, Aubrey Poon, Dan Zhu
{"title":"Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics","authors":"James Mitchell,&nbsp;Aubrey Poon,&nbsp;Dan Zhu","doi":"10.1002/jae.3049","DOIUrl":"10.1002/jae.3049","url":null,"abstract":"<p>Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two-step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the “data speak.” Simulation evidence and an application revisiting GDP growth uncertainties in the United States demonstrate the flexibility of the nonparametric approach when constructing density forecasts from both frequentist and Bayesian quantile regressions. They identify its ability to unmask deviations from symmetrical and unimodal densities. The dominant macroeconomic narrative becomes one of the evolution, over the business cycle, of multimodalities rather than asymmetries in the predictive distribution of GDP growth when conditioned on financial conditions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"790-812"},"PeriodicalIF":2.3,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3049","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140623848","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 heterogeneous role of party affiliation in the runner-up effect 政党归属在亚军效应中的异质性作用
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-15 DOI: 10.1002/jae.3055
Umair Khalil, Mandar Oak, Sundar Ponnusamy
{"title":"The heterogeneous role of party affiliation in the runner-up effect","authors":"Umair Khalil,&nbsp;Mandar Oak,&nbsp;Sundar Ponnusamy","doi":"10.1002/jae.3055","DOIUrl":"10.1002/jae.3055","url":null,"abstract":"<div>\u0000 \u0000 <p>A recent finding establishes that second-place candidates perform substantially better over third-place candidates in future electoral races. We show that this estimated effect masks substantial heterogeneity with respect to the party affiliation of the candidates. Only runner-ups without a major party backing in election \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math> have significant prospects over the third-place candidates in election \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 <mo>+</mo>\u0000 <mn>1</mn>\u0000 </mrow>\u0000 <annotation>$$ t&amp;amp;amp;#x0002B;1 $$</annotation>\u0000 </semantics></math>, in terms of either recontesting or winning. Our finding suggests that political parties and voters, while strategically coordinating on the runner-ups in election \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 <mo>+</mo>\u0000 <mn>1</mn>\u0000 </mrow>\u0000 <annotation>$$ t&amp;amp;amp;#x0002B;1 $$</annotation>\u0000 </semantics></math>, also take into account the party backing as a potential signal of their intrinsic quality.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"952-959"},"PeriodicalIF":2.3,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140582570","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
Corporate debt booms, financial constraints, and the investment nexus 企业债务繁荣、财务约束和投资关系
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-15 DOI: 10.1002/jae.3047
Bruno Albuquerque
{"title":"Corporate debt booms, financial constraints, and the investment nexus","authors":"Bruno Albuquerque","doi":"10.1002/jae.3047","DOIUrl":"10.1002/jae.3047","url":null,"abstract":"<p>How do corporate debt booms affect investment? Using US firm-level data over 1984Q1–2019Q4, and an instrument for firm-specific debt booms that exploits systematic differences in firms' exposure to industry-level debt booms, I find that debt booms cause investment growth to decline over the medium term. This result is driven by the financial constraints channel: Vulnerable firms experience a higher cost of debt in the short run, lower stock returns, and an increase in indicators proxying financial risk. Vulnerable firms also cut their investment spending after a debt boom, irrespective of their growth opportunities. Finally, I find that congestion effects from vulnerable firms on healthy firms are amplified during debt booms, stressing the risk that debt booms in a subset of firms may spill over to the rest of the economy.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"766-789"},"PeriodicalIF":2.3,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3047","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140582418","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
How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area 货币政策如何影响收入和财富不平等？欧元区量化宽松政策的证据
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-10 DOI: 10.1002/jae.3053
Michele Lenza, Jiri Slacalek
{"title":"How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area","authors":"Michele Lenza,&nbsp;Jiri Slacalek","doi":"10.1002/jae.3053","DOIUrl":"10.1002/jae.3053","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper evaluates the impact of quantitative easing on income and wealth of individual euro area households. We first estimate the aggregate effects of a quantitative easing (QE) shock, identified by means of external instruments, in a multi-country vector autoregression (VAR) model with unemployment, wages, gross operating surplus, interest rates, house prices, and stock prices. We then distribute the aggregate effects across households using a reduced-form simulation on micro-data, which captures the portfolio composition, the income composition, and the earnings heterogeneity channels of transmission. The earnings heterogeneity channel is important: QE compresses the income distribution because many households with lower incomes become employed. In contrast, monetary policy has only negligible effects on the Gini coefficient for wealth: While high-wealth households benefit from higher stock prices, middle-wealth households benefit from higher house prices.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"746-765"},"PeriodicalIF":2.3,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140582420","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
