Sílvia Gonçalves, Ana María Herrera, L. Kilian, E. Pesavento
{"title":"State-Dependent Local Projections","authors":"Sílvia Gonçalves, Ana María Herrera, L. Kilian, E. Pesavento","doi":"10.24149/wp2302","DOIUrl":"https://doi.org/10.24149/wp2302","url":null,"abstract":"","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121746862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Jointly Estimating Macroeconomic News and Surprise Shocks","authors":"L. Kilian, Michael D. Plante, A. W. Richter","doi":"10.24149/wp2304","DOIUrl":"https://doi.org/10.24149/wp2304","url":null,"abstract":",","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124008863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Debt Maturity and Commitment on Firm Policies","authors":"Andrea Gamba, Alessio Saretto","doi":"10.24149/wp2303","DOIUrl":"https://doi.org/10.24149/wp2303","url":null,"abstract":"","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127061315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Financial technology-based (FinTech) lending is expected to ease U.S. mortgage market frictions that have weakened the transmission of monetary policy to households. This paper establishes that social networks play a key role in consumers’ adoption of FinTech lending, which amplifies the effects of a monetary stimulus. I provide causal estimates of the network effect on FinTech adoption using county-level data. To quantify the role of FinTech lending and network spillovers in the transmission of monetary policy shocks, I build a heterogeneous-agent model with social learning. The model shows that the consumption response to a monetary stimulus is 13% higher in the presence of FinTech lending and network spillovers, and that about half of this improvement is accounted for by network spillovers.
{"title":"Financial Technology and the Transmission of Monetary Policy: The Role of Social Networks","authors":"Xiaoqing Zhou","doi":"10.24149/wp2203r1","DOIUrl":"https://doi.org/10.24149/wp2203r1","url":null,"abstract":"Financial technology-based (FinTech) lending is expected to ease U.S. mortgage market frictions that have weakened the transmission of monetary policy to households. This paper establishes that social networks play a key role in consumers’ adoption of FinTech lending, which amplifies the effects of a monetary stimulus. I provide causal estimates of the network effect on FinTech adoption using county-level data. To quantify the role of FinTech lending and network spillovers in the transmission of monetary policy shocks, I build a heterogeneous-agent model with social learning. The model shows that the consumption response to a monetary stimulus is 13% higher in the presence of FinTech lending and network spillovers, and that about half of this improvement is accounted for by network spillovers.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131312697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Broader Perspective on the Inflationary Effects of Energy Price Shocks","authors":"L. Kilian, Xiaoqing Zhou","doi":"10.24149/wp2224","DOIUrl":"https://doi.org/10.24149/wp2224","url":null,"abstract":",","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128833733","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autoregressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to bound the true response without directly addressing the identification challenge. A leading example of this practice is the literature on the effects of uncertainty shocks on economic activity. We prove by counterexample that this practice is invalid in general, whether the data generating process is a structural VAR model or a dynamic stochastic general equilibrium model.
{"title":"Macroeconomic Response to Uncertainty Shocks: The Perils of Recursive Orderings","authors":"L. Kilian, Michael D. Plante, A. W. Richter","doi":"10.24149/wp2223","DOIUrl":"https://doi.org/10.24149/wp2223","url":null,"abstract":"A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autoregressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to bound the true response without directly addressing the identification challenge. A leading example of this practice is the literature on the effects of uncertainty shocks on economic activity. We prove by counterexample that this practice is invalid in general, whether the data generating process is a structural VAR model or a dynamic stochastic general equilibrium model.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127948512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The U.S. stock ownership rate doubled between 1983 and 2001 but remains below predictions of some equity participation models. Consistent with calibration studies by Heaton and Lucas (2000) and Gomes and Michaelides (2005), mutual fund costs and indicators of background labor risk are significantly related to stock ownership over 19642019. Coefficient estimates and continuous data on driving variables can be used to create a continuous proxy for stock ownership, which could help researchers gauge the effects of shocks that are transmitted via equity participation. Typically omitted asset transfer costs can help analyze other aspects of household portfolio behavior. JEL codes: G11, G02, G23
{"title":"Why Has U.S. Stock Ownership Doubled Since the Early 1980s? Equity Participation Over the Past Half Century","authors":"John V. Duca, Mark D. Walker","doi":"10.24149/wp2222","DOIUrl":"https://doi.org/10.24149/wp2222","url":null,"abstract":"The U.S. stock ownership rate doubled between 1983 and 2001 but remains below predictions of some equity participation models. Consistent with calibration studies by Heaton and Lucas (2000) and Gomes and Michaelides (2005), mutual fund costs and indicators of background labor risk are significantly related to stock ownership over 19642019. Coefficient estimates and continuous data on driving variables can be used to create a continuous proxy for stock ownership, which could help researchers gauge the effects of shocks that are transmitted via equity participation. Typically omitted asset transfer costs can help analyze other aspects of household portfolio behavior. JEL codes: G11, G02, G23","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125609939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Electrification is a centerpiece of global decarbonization efforts. Yet there are reasons to be skeptical of the inevitability, or at least the optimal pace, of the transition. We discuss several under-appreciated costs of full, or even deep, electrification. Consumer preferences can operate in favor of and in opposition to electrification goals; and electrification is likely to encounter physical and economic obstacles when it reaches some as-yet-unknown level. While we readily acknowledge the external benefits of decarbonization, we also explore several under-appreciated external costs. The credibility and eventual success of decarbonization efforts is enhanced by foreseeing and ideally avoiding predictable but non-obvious costs of promising abatement pathways. Thus, even with all of its promise, the degree of electrification may ultimately reach a limit.
