Bryant University
University of Warwick
CUNY Bernard M Baruch College
Global Center for Financial Literacy
Eastern Illinois University
University of Connecticut - Storrs
Claremont McKenna College
State University of New York College at Buffalo - Buffalo State College
Bubbly Booms And Welfare,
2024
Singapore Management University
Bubbly Booms And Welfare, Feng Dong, Yang Jiao, Haoning Sun
Research Collection School Of Economics
We show the competing effects of a housing bubble on the real economy by developing a multi-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their housing, so a housing bubble helps firms obtain credit to finance their investment and expand production. On the other hand, a boom in the housing sector crowds out labor in the non-housing sector. We show that housing booms can reduce social welfare both in the steady state and in the transitional dynamics only when the production externalities in the non-housing sector are sufficiently large. We quantitatively evaluate our …
Who Helps Tsimane Children And Adults?,
2024
Chapman University
Who Helps Tsimane Children And Adults?, Eric Schniter, Daniel K. Cummings, Paul L. Hooper, Maguin Gutierrez Cayuba, Jonathan Stieglitz, Benjamin C. Trumble, Hillard S. Kaplan, Michael D. Gurven
ESI Working Papers
We consider several forms of helping behavior among Tsimane Amerindians of Bolivia, including provision of shelter, childcare, food, sickcare, loans, advice, and cultural influence. While kin selection theory is traditionally invoked to explain nepotistic nurturing of youngsters by closely related kin, much less attention has been given to understanding the help provided to children and adults by individuals without close genetic relatedness. To explain who provides the various forms of help that we consider, we evaluate support for several predictions derived from kin selection theory: that helpers are most often closely related and from an older generation, provide more help …
Wild Bootstrap Inference For Instrumental Variables Regressions With Weak And Few Clusters,
2024
Singapore Management University
Wild Bootstrap Inference For Instrumental Variables Regressions With Weak And Few Clusters, Wenjie Wang, Yichong Zhang
Research Collection School Of Economics
We study the wild bootstrap inference for instrumental variable regressions under an alternative asymptotic framework that the number of independent clusters is fixed, the size of each cluster diverges to infinity, and the within cluster dependence is sufficiently weak. We first show that the wild bootstrap Wald test controls size asymptotically up to a small error as long as the parameters of endogenous variables are strongly identified in at least one of the clusters. Second, we establish the conditions for the bootstrap tests to have power against local alternatives. We further develop a wild bootstrap Anderson–Rubin test for the full-vector …
Housing Markets Since Shapley And Scarf,
2024
Singapore Management University
Housing Markets Since Shapley And Scarf, Mustafa Oguz Afacan, Gaoji Hu, Jiangtao Li
Research Collection School Of Economics
Shapley and Scarf (1974) appeared in the first issue of the Journal of Mathematical Economics, and is one of the journal’s most impactful publications. As we approach the remarkable milestone of the journal’s 50th anniversary (1974–2024), this article serves as a commemorative exploration of Shapley and Scarf (1974) and the extensive body of literature that follows it.
Ambiguity And Ambiguity Attitudes Across Auctions,
2024
Chapman University
Ambiguity And Ambiguity Attitudes Across Auctions, Cary Deck, Paan Jindapon, Tigran Melkonyan, Mark Schneider
ESI Working Papers
Studies of ambiguity perceptions and attitudes are moving beyond the Ellsberg urn to examine people’s responses to ambiguity in naturally occurring events, games, and financial markets. In this study, we measure ambiguity perceptions and attitudes for market prices and allocations in four classical auction formats (first-price and second-price sealed bid auctions, English and Dutch clock auctions). We find ambiguity attitudes, representing individual preferences, are stable across auctions. However, the perceived ambiguity surrounding auction prices is lowest for English clock auctions which are obviously strategyproof (OSP), followed by second-price auctions which are strategyproof (SP), followed by a tie between first-price and …
Optimal Inference For Spot Regressions,
2024
Duke University
Optimal Inference For Spot Regressions, Tim Bollerslev, Jia Li, Yuexuan Ren
Research Collection School Of Economics
Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas with high-frequency data. The "local Gaussian" property of the generic continuous-time benchmark model enables optimal "finite-sample" inference in a well-defined sense. It also affords more reliable inference in empirically realistic settings compared to conventional large-sample approaches. Two applications pertaining to the tracking performance of leveraged ETFs and an intraday event study illustrate the practical usefulness of the new procedures.
