We develop a generally applicable full-information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross sections of micro data. To handle unobserved aggregate state variables that affect cross-sectional distributions, we compute a numerically...

The literature on proper scoring rules has mostly studied the case of risk neutral agents. We analytically investigate how risk averse, expected utility maximizing forecasters behave when presented with risk neutral proper scoring rules. If the state variable is binary, risk averse agents shade...

We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the following facts: 1) The dollar exchange rate quantitatively dominates the bilateral...