Quantitative Economics最新文献

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Uncertainty measures from partially rounded probabilistic forecast surveys 部分四舍五入概率预测调查的不确定性度量

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-07-19 DOI: 10.3982/qe1703

Alexander Glas, Matthias Hartmann

Although survey-based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Professional forecasters who report inconspicuously low ex ante variances often produce squared forecast errors that are much larger on average. In this paper, we document the novel stylized fact that this variance misalignment is related to the rounding behavior of survey participants. Rounding may reflect the fact that some survey participants employ a rather judgmental approach to forecasting as opposed to using a formal model. We use the distinct numerical accuracies of panelists' reported probabilities as a way to propose several alternative and easily implementable corrections that (i) can be carried out in real time, that is, before outcomes are observed, and (ii) deliver a significantly improved match between ex ante and ex post forecast uncertainty. According to our estimates, uncertainty about inflation, output growth and unemployment in the U.S. and the Euro area is higher after correcting for the rounding effect. The increase in the share of nonrounded responses in recent years also helps to understand the trajectory of survey-based average uncertainty during the years since the financial and sovereign debt crisis.

虽然已经发现基于调查的点预测优于成功的预测模型，但相应的方差预测经常被诊断为严重扭曲。报告事前方差不明显的专业预测者往往会产生平均大得多的平方预测误差。在本文中，我们记录了一个新的程式化事实，即这种方差偏差与调查参与者的舍入行为有关。舍入可能反映了这样一个事实，即一些调查参与者采用了一种相当武断的方法来预测，而不是使用正式的模型。我们利用小组成员报告的概率的不同数值准确性来提出几种可选且易于实施的修正方法，这些修正方法(i)可以实时执行，即在观察到结果之前，以及(ii)在事前和事后预测不确定性之间提供显着改进的匹配。根据我们的估计，在校正四舍五入效应后，美国和欧元区的通胀、产出增长和失业的不确定性更高。近年来，非四舍五入回答所占比例的增加，也有助于理解自金融和主权债务危机以来，基于调查的平均不确定性的轨迹。

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引用次数: 0

A discrete choice model for partially ordered alternatives 部分有序方案的离散选择模型

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-07-19 DOI: 10.3982/qe1497

Eleni Aristodemou, Adam M. Rosen

In this paper, we analyze a discrete choice model for partially ordered alternatives. The alternatives are differentiated along two dimensions: the first an unordered “horizontal” dimension, and the second an ordered “vertical” dimension. The model can be used in circumstances in which individuals choose among products of different brands, wherein each brand offers an ordered choice menu, for example, by offering products of varying quality. The unordered–ordered nature of the discrete choice problem is used to characterize the identified set of model parameters. Following an initial nonparametric analysis that relies on shape restrictions inherent in the ordered dimension of the problem, we then provide a specialized analysis for parametric specifications that generalize common ordered choice models. We characterize conditional choice probabilities as a function of model primitives with particular analysis focusing on cases in which unobservable taste for quality of each brand offering is multivariate normally distributed. We provide explicit formulae used for estimation and inference via maximum likelihood, and we consider inference based on Wald and quasi-likelihood ratio statistics, the latter of which can be robust to a possible lack of point identification. An empirical illustration is conducted using data on razor blade purchases in which each brand has product offerings vertically differentiated by quality.

本文分析了部分有序方案的离散选择模型。备选方案沿着两个维度进行区分:第一个是无序的“水平”维度，第二个是有序的“垂直”维度。该模型可以用于个人在不同品牌的产品中进行选择的情况，其中每个品牌提供一个有序的选择菜单，例如，通过提供不同质量的产品。离散选择问题的无序-有序性质被用来表征已识别的模型参数集。在初始的非参数分析(依赖于问题的有序维度中固有的形状限制)之后，我们提供了对参数规范的专门分析，这些参数规范概括了常见的有序选择模型。我们将条件选择概率描述为模型原语的函数，并特别分析了每个品牌提供的不可观察的质量品味是多元正态分布的情况。我们提供了用于通过最大似然估计和推断的显式公式，并且我们考虑了基于Wald和准似然比统计的推断，后者可以对可能缺乏点识别的情况具有鲁棒性。一个实证说明进行了使用数据的剃须刀片购买，其中每个品牌的产品供应垂直差异化的质量。

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引用次数: 0

Social distancing and supply disruptions in a pandemic. 大流行病中的社会疏远和供应中断。

IF 1.9 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-05-01 Epub Date: 2022-05-25 DOI: 10.3982/QE1618

