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Forensics, Elasticities and Benford's Law

Demir, Banu - 2019

Estimates of the trade elasticity based on actual trade policy changes are scarce, and the few that exist are all over the place. This paper offers a setting where an exogenous increase in a border tax can be used to estimate the trade elasticity. It shows theoretically and empirically that if...

Persistent link: https://www.econbiz.de/10012892309

The Distribution of Ambiguity Attitudes

Gaudecker, Hans-Martin von; Wogrolly, Axel; Zimpelmann, … - 2022

This paper analyzes the stability and distribution of ambiguity attitudes using a broad population sample. Using high-powered incentives, we collected six waves of data on ambiguity attitudes about financial markets—our main application—and climate change. Estimating a structural stochastic...

Persistent link: https://www.econbiz.de/10014241994

A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models

Huang, Ji - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de/10014345557

The Evolution of Zipf's Law for U.S. Cities

Hackmann, Angelina - 2018

Exploiting the cascade structure of cities and based on a dataset for U.S. cities between 1840 and 2016, the aim of this short paper is to answer three important questions: First, do we observe that the U.S. city size distribution exhibits a smooth transition to Zipf's law from the beginning or...

Persistent link: https://www.econbiz.de/10012908669

Salience and Skewness Preferences

Dertwinkel-Kalt, Markus - 2019

skewed risks. We show that salience theory of choice under risk can explain this preference for positive skewness, because … unlikely, but outstanding payoffs attract attention. In contrast to alternative models, however, salience theory predicts that … preferences—typically attributed to cumulative prospect theory—are more naturally accommodated by salience theory …

Persistent link: https://www.econbiz.de/10012892170

Time Will Tell : Recovering Preferences When Choices are Noisy

Alós-Ferrer, Carlos - 2019

The ability to uncover preferences from choices is fundamental for both positive economics and welfare analysis. Overwhelming evidence shows that choice is stochastic, which has given rise to random utility models as the dominant paradigm in applied microeconomics. However, as is well known, it...

Persistent link: https://www.econbiz.de/10012892249

Happy Times : Measuring Happiness Using Response Times

Liu, Shuo; Netzer, Nick - 2023

Surveys that measure subjective states like happiness or preferences often generate discrete ordinal data. Ordered response models, which are commonly used to analyze such data, suffer from a fundamental identification problem. Their conclusions depend on unjustified assumptions about the...

Persistent link: https://www.econbiz.de/10014358107

Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates : Evidence from Point and Density Forecasts

Anderl, Christina; Caporale, Guglielmo Maria - 2022

This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower bound (the US, the UK and Canada) and in those with negative rates (Japan, the Euro Area and Switzerland). Using shadow rates obtained from two different models (the Wu-Xia...

Persistent link: https://www.econbiz.de/10013292499

Stochastic Contracts and Subjective Evaluations

Lang, Matthias - 2021

Subjective evaluations are widely used, but call for different contracts from traditional moral-hazard settings. Previous literature shows that contracts require payments to third parties, which real-world contracts rarely use. I show that the implicit assumption of deterministic contracts makes...

Persistent link: https://www.econbiz.de/10013311715

Log-normal approximation of the equity premium in the production model

Heer, Burkhard; Maußner, Alfred - 2010

The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...

Persistent link: https://www.econbiz.de/10010275855