Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in simultaneous equations. I study weak identification in such models, which arises when variances change very little or the variances of multiple shocks change close to proportionally....

Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...

This paper studies how people make inference about a state of the world when the information structure includes additional, payoff-irrelevant states. For example, learning about effort from observed performance may require accounting for the otherwise irrelevant role of luck. This creates an...

Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The nonparametric nature of LP comes at an efficiency cost...