Martin Bodenstein, Giancarlo Corsetti, Luca Guerrieri

We integrate an epidemiological model, augmented with contact and mobility analyses, with a two-sector macroeconomic model, to assess the economic costs of labor supply disruptions in a pandemic. The model is designed to capture key characteristics of the U.S. input-output tables with a core sector that produces intermediate inputs not easily replaceable by the other sectors, possibly subject to minimum-scale requirements. Using epidemiological and mobility data to inform our exercises, we show that the reduction in labor services due to the observed social distancing (spontaneous and mandatory) could explain up to 6-8 percentage points of the roughly 12% U.S. GDP contraction in the second quarter of 2020. We show that public measures designed to protect workers in core industries and occupations with tasks that cannot be performed from home, can flatten the epidemiological curve at reduced economic costs-and contain vulnerabilities to supply disruptions, namely a new surge of infections. Using state-level data for the United States, we provide econometric evidence that spontaneous social distancing was no less costly than mandated social distancing.

我们将流行病学模型与两部门宏观经济模型相结合，并辅以接触和流动性分析，以评估大流行病中劳动力供应中断的经济成本。该模型旨在捕捉美国投入产出表的关键特征，其中核心部门生产的中间投入不易被其他部门替代，可能受最低规模要求的限制。利用流行病学和流动性数据为我们的研究提供信息，我们表明，由于观察到的社会疏远（自发的和强制性的）而导致的劳动力服务减少，可以解释 2020 年第二季度美国国内生产总值收缩约 12% 的原因，最多可达 6-8 个百分点。我们的研究表明，旨在保护核心行业和职业工人的公共措施可以降低经济成本，使流行病曲线趋于平缓，并控制供应中断的脆弱性，即新的感染激增。利用美国州一级的数据，我们提供了计量经济学证据，证明自发的社会隔离并不比强制的社会隔离成本低。

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引用次数: 0

Financing corporate tax cuts with shareholder taxes 用股东税为企业减税融资

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-01-01 DOI: 10.3982/qe1167

Alexis Anagnostopoulos, O. Ateşağaoğlu, Eva Cárceles-Poveda

We study the aggregate and distributional consequences of replacing corporate profit taxes with shareholder taxes, namely taxes on dividends and capital gains, in a setting with incomplete markets and heterogeneity at both the household and the firm level. The reform yields distributional gains with a large majority of households benefiting. Moreover, if dividend and capital gains are taxed at the same rate, the reform is also efficiency‐enhancing and the implied optimal corporate income tax rate is zero. In contrast, an asymmetric tax treatment of dividend and capital gains induces a trade‐off between efficiency and distributional concerns that is optimally resolved at a positive optimal corporate tax rate, implying double taxation.

我们研究了在不完全市场和家庭和企业层面异质性的背景下，用股东税(即股息税和资本利得税)取代公司利得税的总体和分配后果。这项改革带来了分配收益，绝大多数家庭都从中受益。此外，如果股息和资本收益以相同的税率征税，改革也会提高效率，并且隐含的最优企业所得税税率为零。相反，股息和资本利得的不对称税收待遇导致效率和分配问题之间的权衡，这在正的最优企业税率下得到最佳解决，这意味着双重征税。

引用次数: 11

Rising skill premium and the dynamics of optimal capital and labor taxation 不断上升的技能溢价和最优资本和劳动税收的动态

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-01-01 DOI: 10.3982/qe1326

Yi-Chan Tsai, C. C. Yang, YU HSIN-JUNG, Yi-Chan Tsai, Hsin-Jung Yu

With capital‐skill complementarity, the secular decline in the price of capital equipment due to equipment‐specific technological progress (ESTP) keeps pushing up the demand for skilled relative to unskilled labor and raising the skill premium. This paper quantitatively characterizes the dynamics of optimal taxation in response. Two main results emerge, regardless of whether the Ramsey (1927) or the Mirrlees (1971) approach is adopted. First, a tax on capital equipment corrects the “pecuniary externalities” caused by ESTP. The correction prescribes a downward or an upward adjustment of tax rates over time, depending on whether ESTP takes place at an accelerated or a decelerated pace. Second, both Ramsey and Mirrlees approaches prescribe an increasing marginal tax rate on labor income over time. Interestingly, we find that the prescribed pattern of optimal taxation resembles the empirical decline in capital taxes and the increase in labor taxes observed in the United States. In particular, despite the significant rise in the skill premium, the welfare gains of tax reform toward optimal Ramsey taxes are modest and small.

