Abstract: We study optimal monetary and fiscal policies in a New Keynesian model with heterogeneous agents, incomplete markets, and nominal rigidities. Our approach uses small-noise expansions and Fréchet derivatives to approximate equilibria quickly and efficiently. Responses of optimal policies to aggregate shocks differ qualitatively from what they would be in a corresponding representative agent economy and are an order of magnitude larger. A motive to provide insurance that arises from heterogeneity and incomplete markets outweighs price stabilization motives.
参考文献：Bhandari, Anmol, David Evans, Mikhail Golosov, and Thomas J. Sargent. "Inequality, Business Cycles, and Monetary‐Fiscal Policy." Econometrica 89, no. 6 (2021): 2559-2599.
Abstract: This paper proposes a tractable model of Bayesian learning on large random networks where agents choose whether to adopt an innovation. We study the impact of the network structure on learning dynamics and product diffusion. In directed networks, all direct and indirect links contribute to agents' learning. In comparison, learning and welfare are lower in undirected networks and networks with cliques. In a rich class of networks, behavior is described by a small number of differential equations, making the model useful for empirical work.
参考文献：Board, Simon, and Moritz Meyer‐ter‐Vehn. "Learning dynamics in social networks." Econometrica 89, no. 6 (2021): 2601-2635.
Abstract: Most jobs require teamwork. Are some people good team players? In this paper, we design and test a new method for identifying individual contributions to team production. We randomly assign people to multiple teams and predict team performance based on previously assessed individual skills. Some people consistently cause their team to exceed its predicted performance. We call these individuals “team players.” Team players score significantly higher on a well-established measure of social intelligence, but do not differ across a variety of other dimensions, including IQ, personality, education, and gender. Social skills—defined as a single latent factor that combines social intelligence scores with the team player effect—improve team performance about as much as IQ. We find suggestive evidence that team players increase effort among teammates.
参考文献：Weidmann, Ben, and David J. Deming. "Team Players: How Social Skills Improve Team Performance." Econometrica 89, no. 6 (2021): 2637-2657.
Abstract: Few want to do business with a partner who has a bad reputation. Consequently, once a bad reputation is established, it can be difficult to get rid of. This leads on the one hand to the intuitive idea that a good reputation is easy to lose and hard to gain. On the other hand, it can lead to a strong form of history dependence in which a single beneficial or adverse event can cast a shadow over a very long period of time. It gives rise to a reputational trap where an agent rationally chooses not to invest in a good reputation because the chances others will find out is too low. Nevertheless, the same agent with a good reputation will make every effort to maintain it. Here, a simple reputational model is constructed and the conditions for there to be a unique equilibrium that constitutes a reputation trap are characterized.
参考文献：Levine, David K. "The reputation trap." Econometrica 89, no. 6 (2021): 2659-2678.
Abstract: This paper shows that the products and prices offered in markets are correlated with local income-specific tastes. To quantify the welfare impact of this variation, I calculate local price indexes micro-founded by a model of non-homothetic demand over thousands of grocery products. These indexes reveal large differences in how wealthy and poor households perceive the choice sets available in wealthy and poor cities. Relative to low-income households, high-income households enjoy 40 percent higher utility per dollar expenditure in wealthy cities, relative to poor cities. Similar patterns are observed across stores in different neighborhoods. Most of this variation is explained by differences in the product assortment offered, rather than the relative prices charged, by chains that operate in different markets.
参考文献：Handbury, Jessie. "Are poor cities cheap for everyone? Non‐homotheticity and the cost of living across US cities." Econometrica 89, no. 6 (2021): 2679-2715.
Abstract: The prevailing neo-Wicksellian view holds that the central bank's objective is to track the natural rate of interest (r*), which itself is largely exogenous to monetary policy. We challenge this view using a fixed-cost model of durable consumption demand, in which expansionary monetary policy prompts households to accelerate purchases of durable goods. This yields an intertemporal trade-off in aggregate demand as encouraging households to increase durable holdings today leaves fewer households acquiring durables going forward. Interest rates must be kept low to support demand going forward, so accommodative monetary policy today reduces r* in the future. We show that this mechanism is quantitatively important in explaining the persistently low level of real interest rates and r* after the Great Recession.
参考文献：McKay, Alisdair, and Johannes F. Wieland. "Lumpy durable consumption demand and the limited ammunition of monetary policy." Econometrica 89, no. 6 (2021): 2717-2749.
