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Articles 721 - 750 of 2768
Full-Text Articles in Social and Behavioral Sciences
Female Labour Supply, Human Capital And Welfare Reform, Richard Blundell, Monica Costa Dias, Costas Meghir, Jonathan Shaw
Female Labour Supply, Human Capital And Welfare Reform, Richard Blundell, Monica Costa Dias, Costas Meghir, Jonathan Shaw
Cowles Foundation Discussion Papers
We estimate a dynamic model of employment, human capital accumulation - including education, and savings for women in the UK, exploiting tax and benefit reforms, and use it to analyze the effects of welfare policy. We find substantial elasticities for labor supply and particularly for lone mothers. Returns to experience, which are important in determining the longer-term effects of policy, increase with education, but experience mainly accumulates when in full-time employment. Tax credits are welfare improving in the UK and increase lone-mother labor supply, but the employment effects do not extend beyond the period of eligibility. Marginal increases in tax …
Keynesian Utilities: Bulls And Bears, Anat Bracha, Donald J. Brown
Keynesian Utilities: Bulls And Bears, Anat Bracha, Donald J. Brown
Cowles Foundation Discussion Papers
We propose Keynesian utilities as a new class of non-expected utility functions representing the preferences of investors for optimism, defined as the composition of the investor’s preferences for risk and her preferences for ambiguity. The optimism or pessimism of Keynesian utilities is determined by empirical proxies for risk and ambiguity. Bulls and bears are defined respectively as optimistic and pessimistic investors. The resulting family of Afriat inequalities are necessary and sufficient for rationalizing the asset demands of bulls and bears with Keynesian utilities.
Biology And The Arguments Of Utility, Luis Rayo, Arthur Robson
Biology And The Arguments Of Utility, Luis Rayo, Arthur Robson
Cowles Foundation Discussion Papers
Why did evolution not give us a utility function that is offspring alone? Why do we care intrinsically about other outcomes, food, for example, and what determines the intensity of such preferences? A common view is that such other outcomes enhance fitness and the intensity of our preference for a given outcome is proportional to its contribution to fitness. We argue that this view is inaccurate. Specifically, we show that in the presence of informational imperfections, the evolved preference for a given outcome is determined by the individual’s degree of ignorance regarding its significance. Our model sheds light on imitation …
Female Labour Supply, Human Capital And Welfare Reform, Richard Blundell, Monica Costa Dias, Costas Meghir, Jonathan Shaw
Female Labour Supply, Human Capital And Welfare Reform, Richard Blundell, Monica Costa Dias, Costas Meghir, Jonathan Shaw
Cowles Foundation Discussion Papers
We estimate a dynamic model of employment, human capital accumulation — including education, and savings for women in the UK, exploiting policy changes. We analyze both the incentive effects and the welfare implications of tax credits and income support programs and we account for their insurance value. We find important incentive effects on education choice and labor supply, with single mothers having the most elastic labor supply. Returns to experience increase with education, but experience only accumulates when in full-time employment. Finally, marginal increases in tax credits are preferred to equally costly income support or to tax cuts.