随着资本-技能的互补性，由于设备特定技术进步(ESTP)导致的资本设备价格的长期下降不断推高对熟练劳动力相对于非熟练劳动力的需求，并提高技能溢价。本文定量地描述了最优税收的动态响应。无论采用Ramsey(1927)还是Mirrlees(1971)的方法，都会得出两个主要结果。首先，对资本设备征税纠正了ESTP造成的“货币外部性”。这一调整规定，随着时间的推移，税率将向下或向上调整，这取决于ESTP的速度是加快还是减慢。其次，拉姆齐和莫里斯的方法都规定了劳动收入的边际税率随着时间的推移而增加。有趣的是，我们发现规定的最优税收模式类似于在美国观察到的资本税的经验下降和劳动税的增加。特别是，尽管技能溢价显著提高，但朝着最优拉姆齐税方向进行的税收改革所带来的福利收益是适度的，而且很小。

引用次数: 0

Inequality and dynamics of earnings and disposable income in Denmark 1987–2016 1987-2016年丹麦收入和可支配收入的不平等和动态

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-01-01 DOI: 10.3982/qe1843

Søren Leth-Petersen, Johan Sæverud

We document facts about earnings and disposable income inequality and growth in Denmark in the period 1987–2016. During this period, the distribution of log earnings growth exhibits skewness that varies with the business cycle and has strong excess kurtosis. Denmark has a progressive income tax system with a high level of taxes and a relatively generous and heavily subsidized unemployment insurance system. Consequently, the dispersion of log disposable income growth is much smaller than for earnings, and the distribution exhibits very limited skewness and much reduced excess kurtosis. These results emphasize the importance of distinguishing between earnings and disposable income when modeling income dynamics, and they suggest that the Danish welfare state plays an important role in reducing the impact of earnings fluctuations on disposable income.

我们记录了1987年至2016年期间丹麦的收入和可支配收入不平等以及增长的事实。在此期间，对数收益增长的分布表现出随经济周期变化的偏态，并具有较强的超额峰度。丹麦实行累进所得税制度，税收水平高，失业保险制度相对慷慨，补贴较多。因此，对数可支配收入增长的分散性比收入的分散性小得多，并且分布表现出非常有限的偏度和大大减少的超额峰度。这些结果强调了在建立收入动态模型时区分收入和可支配收入的重要性，并表明丹麦福利国家在减少收入波动对可支配收入的影响方面发挥了重要作用。

引用次数: 4

Information theoretic approach to high‐dimensional multiplicative models: Stochastic discount factor and treatment effect 高维乘法模型的信息理论方法:随机折现因子及其处理效果

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-01-01 DOI: 10.3982/qe1603

Taisuke Otsu, Chen Qiu

This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high‐dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to estimate the latent weight function by an information theoretic approach combined with the ℓ 1‐penalization technique to deal with high‐dimensional moment conditions under sparsity. We study asymptotic properties of the proposed method and illustrate it by a theoretical example on treatment effect analysis and empirical example on estimation of stochastic discount factors.

本文讨论了可能满足高维乘矩条件的潜在权函数的泛函估计问题。主要的例子是资产定价中随机贴现因子的函数、缺失数据问题和处理效果。为了处理稀疏度下的高维矩条件，我们提出了一种结合l1惩罚技术的信息理论方法来估计潜在权函数。研究了所提方法的渐近性质，并通过治疗效果分析的理论算例和随机折现因子估计的经验算例加以说明。

引用次数: 2

Modeling time varying risk of natural resource assets: Implications of climate change 自然资源资产时变风险建模:气候变化的影响

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-01-01 DOI: 10.3982/qe1597

Anke D. Leroux, Vance L. Martin, Kathryn A. St. John

A multivariate GARCH model of natural resources is specified to capture the effects of time varying portfolio risk. A special feature of the model is the inclusion of realized volatility for natural resource assets that are available at multiple frequencies as well as being sensitive to sudden changes in climatic conditions. Natural resource portfolios under climate change are simulated from bootstrapping schemes as well as being derived from global climate model projections. Both approaches are applied to a multiasset water portfolio model consisting of reservoir inflows, rainwater harvesting, and desalinated water. The empirical results show that while reservoirs remain the dominant water asset, adaptation to climate change involves increased contributions from rainwater harvesting and more frequent use of desalinated water. It is estimated that climate change increases annual water supply costs by between 7% and 44% over a 20‐year forecast horizon.

