This paper uses a tractable stochastic integrated‐assessment model to analyze the influence of climate change on asset returns across time and maturity. Quasi‐analytical, or recursive, formulas allow to price various long‐dated assets, including fixed‐income products, derivatives, and...

This paper considers optimal taxation of housing capital. To this end, we employ a life‐cycle model calibrated to the U.S. economy, where asset holdings and labor productivity vary across households, and tax reforms lead to changes in house and rental prices, interest rates, and wages. We find...

Financial crises appear to have long‐lasting effects, even after the crisis itself has passed. This paper offers a simple explanation based on Bayesian learning from rare events. Agents face a latent and time‐varying probability of economic disaster. When a disaster occurs, learning results...

This paper provides nonparametric identification results for random coefficient distributions in perturbed utility models. We cover discrete choice and models of multiple purchases. We establish identification using variation in mean quantities. The results apply even when an analyst observes...

The literature on dynamic discrete games often assumes that the conditional choice probabilities and the state transition probabilities are homogeneous across markets and over time. We refer to this as the "homogeneity assumption" in dynamic discrete games. This assumption enables empirical...

This paper develops a world economy HANK model for the Euro Area (EA) Core and Periphery, which captures key features of EA cross‐ and within‐country heterogeneity, to study debt target reforms. We show that fiscal consolidation under the current EA institutional arrangements is quite costly...

We study how China's loan‐to‐value (LTV) policy affects mortgage markets and household consumption, focusing on an abrupt and unprecedented relaxation in LTV limits for secondary houses from 2014Q4 to 2016Q3. Using a rich dataset of over three million loan‐level records from a major...

I study the problem of a decision maker choosing a policy that allocates treatment to a heterogeneous population on the basis of experimental data that includes only a subset of possible treatment values. The effects of new treatments are partially identified by shape restrictions on treatment...

We develop new econometric methods for estimation and inference in high‐dimensional panel data models with interactive fixed effects. Our approach can be regarded as a nontrivial extension of the very popular common correlated effects (CCE) approach. Roughly speaking, we proceed as follows: We...

Vector autoregressions (VARs) are popular for forecasting, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We examine reduced-form "shadow rate VARs" that model interest rates as censored observations of a latent shadow rate...