Female Labour Supply, Human Capital And Welfare Reform, Richard Blundell, Monica Costa Dias, Costas Meghir, Jonathan Shaw
Female Labour Supply, Human Capital And Welfare Reform, Richard Blundell, Monica Costa Dias, Costas Meghir, Jonathan Shaw
Cowles Foundation Discussion Papers
We consider the impact of Tax credits and income support programs on female education choice, employment, hours and human capital accumulation over the life-cycle. We thus analyze both the short run incentive effects and the longer run implications of such programs. By allowing for risk aversion and savings we are also able to quantify the insurance value of alternative programs. We find important incentive effects on education choice, and labor supply, with single mothers having the most elastic labor supply. Returns to labour market experience are found to be substantial but only for full-time employment, and especially for women with …
Testing For Fictive Learning In Decision-Making Under Uncertainty, Oliver D. Bunn, Caterina Calsamiglia, Donald J. Brown
Testing For Fictive Learning In Decision-Making Under Uncertainty, Oliver D. Bunn, Caterina Calsamiglia, Donald J. Brown
Cowles Foundation Discussion Papers
We conduct two experiments where subjects make a sequence of binary choices between risky and ambiguous binary lotteries. Risky lotteries are defined as lotteries where the relative frequencies of outcomes are known. Ambiguous lotteries are lotteries where the relative frequencies of outcomes are not known or may not exist. The trials in each experiment are divided into three phases: pre-treatment, treatment and post-treatment. The trials in the pre-treatment and post-treatment phases are the same. As such, the trials before and after the treatment phase are dependent, clustered matched-pairs, that we analyze with the alternating logistic regression (ALR) package in SAS. …
Fictive Learning In Choice Under Uncertainty: A Logistic Regression Model, Donald J. Brown, Oliver D. Bunn, Caterina Calsamiglia
Fictive Learning In Choice Under Uncertainty: A Logistic Regression Model, Donald J. Brown, Oliver D. Bunn, Caterina Calsamiglia
Cowles Foundation Discussion Papers
This paper is an exposition of an experiment on revealed preferences, where we posite a novel discrete binary choice model. To estimate this model, we use general estimating equations or GEE. This is a methodology originating in biostatistics for estimating regression models with correlated data. In this paper, we focus on the motivation for our approach, the logic and intuition underlying our analysis and a summary of our findings. The missing technical details are in the working paper by Bunn, et al. (2013). The experimental data is available from the corresponding author: donald.brown@yale.edu . The recruiting poster and informed consent …
Education Policy And Intergenerational Transfers In Equilibrium, Brant Abbott, Giovanni Gallipoli, Costas Meghir, Giovanni L. Violante
Education Policy And Intergenerational Transfers In Equilibrium, Brant Abbott, Giovanni Gallipoli, Costas Meghir, Giovanni L. Violante
Cowles Foundation Discussion Papers
This paper compares partial and general equilibrium effects of alternative financial aid policies intended to promote college participation. We build an overlapping generations life-cycle, heterogeneous-agent, incomplete-markets model with education, labor supply, and consumption/saving decisions. Altruistic parents make inter vivos transfers to their children. Labor supply during college, government grants and loans, as well as private loans, complement parental transfers as sources of funding for college education. We find that the current financial aid system in the U.S. improves welfare, and removing it would reduce GDP by two percentage points in the long-run. Any further relaxation of government-sponsored loan limits would …
Education Policy And Intergenerational Transfers In Equilibrium, Brant Abbott, Giovanni Gallipoli, Costas Meghir, Giovanni L. Violante
Education Policy And Intergenerational Transfers In Equilibrium, Brant Abbott, Giovanni Gallipoli, Costas Meghir, Giovanni L. Violante
Cowles Foundation Discussion Papers
This paper examines the equilibrium effects of alternative financial aid policies intended to promote college participation. We build an overlapping generations life cycle model with education, labor supply, and consumption/saving decisions. Cognitive and non-cognitive skills of children depend on the cognitive skills and education of parents, and affect education choice and labor market outcomes. Driven by both altruism and paternalism, parents make transfers to their children which can be used to fund education, supplementing grants, loans and the labor supply of the children themselves during college. The crowding out of parental transfers by government programs is sizable and thus cannot …
Relational Contracting, Repeated Negotiations, And Hold-Up, Sebastian Kranz
Relational Contracting, Repeated Negotiations, And Hold-Up, Sebastian Kranz
Cowles Foundation Discussion Papers
We propose a unified framework to study relational contracting and hold-up problems in infinite horizon stochastic games. We first illustrate that with respect to long run decisions, the common formulation of relational contracts as Pareto-optimal public perfect equilibria is in stark contrast to fundamental assumptions of hold-up models. We develop a model in which relational contracts are repeatedly newly negotiated during relationships. Negotiations take place with positive probability and cause bygones to be bygones. Traditional relational contracting and hold-up formulations are nested as opposite corner cases. Allowing for intermediate cases yields very intuitive results and sheds light on many plausible …
