Oxford Bulletin of Economics and Statistics最新文献

{"title":"The Beveridge Curve, Matching, and Labour Market Flows: A Reinterpretation","authors":"Nils Gottfries,&nbsp;Karolina Stadin","doi":"10.1111/obes.12676","DOIUrl":"https://doi.org/10.1111/obes.12676","url":null,"abstract":"<p>A standard theory of the Beveridge curve is based on the matching function: when unemployment is high, vacancies are filled quickly, so fewer vacancies are needed to balance the inflow into unemployment. Estimating matching functions on panel data, we find no (or very weak) evidence that vacancies are filled quickly when unemployment is high. A model with on-the-job search can explain the Beveridge curve when vacancies are filled at a constant rate: when unemployment is high, unemployed job seekers fill a larger share of the vacancies, so fewer vacancies are needed to balance the inflow into unemployment.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"1025-1044"},"PeriodicalIF":1.4,"publicationDate":"2025-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12676","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144934767","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}

{"title":"Speed of Convergence to Normality When Regressors Are Nonstationary","authors":"Lukasz T. Gatarek,&nbsp;Aleksander Welfe","doi":"10.1111/obes.12675","DOIUrl":"https://doi.org/10.1111/obes.12675","url":null,"abstract":"<p>Stochastic and deterministic trends always coexist in data generating processes, which causes the nonstationarity and non-standard distributions of statistics used in inference. It is known that the presence of the deterministic trend leads to asymptotic normality of the t-statistics. This article goes further and points out that the convergence rate depends on the share of the deterministic trend in the data generating process, which can be assessed from the estimator derived in the article. This finding is of significance for empirical research, because it shows that in the case of two samples of the same relatively small size, the one with dominance of the deterministic trend may satisfy asymptotic properties, enabling the use of standard approach, whereas the other one requires different strategy of statistical inference.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"871-879"},"PeriodicalIF":1.4,"publicationDate":"2025-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12675","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935432","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}

{"title":"The Impact of a New Workplace Technology on Employees","authors":"Marek Giebel,&nbsp;Alexander Lammers","doi":"10.1111/obes.12674","DOIUrl":"https://doi.org/10.1111/obes.12674","url":null,"abstract":"<p>How does the implementation of a new technology affect workers? Using detailed worker-level data for Germany, we analyse the impact of new technologies on non-monetary working conditions such as overtime, training and perceived labour intensity. We show that the strongest effects arise in the first year of their implementation. These effects diminish after the introduction period. We further provide evidence that the impact of technology adoption varies across diverse occupational and industrial contexts. Workers in occupations with a higher task substitution potential show stronger increases in overtime, training measures and labour intensity. Analysing industry characteristics, we find that employees exposed to a new technology react more strongly in industries with higher business dynamics in terms of organisational capital and R&amp;D investment. Extending these considerations to information and communication technology (ICT) usage, we show that new technologies exert stronger effects in industries with high investment in ICT equipment or low investment in software.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"1003-1024"},"PeriodicalIF":1.4,"publicationDate":"2025-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12674","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935463","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}

{"title":"Bayesian Estimation of the Normal Location Model: A Non-Standard Approach","authors":"Giuseppe De Luca,&nbsp;Jan R. Magnus,&nbsp;Franco Peracchi","doi":"10.1111/obes.12672","DOIUrl":"https://doi.org/10.1111/obes.12672","url":null,"abstract":"<p>We consider the estimation of the location parameter <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>θ</mi>\u0000 </mrow>\u0000 <annotation>$$ theta $$</annotation>\u0000 </semantics></math> in the normal location model and study the sampling properties of shrinkage estimators derived from a non-standard Bayesian approach that places the prior on a scaled version of <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>θ</mi>\u0000 </mrow>\u0000 <annotation>$$ theta $$</annotation>\u0000 </semantics></math>, interpreted as the “population <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math>-ratio.” We show that the finite-sample distribution of these estimators is not centred at <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>θ</mi>\u0000 </mrow>\u0000 <annotation>$$ theta $$</annotation>\u0000 </semantics></math> and is generally non-normal. In the asymptotic theory, we prove uniform <span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <msqrt>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 </msqrt>\u0000 </mrow>\u0000 <annotation>$$ sqrt{n} $$</annotation>\u0000 </semantics></math>-consistency of our estimators and obtain their asymptotic distribution under a general moving-parameter setup that includes both the fixed-parameter and the local-parameter settings as special cases.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"913-923"},"PeriodicalIF":1.4,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12672","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935406","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}

{"title":"Boosting GMM With Many Instruments When Some Are Invalid And/Or Irrelevant","authors":"Hao Hao,&nbsp;Tae-Hwy Lee","doi":"10.1111/obes.12671","DOIUrl":"https://doi.org/10.1111/obes.12671","url":null,"abstract":"<div>\u0000 \u0000 <p>When the endogenous variable is an unknown function of observable instruments, its conditional mean can be approximated using the sieve functions of observable instruments. We propose a novel instrument selection method, double-criteria boosting (DB), that consistently selects only valid and relevant instruments from a large set of candidate instruments. In the Monte Carlo simulation, we compare generalized method of moments (GMM) using DB (DB-GMM) with other estimation methods and demonstrate that DB-GMM gives lower bias and root mean squared error. In the empirical application to the automobile demand, the DB-GMM estimator is suggesting a more elastic estimate of the price elasticity of demand than the standard two-stage least square estimator.</p>\u0000 </div>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"899-912"},"PeriodicalIF":1.4,"publicationDate":"2025-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935229","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}