Revisiting the effects of conventional and unconventional monetary policies 重新审视常规和非常规货币政策的影响
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-07 DOI: 10.1002/jae.3052
Eul Noh
{"title":"Revisiting the effects of conventional and unconventional monetary policies","authors":"Eul Noh","doi":"10.1002/jae.3052","DOIUrl":"10.1002/jae.3052","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper extends the discussion on the effects of the two distinctive monetary surprises in the literature. First, we show that the proxy of conventional monetary shock Granger causes the endogenous variables in the vector autoregressive model. Second, we provide evidence that the existing model can be exposed to a weak instrument problem. With our alternative model mitigating these concerns, the second monetary shock can be interpreted as unconventional monetary news in general. The estimation results show contractionary effect of the unconventional policy. We find increases in output after a positive conventional monetary surprise, suggesting an important Fed's information effect.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"943-951"},"PeriodicalIF":2.3,"publicationDate":"2024-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140582566","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
Identification and forecasting of bull and bear markets using multivariate returns 利用多元收益率识别和预测牛市和熊市
IF 2.3 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-04 DOI: 10.1002/jae.3048
Jia Liu, John M. Maheu, Yong Song
{"title":"Identification and forecasting of bull and bear markets using multivariate returns","authors":"Jia Liu,&nbsp;John M. Maheu,&nbsp;Yong Song","doi":"10.1002/jae.3048","DOIUrl":"10.1002/jae.3048","url":null,"abstract":"<div>\u0000 \u0000 <p>Bull and bear market identification generally focuses on a broad index of returns through a univariate analysis. This paper proposes a new approach to identify and forecast bull and bear markets through multivariate returns. The model assumes that all assets are directed by a common discrete state variable from a hierarchical Markov switching model. The hierarchical specification allows the cross-section of state-specific means and variances to differ over bull and bear markets. We investigate several empirically realistic specifications that permit feasible estimation even with 100 assets. Our results show that the multivariate framework provides competitive bull and bear regime identification and improves portfolio performance and density prediction compared with several benchmark models including univariate Markov switching models.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 5","pages":"723-745"},"PeriodicalIF":2.3,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140582395","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
Exploring skill distribution tails through stochastic dominance 通过随机优势探索技能分布尾部
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-04-01 DOI: 10.1002/jae.3043
Petra Besenhard
{"title":"Exploring skill distribution tails through stochastic dominance","authors":"Petra Besenhard","doi":"10.1002/jae.3043","DOIUrl":"10.1002/jae.3043","url":null,"abstract":"<div>\u0000 \u0000 <p>Location choices of differently skilled workers are analyzed in previous work on labor mobility, which proposes a model that suggests thicker tails in the skill distributions of large cities. This paper replicates the empirical findings of this work by using quantile regression and density plots as employed in the existing study, while also suggesting an alternative testing method for thick tails in the form of an initial stochastic dominance test. The test reveals clear evidence of a thicker lower tail, but the results are less clear for the upper tail, which raises some questions on how to best handle extreme upper tails of skill distributions.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"714-720"},"PeriodicalIF":2.1,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140582404","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
Re-examining the relationship between patience, risk-taking, and human capital investment across countries* 重新审视各国耐心、冒险和人力资本投资之间的关系*
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2024-03-31 DOI: 10.1002/jae.3045
Alexandra de Gendre, Jan Feld, Nicolás Salamanca
{"title":"Re-examining the relationship between patience, risk-taking, and human capital investment across countries*","authors":"Alexandra de Gendre,&nbsp;Jan Feld,&nbsp;Nicolás Salamanca","doi":"10.1002/jae.3045","DOIUrl":"10.1002/jae.3045","url":null,"abstract":"<p>Hanushek et al. (2022) show that students in countries in which people are more patient and less risk-taking perform better in the Programme for International Student Assessment (PISA) test. In this paper, we probe the robustness of this study. Our narrow replication shows that most of the results are robust to alternative model specifications. Our broad replication shows that the main results are robust to measuring student performance with data from the Trends in International Mathematics and Science Study (TIMSS) and the Progress in International Reading Literacy Study (PIRLS) instead of PISA.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"39 4","pages":"705-713"},"PeriodicalIF":2.1,"publicationDate":"2024-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3045","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140582759","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
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