Education Policy And Intergenerational Transfers In Equilibrium, Brant Abbott, Giovanni Gallipoli, Costas Meghir, Giovanni L. Violante
Education Policy And Intergenerational Transfers In Equilibrium, Brant Abbott, Giovanni Gallipoli, Costas Meghir, Giovanni L. Violante
Cowles Foundation Discussion Papers
This paper examines the equilibrium effects of alternative financial aid policies intended to promote college participation. We build an overlapping generations life-cycle, heterogeneous-agent, incomplete-markets model with education, labor supply, and consumption/saving decisions. Driven by both altruism and paternalism, parents make inter vivos transfers to their children. Both cognitive and non-cognitive skills determine the non-pecuniary cost of schooling. Labor supply during college, government grants and loans, as well as private loans, complement parental resources as means of funding college education. We find that the current financial aid system in the U.S. improves welfare, and removing it would reduce GDP by 4-5 …
Career Progression, Economic Downturns, And Skills, Jerome Adda, Christian Dustmann, Costas Meghir, Jean-Marc Robin
Career Progression, Economic Downturns, And Skills, Jerome Adda, Christian Dustmann, Costas Meghir, Jean-Marc Robin
Cowles Foundation Discussion Papers
This paper analyzes the career progression of skilled and unskilled workers, with a focus on how careers are affected by economic downturns and whether formal skills, acquired early on, can shield workers from the effect of recessions. Using detailed administrative data for Germany for numerous birth cohorts across different regions, we follow workers from labor market entry onwards and estimate a dynamic life-cycle model of vocational training choice, labor supply, and wage progression. Most particularly, our model allows for labor market frictions that vary by skill group and over the business cycle. We find that sources of wage growth differ: …
Multiscale Adaptive Inference On Conditional Moment Inequalities, Timothy B. Armstrong, Hock Peng Chan
Multiscale Adaptive Inference On Conditional Moment Inequalities, Timothy B. Armstrong, Hock Peng Chan
Cowles Foundation Discussion Papers
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula. We also propose critical values based on a modified bootstrap procedure and prove their asymptotic validity. The asymptotic distribution is extreme value, and the proof uses new techniques to overcome several technical obstacles. We provide power results that show that our test detects local alternatives that approach the identified set at the best possible rate under a set of conditions that hold generically …
Mismatch, Sorting And Wage Dynamics, Jeremy Lise, Costas Meghir, Jean-Marc Robin
Mismatch, Sorting And Wage Dynamics, Jeremy Lise, Costas Meghir, Jean-Marc Robin
Cowles Foundation Discussion Papers
We develop an empirical search-matching model which is suitable for analyzing the wage, employment and welfare impact of regulation in a labor market with heterogeneous workers and jobs. To achieve this we develop an equilibrium model of wage determination and employment which extends the current literature on equilibrium wage determination with matching and provides a bridge between some of the most prominent macro models and microeconometric research. The model incorporates productivity shocks, long-term contracts, on-the-job search and counter-offers. Importantly, the model allows for the possibility of assortative matching between workers and jobs due to complementarities between worker and job characteristics. …
Multiscale Adaptive Inference On Conditional Moment Inequalities, Timothy B. Armstrong, Hock Peng Chan
Multiscale Adaptive Inference On Conditional Moment Inequalities, Timothy B. Armstrong, Hock Peng Chan
Cowles Foundation Discussion Papers
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a modified bootstrap procedure. The asymptotic distribution is extreme value, and the proof uses new techniques to overcome several technical obstacles. The test detects local alternatives that approach the identified set at the best rate in a broad class of models, and is adaptive to the smoothness properties of the data generating process. Our results also …
Multiscale Adaptive Inference On Conditional Moment Inequalities, Timothy B. Armstrong, Hock Peng Chan
Multiscale Adaptive Inference On Conditional Moment Inequalities, Timothy B. Armstrong, Hock Peng Chan
Cowles Foundation Discussion Papers
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple analytic formula, and to prove the asymptotic validity of a modified bootstrap procedure. The asymptotic distribution is extreme value, and the proof uses new techniques to overcome several technical obstacles. The test detects local alternatives that approach the identified set at the best rate among available tests in a broad class of models, and is adaptive to the smoothness properties of the data generating process. …
Cost Innovation: Schumpeter And Equilibrium. Part 2: Innovation And The Money Supply, Martin Shubik, William D. Sudderth
Cost Innovation: Schumpeter And Equilibrium. Part 2: Innovation And The Money Supply, Martin Shubik, William D. Sudderth
Cowles Foundation Discussion Papers
The control structure over money and real assets is considered in the process of cost innovation. The work here contrasts with the first part of this paper where the emphasis was on the physical aspects of innovation. Here the emphasis is primarily on the money supply aspects of innovation. We conclude with observations on evaluation and the locus of control in the process of innovation.