{"title":"Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts","authors":"David I. Harvey,&nbsp;Stephen J. Leybourne,&nbsp;Benjamin S. Tatlow,&nbsp;Yang Zu","doi":"10.1111/obes.12668","DOIUrl":"https://doi.org/10.1111/obes.12668","url":null,"abstract":"<p>This article considers the issue of testing for an explosive bubble in financial time series in the presence of deterministic level shifts. We demonstrate that the sign-based variants of the Phillips-Shi-Yu test retain their asymptotic validity in the presence of level shifts under a weak restriction on the number of shifts that occur. This is in contrast to the original Phillips-Shi-Yu test which only remains valid under a joint restriction involving both the number and magnitudes of the level shifts. We find, through Monte Carlo simulation, that the original test can display substantial over-size in the presence of level shifts, without a corresponding increase in power, while the sign-based variants are largely unaffected in both regards. The sign-based tests therefore offer robust and powerful methods for detecting an explosive autoregressive regime in a financial time series that potentially contains level shifts. Empirical applications of the different tests are provided using intraday Bitcoin log price data and daily Nasdaq price data.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"880-898"},"PeriodicalIF":1.4,"publicationDate":"2025-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12668","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935227","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}

{"title":"Recessions, Recoveries, and Leverage","authors":"Sui Luo,&nbsp;Yu-Fan Huang,&nbsp;Richard Startz","doi":"10.1111/obes.12669","DOIUrl":"https://doi.org/10.1111/obes.12669","url":null,"abstract":"<div>\u0000 \u0000 <p>When leverage is low, recoveries from recessions are likely to eventually return the economy to its pre-recession growth path. When leverage is high, recoveries are likely to leave the economy below its pre-recession growth path. In other words, low-leverage recessions are likely to be U-shaped, whereas high-leverage recessions are likely to be L-shaped. The increase in leverage over the postwar period indicates that recent recessions are much more likely to be L-shaped. In particular, there is strong evidence that the Great Recession in the U.S. was L-shaped. We also find similar effects of leverage for several other countries, but not all.</p>\u0000 </div>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"991-1002"},"PeriodicalIF":1.4,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935396","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}

{"title":"Distributional Effects of Monetary Policy in the Short Run—Evidence From Norway","authors":"Yasin Mimir,&nbsp;Mathis Mæhlum,&nbsp;Kjersti-Næss Torstensen","doi":"10.1111/obes.12667","DOIUrl":"https://doi.org/10.1111/obes.12667","url":null,"abstract":"<div>\u0000 \u0000 <p>We investigate the short-run distributional effects of both non-systematic and systematic monetary policy on income and wealth inequality using a rich administrative household dataset covering more than two million households in Norway from 1993 to 2015. To this end, we first employ a medium-scale New Keynesian DSGE model of a small open economy estimated based on Norwegian data to obtain the aggregate effects of non-systematic and systematic monetary policy on key macro-financial variables relevant for quantifying the channels through which monetary policy affects the distribution of income and wealth. We then use household-level microdata to simulate the heterogeneous impact of monetary policy by income and wealth percentiles as well as demographic variables. Our results show that an expansionary monetary policy shock disproportionately benefits the young and households with medium to low income and wealth. These households tend to be highly leveraged homeowners who benefit disproportionately from higher house prices, lower interest costs on debt and a stronger labour market. We find that expansionary monetary policy reduces both income and wealth inequality in the short run and that the systematic conduct of monetary policy in Norway dampens the distributional impact of business cycles on households.</p>\u0000 </div>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 5","pages":"952-990"},"PeriodicalIF":1.4,"publicationDate":"2025-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144935385","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}

{"title":"Factor Models With Sparse Vector Autoregressive Idiosyncratic Components","authors":"Jonas Krampe,&nbsp;Luca Margaritella","doi":"10.1111/obes.12664","DOIUrl":"https://doi.org/10.1111/obes.12664","url":null,"abstract":"<p>We reconcile dense and sparse modelling by exploiting the positive aspects of both. We employ a high-dimensional, approximate static factor model and assume the idiosyncratic term follows a sparse vector autoregressive model (VAR). The estimation is articulated in two steps: (i) factors and loadings are estimated via principal component analysis (PCA); (ii) a sparse VAR is estimated via the lasso on the estimated idiosyncratic components from (i). Step (ii) allows to model cross-sectional and time dependence left after the factors estimation. We prove the consistency of this approach as the time and cross-sectional dimensions diverge. In (ii), sparsity is allowed to be very general: approximate, row-wise, and growing with the sample size. However, the estimation error of (i) needs to be accounted for. Instead of simply plugging-in the standard rates derived for the PCA estimation of the factors in (i), we derive a refined expression of the error, which enables us to derive tighter rates for the lasso in (ii). We discuss applications on forecasting &amp; factor-augmented regression and present an empirical application on macroeconomic forecasting using the Federal Reserve Economic Data - Monthly Database (FRED-MD).</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"837-849"},"PeriodicalIF":1.5,"publicationDate":"2025-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12664","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144574182","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}

{"title":"Detecting Multiple Structural Breaks in Systems of Linear Regression Equations With Integrated and Stationary Regressors","authors":"Karsten Schweikert","doi":"10.1111/obes.12666","DOIUrl":"https://doi.org/10.1111/obes.12666","url":null,"abstract":"<p>In this paper, we propose a two-step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the two-step estimator, we jointly detect the number and location of structural breaks and provide consistent estimates of the coefficients. Our framework is flexible enough to allow for a mix of integrated and stationary regressors, as well as deterministic terms. Using simulation experiments, we show that the proposed two-step estimator performs competitively against the likelihood-based approach in finite samples. However, the two-step estimator is computationally much more efficient. An economic application to the identification of structural breaks in the term structure of interest rates illustrates this methodology.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"87 4","pages":"850-865"},"PeriodicalIF":1.5,"publicationDate":"2025-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12666","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144573876","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}