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A Macro-Finance Model with Sentiment 一个带有情绪的宏观金融模型
IF 5.8 1区 经济学
Review of Economic Studies Pub Date : 2023-03-06 DOI: 10.1093/restud/rdad023
Peter Maxted
{"title":"A Macro-Finance Model with Sentiment","authors":"Peter Maxted","doi":"10.1093/restud/rdad023","DOIUrl":"https://doi.org/10.1093/restud/rdad023","url":null,"abstract":"\u0000 This paper incorporates diagnostic expectations into a general equilibrium macroeconomic model with a financial intermediary sector. Diagnostic expectations are a forward-looking model of extrapolative expectations that overreact to recent news. Frictions in financial intermediation produce nonlinear spikes in risk premia and slumps in investment during periods of financial distress. The interaction of sentiment with financial frictions generates a short-run amplification e↵ect followed by a long-run reversal effect, termed the feedback from behavioral frictions to financial frictions. The model features sentiment-driven financial crises characterized by low pre-crisis risk premia and neglected risk. The conflicting short-run and long-run effect of sentiment produces boom-bust investment cycles. The model also identifies a stabilizing role for diagnostic expectations. Under the baseline calibration, financial crises are less likely to occur when expectations are diagnostic than when they are rational.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":" ","pages":""},"PeriodicalIF":5.8,"publicationDate":"2023-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42076638","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 26
Monetary Policy and Birth Rates: The Effect of Mortgage Rate Pass-Through on Fertility 货币政策与出生率:抵押贷款利率传递对生育率的影响
1区 经济学
Review of Economic Studies Pub Date : 2023-03-04 DOI: 10.1093/restud/rdad034
Fergus Cumming, Lisa Dettling
{"title":"Monetary Policy and Birth Rates: The Effect of Mortgage Rate Pass-Through on Fertility","authors":"Fergus Cumming, Lisa Dettling","doi":"10.1093/restud/rdad034","DOIUrl":"https://doi.org/10.1093/restud/rdad034","url":null,"abstract":"Abstract This paper examines whether monetary policy pass-through to mortgage interest rates affects household fertility decisions. Our empirical strategy exploits variation in households’ eligibility for a rate adjustment, coupled with the large reductions in the monetary policy rate that occurred during the Great Recession in the U.K. and U.S. We estimate that each one percentage point drop in the policy rate increased birth rates amongst households eligible for a rate adjustment by 3%. Our results provide new evidence on the nature of monetary policy transmission to households and suggest a new mechanism via which mortgage contract structures can affect both aggregate demand and supply.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135183928","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Misspecified Moment Inequality Models: Inference and Diagnostics 未指定的矩不等式模型：推理与诊断
IF 5.8 1区 经济学
Review of Economic Studies Pub Date : 2023-03-04 DOI: 10.1093/restud/rdad033
D. Andrews, S. Kwon
{"title":"Misspecified Moment Inequality Models: Inference and Diagnostics","authors":"D. Andrews, S. Kwon","doi":"10.1093/restud/rdad033","DOIUrl":"https://doi.org/10.1093/restud/rdad033","url":null,"abstract":"\u0000 This paper is concerned with possible model misspecification in moment inequality models. Two issues are addressed. First, standard tests and confidence sets for the true parameter in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a pseudo-true parameter in such scenarios, and hence, do not suffer from spurious precision.\u0000 Second, specification tests have relatively low power against a range of misspecified models. Thus, failure to reject the null of correct specification does not necessarily provide evidence of correct specification. That is, model specification tests are subject to the problem that absence of evidence is not evidence of absence. This paper develops new diagnostics for model misspecification in moment inequality models that do not suffer from this problem.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":" ","pages":""},"PeriodicalIF":5.8,"publicationDate":"2023-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43231037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 1
Beyond Dividing the Pie: Multi-Issue Bargaining in the Laboratory 超越分饼:实验室中的多议题议价
1区 经济学
Review of Economic Studies Pub Date : 2023-03-02 DOI: 10.1093/restud/rdad031
Olivier Bochet, Manshu Khanna, Simon Siegenthaler