Abstract: We study the joint evolution of the sectoral composition and the investment rate of developing economies. Using panel data for several countries in different stages of development, we document three novel facts: (a) the share of industry and the investment rate are strongly correlated and follow a hump-shaped profile with development, (b) investment goods contain more domestic value added from industry and less from services than consumption goods do, and (c) the evolution of the sectoral composition of investment and consumption goods differs from the one of GDP. We build a multi-sector growth model to fit these patterns and provide two important results. First, the hump-shaped evolution of investment demand explains half of the hump in industry with development. Second, asymmetric sectoral productivity growth helps explain the decline in the relative price of investment goods along the development path, which in turn increases capital accumulation and promotes growth.
参考文献：García‐Santana, Manuel, Josep Pijoan‐Mas, and Lucciano Villacorta. "Investment Demand and Structural Change." Econometrica 89, no. 6 (2021): 2751-2785.
Abstract: We conduct inference on volatility with noisy high-frequency data. We assume the observed transaction price follows a continuous-time Itô-semimartingale, contaminated by a discrete-time moving-average noise process associated with the arrival of trades. We estimate volatility, defined as the quadratic variation of the semimartingale, by maximizing the likelihood of a misspecified moving-average model, with its order selected based on an information criterion. Our inference is uniformly valid over a large class of noise processes whose magnitude and dependence structure vary with sample size. We show that the convergence rate of our estimator dominates n1/4 as noise vanishes, and is determined by the selected order of noise dependence when noise is sufficiently small. Our implementation guarantees positive estimates in finite samples.
Abstract: Haavelmo (1944) proposed a probabilistic structure for econometric modeling, aiming to make econometrics useful for decision making. His fundamental contribution has become thoroughly embedded in econometric research, yet it could not answer all the deep issues that the author raised. Notably, Haavelmo struggled to formalize the implications for decision making of the fact that models can at most approximate actuality. In the same period, Wald (1939, 1945) initiated his own seminal development of statistical decision theory. Haavelmo favorably cited Wald, but econometrics did not embrace statistical decision theory. Instead, it focused on study of identification, estimation, and statistical inference. This paper proposes use of statistical decision theory to evaluate the performance of models in decision making. I consider the common practice of as-if optimization: specification of a model, point estimation of its parameters, and use of the point estimate to make a decision that would be optimal if the estimate were accurate. A central theme is that one should evaluate as-if optimization or any other model-based decision rule by its performance across the state space, listing all states of nature that one believes feasible, not across the model space. I apply the theme to prediction and treatment choice. Statistical decision theory is conceptually simple, but application is often challenging. Advancing computation is the primary task to complete the foundations sketched by Haavelmo and Wald.
参考文献：Manski, Charles F. "Econometrics for decision making: Building foundations sketched by Haavelmo and Wald." Econometrica 89, no. 6 (2021): 2827-2853.
Abstract: I show that the zero lower bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I propose a simple way to test the efficacy of unconventional policies, modeled via a “shadow rate.” I apply this method to U.S. monetary policy using a three-equation structural vector autoregressive model of inflation, unemployment, and the Federal Funds rate. I reject the null hypothesis that unconventional monetary policy has no effect at the ZLB, but find some evidence that it is not as effective as conventional monetary policy.
参考文献：Mavroeidis, Sophocles. "Identification at the zero lower bound." arXiv preprint arXiv:2103.12779 (2021).
Abstract: Most assets clear independently rather than jointly. This paper presents a model based on the uniform-price double auction which accommodates arbitrary restrictions on market clearing, including independent clearing across assets (allowed when demand for each asset is contingent only on the price of that asset) and joint market clearing for all assets (required when demand for each asset is contingent on the prices of all assets). Additional trading protocols for traded assets—neutral when the market clears jointly—are generally not redundant innovations, even if all traders participate in all protocols. Multiple trading protocols that clear independently can be designed to be at least as efficient as joint market clearing for all assets. The change in price impact brought by independence in market clearing can overcome the loss of information, and enhance diversification and risk sharing. Except when the market is competitive, market characteristics should guide innovation in trading technology.
参考文献：Rostek, Marzena, and Ji Hee Yoon. "Exchange design and efficiency." Econometrica 89, no. 6 (2021): 2887-2928.
Abstract: We formulate a stability notion for two-sided pairwise matching problems with individually insignificant agents in distributional form. Matchings are formulated as joint distributions over the characteristics of the populations to be matched. Spaces of characteristics can be high-dimensional and need not be compact. Stable matchings exist with and without transfers, and stable matchings correspond precisely to limits of stable matchings for finite-agent models. We can embed existing continuum matching models and stability notions with transferable utility as special cases of our model and stability notion. In contrast to finite-agent matching models, stable matchings exist under a general class of externalities.
参考文献：Greinecker, Michael, and Christopher Kah. "Pairwise stable matching in large economies." Econometrica 89, no. 6 (2021): 2929-2974.
