International Economic

?Review 2023年第3期

Volume 64,Issue 3，2023

——更多動態(tài)，請持續(xù)關(guān)注gzh：理想主義的百年孤獨

1.“CONVENTIONAL” MONETARY POLICY IN OLG MODELS: REVISITING THE ASSET‐SUBSTITUTION CHANNEL olg模型中的“傳統(tǒng)”貨幣政策:重新審視資產(chǎn)替代渠道 Guanliang Hu, Guoxuan Ma, Wei Qiao, Neil Wallace Abstract Conventional monetary policy involves actions by the monetary and fiscal authorities: the former sets a nominal interest rate and the latter sets lump-sum taxes to finance the implied flow of interest payments on government debt. We model such policy within an overlapping generations framework and show that absent any other frictions the magnitude of the nominal interest rate gives rise to asset substitution between government debt and either private debt or capital—substitution that has both real and nominal effects. Such substitution is not in standard New Keynesian models because their dynastic specification implies that government debt is not net wealth. 2.BARGAINING OVER TAXES AND ENTITLEMENTS IN THE ERA OF UNEQUAL GROWTH 在不平等增長時代就稅收和福利進行討價還價 Marina Azzimonti, Laura Karpuska, Gabriel Mihalache Abstract Entitlements have become an increasing component of total government spending in the United States over the last six decades. Using a political-economy model where parties bargain over taxes and entitlements, we argue that such dynamics can be explained by two factors: “unequal growth,” where top earners became richer while the income of the bottom 50% stagnated, and budget rules that provide bargaining power to low-income earners through a “status quo effect.” In a model calibrated to the United States, we show that sustained bargaining power by a party representing the poor results in a rising share of entitlements consistent with the data. 3.CREDIT, DEFAULT, AND OPTIMAL HEALTH INSURANCE 信用、違約和最佳健康保險 Youngsoo Jang Abstract I study how credit and default affect optimal health insurance, constructing a life-cycle model of health investment with a strategic default option on emergency room bills and financial debts. The model is calibrated to the U.S. economy and used to compare the optimal policy for Medicaid by the availability of the default option and credit. I find that strategic default induces the optimal policy to be more redistributive. With (Without) the option, the optimal income threshold for Medicaid eligibility is 44% (25%) of the average income. In these findings, the interaction between strategic default and preventative medical spending is important. 4.TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES 基于多元貝葉斯加性回歸樹的尾部預(yù)測 Todd E. Clark, Florian Huber, Gary Koop, Massimiliano Marcellino, Michael Pfarrhofer Abstract We develop multivariate time-series models using Bayesian additive regression trees that posit nonlinearities among macroeconomic variables, their lags, and possibly their lagged errors. The error variances can be stable, feature stochastic volatility, or follow a nonparametric specification. We evaluate density and tail forecast performance for a set of U.S. macroeconomic and financial indicators. Our results suggest that the proposed models improve forecast accuracy both overall and in the tails. Another finding is that when allowing for nonlinearities in the conditional mean, heteroskedasticity becomes less important. A scenario analysis reveals nonlinear relations between predictive distributions and financial conditions. 5.A MULTILAYER VIEW OF SYSTEMIC IMPORTANCE AND AGGREGATE FLUCTUATIONS 對系統(tǒng)重要性和總體波動的多層觀點 Hector Tzavellas Abstract Economic systems are composed of multiple interrelated groups of agents and with multiple sources of network externalities present. This can give rise to novel systemic risks. We propose a multilayer model to understand this phenomenon. The model features complementary or substitutionary actions of agents active in multiple groups and extends the network concepts of systemic importance and microinduced aggregate fluctuations to their multigroup counterparts. The multilayer allows for the propagation of shocks through both intra- and interlayer margins. The interlayer margin can be large enough to induce a reordering of systemic importance indicators as compared to singular group considerations, and produce volatility levels that are larger than economies consisting of a single group of agents. 6.BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS 高維貝葉斯動態(tài)變量選擇 Gary Koop, Dimitris Korobilis Abstract This article addresses the issue of inference in time-varying parameter regression models in the presence of many predictors and develops a novel dynamic variable selection strategy. The proposed variational Bayes dynamic variable selection algorithm allows for assessing at each time period in the sample which predictors are relevant (or not) for forecasting the dependent variable. The algorithm is used to forecast inflation using over 400 macroeconomic, financial, and global predictors, many of which are potentially irrelevant or short-lived. The new methodology is able to ensure parsimonious solutions to this high-dimensional estimation problem, which translate into excellent forecast performance. 