{"title":"Beyond Dividing the Pie: Multi-Issue Bargaining in the Laboratory","authors":"Olivier Bochet, Manshu Khanna, Simon Siegenthaler","doi":"10.1093/restud/rdad031","DOIUrl":"https://doi.org/10.1093/restud/rdad031","url":null,"abstract":"Abstract We design a laboratory experiment to study bargaining behaviour when negotiations involve multiple issues. Parties must discover both trading prices and agreement scopes, giving rise to unexplored information structures and bargaining strategies. We find that bargainers often trade the efficient set of issues despite lacking information about individual aspects. However, beneficial agreements critically hinge on integrated negotiations that allow deals on bundles of issues. Moreover, access to more information boosts agreement rates in small-surplus negotiations but can also backfire as it triggers increased risk-taking and conflicting fairness preferences in large-surplus negotiations. Finally, successful negotiations display a specific bargaining convention that emerges endogenously. It involves alternating offers that meet the other side’s most recent demand halfway.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135383659","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Salience and Taxation with Imperfect Competition 不完全竞争下的显著性和税收
1区 经济学
Review of Economic Studies Pub Date : 2023-03-02 DOI: 10.1093/restud/rdad028
Kory Kroft, Jean-William Laliberté, René Leal-Vízcaino, Matthew J Notowidigdo
{"title":"Salience and Taxation with Imperfect Competition","authors":"Kory Kroft, Jean-William Laliberté, René Leal-Vízcaino, Matthew J Notowidigdo","doi":"10.1093/restud/rdad028","DOIUrl":"https://doi.org/10.1093/restud/rdad028","url":null,"abstract":"Abstract This paper studies commodity taxation in a model featuring heterogeneous consumers, imperfect competition, and tax salience. We derive new formulas for the incidence and marginal excess burden of commodity taxation highlighting interactions between tax salience and market structure. We estimate the necessary inputs to the formulas by using Nielsen Retail Scanner and Consumer Panel data covering grocery stores and households in the U.S. and detailed sales tax data. We estimate a large amount of pass-through of taxes onto consumer prices and find that households respond more to changes in prices than taxes. We also estimate significant heterogeneity in tax salience across households. We calibrate our new formulas using these results and conclude that essentially all of the incidence of sales taxes falls on consumers, and the marginal excess burden of taxation is larger than estimates based on standard formulas that ignore imperfect competition and tax salience.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135384230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 1
Credit Access, Selection, and Incentives in a Market for Asset Collateralized Loans: Evidence from Kenya 资产抵押贷款市场中的信贷获取、选择和激励：来自肯尼亚的证据
IF 5.8 1区 经济学
Review of Economic Studies Pub Date : 2023-03-02 DOI: 10.1093/restud/rdad026
W. Jack, M. Kremer, Joost de Laat, T. Suri
{"title":"Credit Access, Selection, and Incentives in a Market for Asset Collateralized Loans: Evidence from Kenya","authors":"W. Jack, M. Kremer, Joost de Laat, T. Suri","doi":"10.1093/restud/rdad026","DOIUrl":"https://doi.org/10.1093/restud/rdad026","url":null,"abstract":"\u0000 We study the potential for asset collateralization to expand access to credit in rural Kenya. Increasing the share of a loan for a durable agricultural asset that is collateralized by the physical asset itself (from zero to 96%) while reducing the share backed by financial assets increases loan take-up considerably, with only a very limited impact on repayment behavior and the lender’s profitability. A Karlan-Zinman test finds evidence of small and marginally significant selection effects in some specifications but no evidence of moral hazard. We find no evidence that joint versus individual liability affects take-up or repayment. Loans had real impacts on investment, milk sales and girls’ school enrollment. The lender, a savings and credit cooperative, responded to the study results by offering 80% asset-collateralized loans.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":" ","pages":""},"PeriodicalIF":5.8,"publicationDate":"2023-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49440368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Liberty, Security, and Accountability: The Rise and Fall of Illiberal Democracies 自由、安全与责任:非自由民主国家的兴衰
1区 经济学
Review of Economic Studies Pub Date : 2023-02-27 DOI: 10.1093/restud/rdad030
Gabriele Gratton, Barton E. Lee
{"title":"Liberty, Security, and Accountability: The Rise and Fall of Illiberal Democracies","authors":"Gabriele Gratton, Barton E. Lee","doi":"10.1093/restud/rdad030","DOIUrl":"https://doi.org/10.1093/restud/rdad030","url":null,"abstract":"Abstract We study a model of the rise and fall of illiberal democracies. Voters value both liberty and economic security. In times of crisis, voters may prefer to elect an illiberal government that, by violating constitutional constraints, offers greater economic security but less liberty. However, violating these constraints allows the government to manipulate information, in turn reducing electoral accountability. We show how elements of liberal constitutions induce voters to elect illiberal governments that remain in power for inefficiently long—including forever. We derive insights into what makes constitutions stable against the rise of illiberal governments. We extend the model to allow for illiberal governments to overcome checks and balances and become autocracies. We show that stronger checks and balances are a double-edged sword: they slow down autocratization but may make it more likely. We discuss the empirical relevance of our theoretical framework and its connection to real world examples.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135892205","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 1