{"title":"The Electric Ceiling: Limits and Costs of Full Electrification","authors":"D. Rapson, J. Bushnell","doi":"10.24149/wp2220","DOIUrl":"https://doi.org/10.24149/wp2220","url":null,"abstract":"Electrification is a centerpiece of global decarbonization efforts. Yet there are reasons to be skeptical of the inevitability, or at least the optimal pace, of the transition. We discuss several under-appreciated costs of full, or even deep, electrification. Consumer preferences can operate in favor of and in opposition to electrification goals; and electrification is likely to encounter physical and economic obstacles when it reaches some as-yet-unknown level. While we readily acknowledge the external benefits of decarbonization, we also explore several under-appreciated external costs. The credibility and eventual success of decarbonization efforts is enhanced by foreseeing and ideally avoiding predictable but non-obvious costs of promising abatement pathways. Thus, even with all of its promise, the degree of electrification may ultimately reach a limit.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"34 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120874922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Parents taking out loans for their children’s college educations may face an excessive debt burden that jeopardizes their own financial security. This paper examines the experience of Parent Loan for Undergraduate Students (PLUS) borrowers using administrative data from a large student loan guaranty agency. We find that PLUS borrowers are more likely to default if their children attend low-resource institutions, typically ones where lower-income enrollments predominate. Although parent PLUS generally outperforms student loans, PLUS performance is sensitive to program costs during difficult economic times. In contrast, student outcomes depend more on educational outcomes. Interviews with borrowers confirm that PLUS borrowers have more experience handling debt than their children, but there is a lack of communication on repayment obligations and expectations between generations. This study reveals the differing consequences of parent and student borrowing for higher education and the troublesome PLUS program design that poses challenges to certain borrowers.
{"title":"A Rescue or a Trap?—An Analysis of Parent PLUS Student Loans","authors":"Wenhua Di, Carla Fletcher, J. Webster","doi":"10.24149/wp2217","DOIUrl":"https://doi.org/10.24149/wp2217","url":null,"abstract":"Parents taking out loans for their children’s college educations may face an excessive debt burden that jeopardizes their own financial security. This paper examines the experience of Parent Loan for Undergraduate Students (PLUS) borrowers using administrative data from a large student loan guaranty agency. We find that PLUS borrowers are more likely to default if their children attend low-resource institutions, typically ones where lower-income enrollments predominate. Although parent PLUS generally outperforms student loans, PLUS performance is sensitive to program costs during difficult economic times. In contrast, student outcomes depend more on educational outcomes. Interviews with borrowers confirm that PLUS borrowers have more experience handling debt than their children, but there is a lack of communication on repayment obligations and expectations between generations. This study reveals the differing consequences of parent and student borrowing for higher education and the troublesome PLUS program design that poses challenges to certain borrowers.","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127160513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
S. Blomquist, Anil Kumar, Che-Yuan Liang, Whitney Newey
This paper is about the nonparametric regression of a choice variable on a nonlinear budget set when there is general heterogeneity, i.e., in the random utility model (RUM). We show that utility maximization makes this a three-dimensional regression with piecewise linear, convex budget sets with a more parsimonious specification than previously derived. We show that the regression allows for measurement and/or optimization errors in the outcome variable. We characterize all of the restrictions of utility maximization on the budget set regression and show how to check these restrictions. We formulate nonlinear budget set effects that can be identified by this regression and give automatic debiased machine learners of these effects. We find that in practice nonconvexities in the budget set have little effect on these estimates. We use control variables to allow for endogeneity of budget sets and adjust for productivity growth in taxable income. We apply the results to estimate .52 as the elasticity of an overall tax rate change in Sweden. We also find that the restrictions of utility maximization are satisfied at the choices made by nearly all individuals in the data. JEL Classification: C14, C24, H31, H34, J22
{"title":"Nonlinear Budget Set Regressions for the Random Utility Model","authors":"S. Blomquist, Anil Kumar, Che-Yuan Liang, Whitney Newey","doi":"10.24149/wp2219","DOIUrl":"https://doi.org/10.24149/wp2219","url":null,"abstract":"This paper is about the nonparametric regression of a choice variable on a nonlinear budget set when there is general heterogeneity, i.e., in the random utility model (RUM). We show that utility maximization makes this a three-dimensional regression with piecewise linear, convex budget sets with a more parsimonious specification than previously derived. We show that the regression allows for measurement and/or optimization errors in the outcome variable. We characterize all of the restrictions of utility maximization on the budget set regression and show how to check these restrictions. We formulate nonlinear budget set effects that can be identified by this regression and give automatic debiased machine learners of these effects. We find that in practice nonconvexities in the budget set have little effect on these estimates. We use control variables to allow for endogeneity of budget sets and adjust for productivity growth in taxable income. We apply the results to estimate .52 as the elasticity of an overall tax rate change in Sweden. We also find that the restrictions of utility maximization are satisfied at the choices made by nearly all individuals in the data. JEL Classification: C14, C24, H31, H34, J22","PeriodicalId":322311,"journal":{"name":"Federal Reserve Bank of Dallas, Working Papers","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122426013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：