An Estimation Of Economic Models With Recursive Preferences, Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson
An Estimation Of Economic Models With Recursive Preferences, Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson
Cowles Foundation Discussion Papers
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17-60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above one. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the …
Mathematical Institutional Economics, Martin Shubik
Mathematical Institutional Economics, Martin Shubik
Cowles Foundation Discussion Papers
An overview is given of the utilization of strategic market games in the development of a game theory based theory of money and financial institutions.
Wealth Effects Revisited 1975-2012, Karl E. Case, John M. Quigley, Robert J. Shiller
Wealth Effects Revisited 1975-2012, Karl E. Case, John M. Quigley, Robert J. Shiller
Cowles Foundation Discussion Papers
We re-examine the links between changes in housing wealth, financial wealth, and consumer spending. We extend a panel of U.S. states observed quarterly during the seventeen-year period, 1982 through 1999, to the thirty-seven year period, 1975 through 2012Q2. Using techniques reported previously, we impute the aggregate value of owner-occupied housing, the value of financial assets, and measures of aggregate consumption for each of the geographic units over time. We estimate regression models in levels, first differences and in error-correction form, relating per capita consumption to per capita income and wealth. We find a statistically significant and rather large effect of …
Asymptotic Efficiency Of Semiparametric Two-Step Gmm, Xiaohong Chen, Jinyong Hahn, Zhipeng Liao
Asymptotic Efficiency Of Semiparametric Two-Step Gmm, Xiaohong Chen, Jinyong Hahn, Zhipeng Liao
Cowles Foundation Discussion Papers
In this note, we characterize the semiparametric efficiency bound for a class of semiparametric models in which the unknown nuisance functions are identified via nonparametric conditional moment restrictions with possibly non-nested or over-lapping conditioning sets, and the finite dimensional parameters are potentially over-identified via unconditional moment restrictions involving the nuisance functions. We discover a surprising result that semiparametric two-step optimally weighted GMM estimators achieve the efficiency bound, where the nuisance functions could be estimated via any consistent nonparametric procedures in the first step. Regardless of whether the efficiency bound has a closed form expression or not, we provide easy-to-compute sieve …
What Have They Been Thinking? Home Buyer Behavior In Hot And Cold Markets, Karl E. Case, Robert J. Shiller, Anne K. Thompson
What Have They Been Thinking? Home Buyer Behavior In Hot And Cold Markets, Karl E. Case, Robert J. Shiller, Anne K. Thompson
Cowles Foundation Discussion Papers
Questionnaire surveys we have undertaken in 1988 and annually 2003–2012 of recent homebuyers in each of four U.S. cities shed light on their expectations and reasons for buying and selling during the recent housing boom and subsequent collapse, and on the reasons for the housing crisis that initiated the current financial malaise. We find that homebuyers were generally well informed, and that their short-run expectations if anything underreacted to the year-to-year change in actual home prices. More of the root causes of the bubble can be seen in their long-term, ten-year, home price expectations, which reached abnormal levels relative to …
Non-Linearity Induced Weak Instrumentation, Ioannis Kasparis, Peter C.B. Phillips, Tassos Magdalinos
Non-Linearity Induced Weak Instrumentation, Ioannis Kasparis, Peter C.B. Phillips, Tassos Magdalinos
Cowles Foundation Discussion Papers
In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the regression function can significantly affect the relevance of the instruments. In particular, such instruments become weak when the signal of the regressor is strong, as it is in the NI case. Instruments based on integrable functions of lagged NI regressors display long range dependence and so remain relevant even at long lags, continuing to contribute to variance reduction …
Leverage And Default In Binomial Economies: A Complete Characterization, Ana Fostel, John Geanakoplos
Leverage And Default In Binomial Economies: A Complete Characterization, Ana Fostel, John Geanakoplos
Cowles Foundation Discussion Papers
Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral. Our Binomial No-Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no default. Thus actual default is irrelevant, though the potential for default drives the equilibrium and limits borrowing. This result is valid with arbitrary preferences and endowments, contingent or non-contingent promises, many assets and consumption goods, production, and multiple periods. We also show that no-default equilibria would be selected if there were the slightest cost of using collateral or …
Wages And Informality In Developing Countries, Costas Meghir, Renata Narita, Jean-Marc Robin
Wages And Informality In Developing Countries, Costas Meghir, Renata Narita, Jean-Marc Robin
Cowles Foundation Discussion Papers
It is often argued that informal labor markets in developing countries promote growth by reducing the impact of regulation. On the other hand informality may reduce the amount of social protection offered to workers. We extend the wage-posting framework of Burdett and Mortensen (1998) to allow heterogeneous firms to decide whether to locate in the formal or the informal sector, as well as set wages. Workers engage in both off the job and on the job search. We estimate the model using Brazilian micro data and evaluate the labor market and welfare effects of policies towards informality.