Are Executives in Short Supply? Evidence from Death Events 高管短缺吗?死亡事件的证据
1区 经济学
Review of Economic Studies Pub Date : 2023-02-24 DOI: 10.1093/restud/rdad027
Julien Sauvagnat, Fabiano Schivardi
{"title":"Are Executives in Short Supply? Evidence from Death Events","authors":"Julien Sauvagnat, Fabiano Schivardi","doi":"10.1093/restud/rdad027","DOIUrl":"https://doi.org/10.1093/restud/rdad027","url":null,"abstract":"Abstract Using exhaustive administrative data on Italian social security records, we construct measures of local labour market thickness for executives that vary by industry and location. We show that firm performance is strongly and persistently affected by executive death, but only in thin local labour markets. The new executives hired after death events in thin local labour markets have lower education levels and are more likely to be replaced. These predictions are consistent with a simple model of executive search in which market thickness determines the arrival rate of applications for executive positions.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"497 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136121305","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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: 2
Job Matching with Subsidy and Taxation 就业匹配与补贴和税收
1区 经济学
Review of Economic Studies Pub Date : 2023-02-24 DOI: 10.1093/restud/rdad032
Fuhito Kojima, Ning Sun, Ning Neil Yu
{"title":"Job Matching with Subsidy and Taxation","authors":"Fuhito Kojima, Ning Sun, Ning Neil Yu","doi":"10.1093/restud/rdad032","DOIUrl":"https://doi.org/10.1093/restud/rdad032","url":null,"abstract":"Abstract In markets for indivisible resources such as workers and objects, subsidy and taxation for an agent may depend on the set of acquired resources and prices. This paper investigates how such transfer policies interfere with the substitutes condition, which is critical for market equilibrium existence and auction mechanism performance among other important issues. For environments where the condition holds in the absence of policy intervention, we investigate which transfer policies preserve the substitutes condition in various economically meaningful settings, establishing a series of characterisation theorems. For environments where the condition may fail without policy intervention, we examine how to use transfer policies to re-establish it, finding exactly when transfer policies based on scales are effective for that purpose. These results serve to inform policymakers, market designers, and market participants of how transfer policies may impact markets, so more informed decisions can be made.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136146858","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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 Size and Life-Cycle Growth of Plants: The Role of Productivity, Demand, and Wedges 植物的大小和生命周期生长:生产力、需求和楔子的作用
1区 经济学
Review of Economic Studies Pub Date : 2023-02-23 DOI: 10.1093/restud/rdad029
Marcela Eslava, John Haltiwanger, Nicolas Urdaneta
{"title":"The Size and Life-Cycle Growth of Plants: The Role of Productivity, Demand, and Wedges","authors":"Marcela Eslava, John Haltiwanger, Nicolas Urdaneta","doi":"10.1093/restud/rdad029","DOIUrl":"https://doi.org/10.1093/restud/rdad029","url":null,"abstract":"Abstract What determines the distribution of establishments in terms of size and life-cycle growth? How are those determinants related to aggregate productivity? We provide novel answers by developing a framework that uses price and quantity information on establishments’ outputs and inputs to jointly estimate the demand and production parameters, and subsequently, establishments’ quality-adjusted productivity, deriving both micro-level and aggregate implications. We find that the dominant source of variation in establishment size is variation in quality/product appeal but that variation in technical efficiency plays an important supporting role. Multiple factors dampen dispersion in establishment size including dispersion in input (quality-adjusted) prices, markups, and residual wedges. Relatively moderate dampening factors induce large aggregate allocative efficiency losses relative to their absence. We show that joint estimation of the parameters of the demand and production function crucially affects inferences on the determinants of the size distribution of firms and their implications for aggregate productivity.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"543 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136173897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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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