一个自然资源的多元GARCH模型被指定捕捉时变投资组合风险的影响。该模型的一个特别之处在于纳入了自然资源资产的已实现波动率，这些资产可以在多个频率上获得，并且对气候条件的突然变化很敏感。气候变化下的自然资源组合通过自举方案和全球气候模式预估进行模拟。这两种方法都应用于由水库流入、雨水收集和淡化水组成的多资产水组合模型。实证结果表明，虽然水库仍然是主要的水资产，但对气候变化的适应涉及雨水收集和更频繁地使用淡化水的贡献增加。据估计，在未来20年的预测期内，气候变化将使每年的供水成本增加7%至44%。

引用次数: 0

The development of randomization and deceptive behavior in mixed strategy games 混合策略博弈中随机化和欺骗行为的发展

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-01-01 DOI: 10.3982/qe1769

I. Brocas, J. Carrillo

We study the foundations for the development of optimal randomization in mixed strategy games. We consider a population of children and adolescents (7 to 16 years old) and study in the laboratory their behavior in a nonzero sum, hide‐and‐seek game with a unique interior mixed strategy equilibrium where each location has a known but different value. The vast majority of participants favor the high‐value location not only as seekers (as predicted by theory) but also as hiders (in contradiction with theory). The behavior is extremely similar across all ages, and also similar to that of the college students control adult group. We also study the use of cheap talk (potentially deceptive) messages in this game. Hiders are excessively truthful in the messages they send while seekers have a slight tendency to (correctly) believe hiders. In general, however, messages have a small impact on outcomes. The results point to a powerful (erroneous) heuristic thinking in two‐person randomization settings that does not get corrected, even partially, with age.

研究混合策略对策中最优随机化的发展基础。我们考虑了一群儿童和青少年(7至16岁)，并在实验室中研究了他们在非零和、具有独特内部混合策略均衡的捉迷藏游戏中的行为，其中每个位置都有已知但不同的值。绝大多数参与者不仅喜欢寻找高价值的位置(正如理论所预测的那样)，而且喜欢隐藏高价值的位置(与理论相矛盾)。这种行为在所有年龄段都非常相似，也与大学生控制的成人组相似。我们还研究了在这个游戏中使用的廉价谈话(潜在的欺骗性)信息。隐藏者在他们发送的信息中过于真实，而搜索者则稍微倾向于(正确地)相信隐藏者。然而，总的来说，信息对结果的影响很小。结果表明，在两人随机化设置中，一种强大的(错误的)启发式思维不会随着年龄的增长而得到纠正，甚至部分纠正。

引用次数: 3

Market counterfactuals and the specification of multiproduct demand: A nonparametric approach 市场反事实与多产品需求规范:一种非参数方法

IF 1.8 3区经济学 Q2 ECONOMICS

Quantitative Economics

Pub Date : 2022-01-01 DOI: 10.3982/qe1653

Giovanni Compiani

Demand estimates are essential for addressing a wide range of positive and normative questions in economics that are known to depend on the shape—and notably the curvature—of the true demand functions. The existing frontier approaches, while allowing flexible substitution patterns, typically require the researcher to commit to a parametric specification. An open question is whether these a priori restrictions are likely to significantly affect the results. To address this, I develop a nonparametric approach to estimation of demand for differentiated products, which I then apply to California supermarket data. While the approach subsumes workhorse models such as mixed logit, it allows consumer behaviors and preferences beyond standard discrete choice, including continuous choices, complementarities across goods, and consumer inattention. When considering a tax on one good, the nonparametric approach predicts a much lower pass‐through than a standard mixed logit model. However, when assessing the market power of a multiproduct firm relative to that of a single‐product firm, the models give similar results. I also illustrate how the nonparametric approach may be used to guide the choice among parametric specifications.

需求估计对于解决经济学中广泛的积极和规范问题至关重要，这些问题都依赖于真实需求函数的形状——尤其是曲率。现有的前沿方法虽然允许灵活的替代模式，但通常要求研究人员遵守参数规范。一个悬而未决的问题是，这些先验的限制是否可能显著影响结果。为了解决这个问题，我开发了一种非参数方法来估计差异化产品的需求，然后将其应用于加州超市的数据。虽然该方法包含了混合logit等主力模型，但它允许消费者的行为和偏好超越标准的离散选择，包括连续选择、商品之间的互补性和消费者的注意力不集中。当考虑对一种商品征税时，非参数方法预测的通过率远低于标准混合logit模型。然而，当评估多产品企业相对于单一产品企业的市场力量时，模型给出了类似的结果。我还说明了如何使用非参数方法来指导参数规范之间的选择。

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