We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or expected value function in a general class of dynamic discrete choice (DDC) models. We use importance sampling to approximate the Bellman operators defining the two functions. The random...

The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...

Morton and Wecker (1977) stated that the value iteration algorithm solves a dynamic program's policy function faster than its value function when the limiting Markov chain is ergodic. I show that their proof is incomplete, and provide a new proof of this classic result. I use this result to...

Single‐agent dynamic discrete choice models are typically estimated using heavily parametrized econometric frameworks, making them susceptible to model misspecification. This paper investigates how misspecification affects the results of inference in these models. Specifically, we consider a...

The estimation of nonstationary dynamic discrete choice models typically requires making assumptions far beyond the length of the data. We extend the class of dynamic discrete choice models that require only a few-period-ahead conditional choice probabilities, and develop algorithms to calculate...

This paper develops a dynamic model of consumer search that, despite placing very little structure on the dynamic problem faced by consumers, allows us to exploit intertemporal variation in price distributions to estimate the distribution from which consumer search costs are initially drawn. We...

This paper introduces a new laboratory experiment based on the New-Keynesian macroeconomy in Woodford (2013). The purpose of the experiment is to study how monetary policy can influence individual expectations to achieve the stabilization of macroeconomic outcomes and to improve social welfare....

The organizational behavior literature refers to persistent interaction patterns among members of an organization with distributed knowledge as organizational routines. To formalize this concept, as well as intuitions about organizational routines, we investigate dynamic coordination within a...