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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":"38 7","pages":"1048-1067"},"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":"38 7","pages":"1101-1111"},"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":"38 7","pages":"1093-1100"},"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
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":"38 7","pages":"1018-1047"},"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":"38 7","pages":"1085-1092"},"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
Employment reconciliation and nowcasting 就业对账和临近预测
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-13 DOI: 10.1002/jae.2995
Eiji Goto, Jan P.A.M. Jacobs, Tara M. Sinclair, Simon van Norden
{"title":"Employment reconciliation and nowcasting","authors":"Eiji Goto,&nbsp;Jan P.A.M. Jacobs,&nbsp;Tara M. Sinclair,&nbsp;Simon van Norden","doi":"10.1002/jae.2995","DOIUrl":"10.1002/jae.2995","url":null,"abstract":"<p>We construct a latent employment estimate for the United States, which both reconciles the information from separate payroll and household surveys and incorporates the preliminary data revision process of the payroll data. We find that our reconciled latent employment series looks somewhat different than the initial release of payroll employment and is closer to the fully revised data that is benchmarked to a near census of employment. A real-time exercise, however, suggests that the reconciled employment estimate is remarkably similar to the initial release of payroll employment with near zero weight on the household survey information.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"38 7","pages":"1007-1017"},"PeriodicalIF":2.1,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2995","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42262633","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
Approximating grouped fixed effects estimation via fuzzy clustering regression 用模糊聚类回归逼近分组固定效应估计
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-09 DOI: 10.1002/jae.2997
Daniel J. Lewis, Davide Melcangi, Laura Pilossoph, Aidan Toner-Rodgers
{"title":"Approximating grouped fixed effects estimation via fuzzy clustering regression","authors":"Daniel J. Lewis,&nbsp;Davide Melcangi,&nbsp;Laura Pilossoph,&nbsp;Aidan Toner-Rodgers","doi":"10.1002/jae.2997","DOIUrl":"10.1002/jae.2997","url":null,"abstract":"<p>We propose a new, computationally efficient way to approximate the “grouped fixed effects” (GFE) estimator of Bonhomme and Manresa (2015), which estimates grouped patterns of unobserved heterogeneity. To do so, we generalize the fuzzy C-means objective to regression settings. As the clustering exponent \u0000<math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>m</mi>\u0000 </mrow>\u0000 <annotation>$$ m $$</annotation>\u0000 </semantics></math> approaches 1, the fuzzy clustering objective converges to the GFE objective, which we recast as a standard generalized method of moments problem. We replicate the empirical results of Bonhomme and Manresa (2015) and show that our estimator delivers almost identical estimates. In simulations, we show that our approach offers improvements in terms of bias, classification accuracy, and computational speed.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"38 7","pages":"1077-1084"},"PeriodicalIF":2.1,"publicationDate":"2023-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2997","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138511545","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
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance 在存在时变工具相关性的情况下，识别美国货币政策冲击的汇率效应和溢出效应
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-09 DOI: 10.1002/jae.2998
Wenting Liao, Jun Ma, Chengsi Zhang
{"title":"Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance","authors":"Wenting Liao,&nbsp;Jun Ma,&nbsp;Chengsi Zhang","doi":"10.1002/jae.2998","DOIUrl":"10.1002/jae.2998","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a novel econometric approach to estimating time-varying policy effects using external instruments in the presence of time-varying instrument relevance in a factor-augmented VAR model with data on the United States, Canada, Germany, Japan, and the United Kingdom. We find that US monetary policy shocks are an important driver of the exchange rate movements, with no delayed overshooting. We show that estimates of spillover effects of US monetary policy shocks on the inflation and real economic activity would be distorted without considering time variation in instrument relevance, and time variation in policy effects reflects primarily varying shock size, not their transmission.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"38 7","pages":"989-1006"},"PeriodicalIF":2.1,"publicationDate":"2023-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43243033","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 direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models 向量自回归模型中Kilian–Lewis式反事实分析的直接方法
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-06-27 DOI: 10.1002/jae.2996
Shiu-Sheng Chen
{"title":"A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models","authors":"Shiu-Sheng Chen","doi":"10.1002/jae.2996","DOIUrl":"10.1002/jae.2996","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper proposes a direct approach to Kilian–Lewis style counterfactual analysis in structural vector autoregression models. The proposed approach is easy to implement, and the procedure of counterfactual construction is more transparent than the indirect approach. Practitioners conducting Kilian–Lewis style counterfactual analysis should find the proposed approach novel and useful.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"38 7","pages":"1068-1076"},"PeriodicalIF":2.1,"publicationDate":"2023-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44981349","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
Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty 宏观经济数据不确定性下BVAR模型的密度预测
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2022-11-05 DOI: 10.1002/jae.2944
Michael P. Clements, A. Galvão
{"title":"Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty","authors":"Michael P. Clements, A. Galvão","doi":"10.1002/jae.2944","DOIUrl":"https://doi.org/10.1002/jae.2944","url":null,"abstract":"Macroeconomic data are subject to data revisions as later vintages are released. Yet, the usual way of generating real-time density forecasts from BVAR models makes no allowance for this form of data uncertainty. We evaluate two methods that consider data uncertainty when forecasting with BVAR models with/without stochastic volatility. First, the BVAR forecasting model is estimated on real-time vintages. Second, a model of data revisions is included, so that the BVAR is estimated on, and the forecasts conditioned on, estimates of the revised values. We show that both these methods improve the accuracy of density forecasts for US and UK output growth and inflation. We also investigate how the characteristics of the underlying data and revisions processes affect forecasting performance, and provide guidance that may benefit professional forecasters.","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":" ","pages":""},"PeriodicalIF":2.1,"publicationDate":"2022-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48994033","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: 4
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