Oxford Bulletin of Economics and Statistics最新文献

In this paper, a factor-augmented version of the New Keynesian Phillips curve (NKPC) is assessed using a data set comprised of a large panel of European Union (EU) member countries. The factor-augmentation is natural given that country-level inflation rates are highly co-moving. The presence of unattended common factors is important because it raises the issue of omitted variables bias, as the real marginal cost, which is a regressor of the NKPC, is likely to load on the same factors as inflation. One possibility here is to employ the regular instrumental variables approach. However, if the external instruments load on the same factors as the error term of the NKPC, the instruments would be invalid and the results would therefore likely be misleading. Motivated by this last observation, the present paper proposes a new estimator of the NKPC that allows for very general forms of factor dependencies and endogeneity. Our results provide evidence in support of the NKPC, but only after the presence of common factors has been appropriately accounted for.

The UK relationship between nominal wage inflation and the unemployment rate is unstable. Over sub-periods of the last 160 years of turbulent data, Phillips curve slopes range from strongly negative, slightly negative, flat, slightly positive and strongly positive. Our constant-parameter congruent model of real wages explains these instabilities, yet also implies a constant negative relationship between nominal wage inflation and the unemployment rate when corrected by its regressors. Disentangling these effects reveals that structural breaks in the real-wage model's variables do not explain the instabilities, which instead occur during sub-periods when some of its explanatory variables are insignificant.

A society in which everybody of a given age has the same income will exhibit substantial income and wealth inequality. We use this idea to empirically quantify inter-cohort inequality – the share of observed inequality attributable to life-cycle profiles of income and wealth – using data on male earnings and household wealth. We document that recent increases in income and wealth inequality in the USA and other developed countries are larger than observed rates would suggest due to favourable demographics. That is, while demographic change played a substantial role in the dynamics of income and wealth inequality until 1990, the stark increase in inequality in the USA and elsewhere ever since is despite not because of demographic change. Moreover, we show that there is important variation across countries in the level and trends in the extent of inequality that is due to lifecycle effects, and that taking this into account gives a more nuanced view of cross-country comparisons.

This paper proposes two averaging estimation methods to improve the finite-sample efficiency of the instrumental variables quantile regression (IVQR) estimator. I propose using the usual quantile regression for averaging to take advantage of cases when endogeneity is not too strong. I also propose using two-stage least squares to take advantage of cases when heterogeneity is not too strong. The first averaging method is to apply a recent proposal for GMM averaging to the IVQR model based on this proposed intuition. My implementation involves many computational considerations and builds on recent developments in the quantile literature. The second averaging method is a new bootstrap model averaging method that directly averages among IVQR, quantile regression, and two-stage least squares estimators. More specifically, I find the optimal weights from bootstrapped samples and then apply the bootstrap-optimal weights to the original sample. The bootstrap method is simpler to compute and generally performs better in simulations, but uniform dominance results have not been formally proved. Simulation results demonstrate that in the multiple-regressors/instruments case, both the GMM averaging and bootstrap estimators have uniformly smaller risk than the IVQR estimator across data-generating processes with a variety of combinations of different endogeneity levels and heterogeneity levels.

This paper demonstrates that the decline in routine occupations and concurrent rise in abstract occupations are largely due to workers changing jobs. The reduction in routine manual tasks is further explained by workers transitioning to unemployment or retirement. In contrast, the increase in non-routine manual occupations is primarily driven by the entry of young or unemployed individuals into the workforce. Plant closure information is used to identify involuntary job separations. These findings indicate that routine cognitive workers can adjust to smaller employment disruptions compared to routine manual workers among women. However, a contrasting pattern is observed for men.

In the analysis of the Griliches' knowledge capital production function, previous works pointed out the relevance of incorporating slope heterogeneity in the technological parameters, cross-sectional dependence arising simultaneously from common factors and spillovers, and possible nonlinear effects of relevant common observed variables. In order to solve the above problems, in this article we introduce a semi-parametric model in a partially linear form that copes simultaneously with all the previous specification issues. The asymptotic properties of the resulting estimators are obtained and the theoretical findings are further supported for small samples via several Monte Carlo experiments and an empirical application.

This paper documents the role of unemployment and earnings risk in reconciling evidence in payoff differentials between self-employment and paid-employment. Using Spanish administrative data, we characterize the distribution and dynamics of earnings and document lower and less dispersed earnings in self-employment. We consider alternative hypotheses and highlight the role of lower unemployment risk in self-employment. We decompose earnings risk dynamics by estimating a life-cycle earnings process. Indeed, the self-employed experience lower returns but also face lower volatility and persistence of shocks throughout their life-cycle. Our results challenge the conventional view that self-employment necessarily entails higher risk and highlight that accounting for differences in labour earnings risk is important to reconcile the payoff differentials between self-employment and paid-employment.

The paper quantifies how much of the reduction in Spanish trade flows with the UK after the 2016 Brexit referendum was diverted to other markets. To obtain reliable estimates of trade diversion we regress firm-level changes in flows with all markets except the UK on changes in flows with the UK. In order to solve the positive correlation of trade flows between different markets we use the Brexit referendum as part of our instrumental variable. We then treat firms as units subjected to differential uncertainty shocks according to their initial patterns of sector and trade specialization. In particular, the referendum date is interacted with potential sectoral tariffs and pre-referendum firm-level exposure to the UK. The paper shows a close to full trade diversion for exports, mostly to other European countries, for those firms more exposed to that particular market (above 10%) and a heterogeneous response on the part of Spanish firms with low exposure (below 10%). Trade diversion for imports is weaker but the results are less robust. Given a particular share of exposure to the UK market, trade diversion appears to be more limited for big companies in comparison to small companies.