7.GOODHART'S LAW AND MACHINE LEARNING: A STRUCTURAL PERSPECTIVE 古德哈特定律與機器學習:結(jié)構(gòu)視角 Christopher A. Hennessy, Charles A. E. Goodhart Abstract We develop a simple structural model to illustrate how penalized regressions generate Goodhart bias when training data are clean but covariates are manipulated at known cost by future agents. With quadratic (extremely steep) manipulation costs, bias is proportional to Ridge (Lasso) penalization. If costs depend on absolute or percentage manipulation, the following algorithm yields manipulation-proof prediction: Within training data, evaluate candidate coefficients at their respective incentive-compatible manipulation configuration. We derive analytical coefficient adjustments: slopes (intercept) shift downward if costs depend on percentage (absolute) manipulation. Statisticians ignoring manipulation costs select socially suboptimal penalization. Model averaging reduces these manipulation costs. 8.COMPETITIVE MARKET BEHAVIOR: CONVERGENCE AND ASYMMETRY IN THE EXPERIMENTAL DOUBLE AUCTION 競爭市場行為:雙拍賣實驗中的收斂與不對稱 Barbara Ikica, Simon Jantschgi, Heinrich H. Nax, Diego G. Nu?ez Duran, Bary S. R. Pradelski Abstract We conducted a large number of controlled continuous double auction experiments to reproduce and stress-test the phenomenon of convergence to competitive equilibrium under private information with decentralized trading feedback. Our main finding is that across a total of 104 markets (involving over 1,700 subjects), convergence occurs after a handful of trading periods. Initially, however, there is an inherent asymmetry that favors buyers, typically resulting in prices below equilibrium levels. Analysis of over 80,000 observations of individual bids and asks helps identify empirical ingredients contributing to the observed phenomena including higher levels of aggressiveness initially among buyers than sellers. 9.TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES 交易的模糊性:兩個異質(zhì)的故事 Sujoy Mukerji, Han N. Ozsoylev, Jean-Marc Tallon Abstract We consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity-averse investors whose preferences are a parsimonious extension of the mean–variance framework. We study portfolio choice and trade upon arrival of public information, and show systematic departures from the predictions of standard theory, that occur in the direction of empirical regularities. In particular, our theory speaks to several phenomena in a unified fashion: the asset allocation puzzle, the observation that earnings announcements are followed by significant trading volume with small price change, and that increases in uncertainty are positively associated with increased trading activity and portfolio rebalancing toward safer assets. 10.SPOUSES, CHILDREN, AND ENTREPRENEURSHIP 配偶、孩子和創(chuàng)業(yè)精神 Jo?o Galindo da Fonseca, Charles Berubé Abstract We study the relationship between family and entrepreneurship decisions. Family influences entrepreneurship decisions via two channels: (i) Spouses work more in case of business failure and (ii) children increase the cost of failure. We use administrative matched owner–employer–employee–spouse data to estimate the predictions derived from our model. We find evidence that marriage decreases entry into entrepreneurship and increases average firm size, consistent with mechanism (ii) dominating the (i). Using direct information on children, we find that more children decrease entry into entrepreneurship and increase average firm size. 11.REDUCING RECOMMENDATION INEQUALITY VIA TWO‐SIDED MATCHING: A FIELD EXPERIMENT OF ONLINE DATING 通過雙邊匹配減少推薦不平等:在線約會的現(xiàn)場實驗 Kuan-Ming Chen, Yu-Wei Hsieh, Ming-Jen Lin Abstract Leading dating platforms usually recommend only a small fraction of users based on users' popularity and similarity, leading to recommendation inequality. We use a stylized matching model from economics to modify existing algorithms to reduce inequality. We evaluate the proposed method through a large-scale field experiment on a dating platform. Experiment results suggest that our recommender reduces inequality, improves predictive accuracy, and leads to substantially more matched couples than other competing algorithms. 12.ELECTORAL MALDISTRICTING 選舉MALDISTRICTING Andrei Gomberg, Romans Pancs, Tridib Sharma Abstract We introduce a framework to theoretically and empirically examine electoral maldistricting—the intentional drawing of electoral districts to advance partisan objectives, compromising voter welfare. We identify the legislatures that maximize voter welfare and those that maximize partisan goals, and incorporate them into a maldistricting index. This index measures the intent to maldistrict by comparing distances from the actual legislature to the nearest partisan and welfare-maximizing legislatures. Using 2008 presidential election data and 2010 census-based district maps, we find a Republican-leaning bias in district maps. Our index tracks court rulings in intuitive ways. 13.HETEROGENEITY, FRICTIONAL ASSIGNMENT, AND HOME‐OWNERSHIP 異質(zhì)性、摩擦分配和房屋所有權(quán) Allen Head, Huw Lloyd-Ellis, Derek Stacey Abstract We study the composition of the housing stock across ownership and rental markets in a dynamic model of frictional assignment. Houses are rented or sold to heterogeneous households that sort over quality. Due to matching frictions and an increasing ownership surplus, wealthy households tend to own and lower value housing tends to be rented, even without financial frictions or rental supply constraints. When calibrated to match key housing market features of the average U.S. city, the model is consistent with observed empirical relationships across cities. We study the model's implications for affordability, ownership, and the impact of progressive property taxation.