On Confidence Intervals For Autoregressive Roots And Predictive Regression, Peter C.B. Phillips
On Confidence Intervals For Autoregressive Roots And Predictive Regression, Peter C.B. Phillips
Cowles Foundation Discussion Papers
A prominent use of local to unity limit theory in applied work is the construction of confidence intervals for autogressive roots through inversion of the ADF t statistic associated with a unit root test, as suggested in Stock (1991). Such confidence intervals are valid when the true model has an autoregressive root that is local to unity (τ = 1 + ( c/n )) but are invalid at the limits of the domain of definition of the localizing coefficient c because of a failure in tightness and the escape of probability mass. Consideration of the boundary case shows that these …
Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C.B. Phillips
Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector autoregression followed by estimation and inference. This paper proposes an automated approach to cointegrated system modeling that …
The Strategic Impact Of Higher-Order Beliefs, Yi-Chun Chen, Alfredo Di Tillio, Eduardo Faingold, Siyang Xiong
The Strategic Impact Of Higher-Order Beliefs, Yi-Chun Chen, Alfredo Di Tillio, Eduardo Faingold, Siyang Xiong
Cowles Foundation Discussion Papers
Previous research has established that the predictions made by game theory about strategic behavior in incomplete information games are quite sensitive to the assumptions made about the players’ infinite hierarchies of beliefs. We evaluate the severity of this robustness problem by characterizing conditions on the primitives of the model — the players’ hierarchies of beliefs — for the strategic behavior of a given Harsanyi type to be approximated by the strategic behavior of (a sequence of) perturbed types. This amounts to providing characterizations of the strategic topologies of Dekel, Fudenberg, and Morris (2006) in terms of beliefs. We apply our …
Endogenous Leverage In A Binomial Economy: The Irrelevance Of Actual Default, Ana Fostel, John Geanakoplos
Endogenous Leverage In A Binomial Economy: The Irrelevance Of Actual Default, Ana Fostel, John Geanakoplos
Cowles Foundation Discussion Papers
We show that binomial economies with financial assets are an informative and tractable model to study endogenous leverage and collateral equilibrium: endogenous leverage can be highly volatile, but it is always easy to compute. The possibility of default can have a dramatic effect on equilibrium, if collateral is scarce, yet we prove the No-Default Theorem asserting that, without loss of generality, there is no default in equilibrium. Thus potential default has a dramatic effect on equilibrium, but actual default does not. This result is valid with arbitrary preferences, contingent promises, many assets and consumption goods, production, and multiple periods. On …
Leverage And Default In Binomial Economies: A Complete Characterization, Ana Fostel, John Geanakoplos
Leverage And Default In Binomial Economies: A Complete Characterization, Ana Fostel, John Geanakoplos
Cowles Foundation Discussion Papers
Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral. First, our Binomial No-Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no default. Thus actual default is irrelevant, though the potential for default drives the equilibrium and limits borrowing. This result is valid with arbitrary preferences and endowments, arbitrary promises, many assets and consumption goods, production, and multiple periods. We also show that the no-default equilibrium would be selected if there were the slightest cost of using collateral or …