One of the most important behavioral parameters in macroeconomics is the elasticity of intertemporal substitution (EIS). Starting with the seminal work of Hall (1978), researchers haveused an Euler equation framework to estimate the EIS, relating the growth rate of consumption to the after-tax...

We develop a model where information about jobs is essentially obtained through friends and relatives, i.e. strong and weak ties. Workers commute to a business center to work and to interact with other people. We find that housing prices increase with the level of social interactions in the city...

This paper develops a tractable dynamic microeconomic model of migration decisions that is aggregated to describe the behavior of interregional migration. Our structural approach allows us to deal with dynamic self-selection problems that arise from the endogeneity of location choice and the...

In India, the first official estimate of quarterly gross domestic product (GDP) is released approximately 7-8 weeks after the end of the reference quarter. To provide an early estimate of current quarter GDP growth, we construct Coincident Economic Indicators for India (CEIIs) using a...

The result is false positive when it shows something is present when it really is not. In this paper, we develop a test for detecting false positives in dynamic economic models. We then apply this test to the New Keynesian model and the structural vector autoregression model with short-run...

We introduce a data driven and model free approach for computing conditional expectations. The new method is based on classical techniques combined with machine learning methods. In particular, we consider kernel density estimation based on simulated risk factors combined with a control variate....

This paper derives a second-order approximation to the solution of a general class of discrete- time rational expectations models. The main theoretical contribution of the paper is to show that for any model belonging to the general class considered, the coefficients on the terms linear and...

Dynamic optimizing models with an IS-LM-type structure and slow price adjustments have been used for much recent monetary policy analysis, but usually with capital and investment treated as exogenous a significant restriction. This paper demonstrates that investment decisions can be endogenized...

This paper develops a multi-agent dynamic model of the commercial aircraft industry and then uses that model to analyze industry pricing, industry performance, and optimal industry policy. In the model, firms are differentiated in their products and cost structure, and entry, exit, prices, and...

Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk indicators. Despite its popularity, an outstanding methodological challenge may hamper the CoVaRs’ accuracy in measuring the time-series dimension of systemic risk. The dynamics of...