Bootstrap Inference For Quantile Treatment Effects In Randomized Experiments With Matched Pairs,
2024
Singapore Management University
Bootstrap Inference For Quantile Treatment Effects In Randomized Experiments With Matched Pairs, Liang Jiang, Xiaobin Liu, Peter C B Phillips, Yichong Zhang
Research Collection School Of Economics
This paper examines methods of inference concerning quantile treatment effects (QTEs) in randomized experiments with matched-pairs designs (MPDs). Standard multiplier bootstrap inference fails to capture the negative dependence of observations within each pair and is therefore conservative. Analytical inference involves estimating multiple functional quantities that require several tuning parameters. Instead, this paper proposes two bootstrap methods that can consistently approximate the limit distribution of the original QTE estimator and lessen the burden of tuning parameter choice. Most especially, the inverse propensity score weighted multiplier bootstrap can be implemented without knowledge of pair identities.
Robust Inference On Correlation Under General Heterogeneity,
2024
Singapore Management University
Robust Inference On Correlation Under General Heterogeneity, Liudas Giraitis, Yuefei Li, Peter C. B. Phillips
Research Collection School Of Economics
Considerable evidence in past research shows size distortion in standard tests for zero autocorrelation or zero cross-correlation when time series are not independent identically distributed random variables, pointing to the need for more robust procedures. Recent tests for serial correlation and cross-correlation in Dalla, Giraitis, and Phillips (2022) provide a more robust approach, allowing for heteroskedasticity and dependence in uncorrelated data under restrictions that require a smooth, slowly-evolving deterministic heteroskedasticity process. The present work removes those restrictions and validates the robust testing methodology for a wider class of innovations and regression residuals allowing for heteroscedastic uncorrelated and non-stationary data settings. …
Panel Data Models With Time-Varying Latent Group Structures,
2024
Singapore Management University
Panel Data Models With Time-Varying Latent Group Structures, Yiren Wang, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism, the model may have different numbers of groups and/or different group memberships before and after the break. With preliminary nuclear norm regularized estimation followed by row- and column-wise linear regressions, we estimate the break point based on the idea of binary segmentation and the latent group structures together with the number of groups before and after the break by sequential testing K-means algorithm simultaneously. It is …
Cognitive Abilities And Individual Earnings In Hybrid Continuous Double Auctions,
2024
Xiamen University
Cognitive Abilities And Individual Earnings In Hybrid Continuous Double Auctions, Yan Peng, Jason Shachat, Lijia Wei, S. Sarah Zhang
ESI Working Papers
We study the influence of cognitive abilities, in particular reaction time, trader intuition (Theory of Mind), and cognitive reflection abilities, on human participants’ individual earnings when competing alongside algorithmic traders in continuous double auctions. In balanced markets, where each human trader has an algorithmic trader clone with the same valuations or costs, faster human reaction time significantly improves trading performance, while Theory of Mind can be detrimental to human trading performance, particularly for sellers. For unbalanced markets with humans and algorithmic traders on opposite sides of the market, the effects of cognitive abilities depend on trader role as well as …
Reinvigorating Gva Nowcasting In The Post-Pandemic Period: A Case Study For India,
2024
Reserve Bank of India, India
Reinvigorating Gva Nowcasting In The Post-Pandemic Period: A Case Study For India, Kaustubh Na, Soumya Suvra Bhadury, Saurabh Ghosh
Bulletin of Monetary Economics and Banking
We reinvigorate nowcasting models considering structural changes caused by the COVID-19 pandemic. It emphasizes the need to understand the heterogeneous impact of shocks on agriculture, industry, and services sectors in an emerging market economy (e.g., India). Our findings advocate a bottom-up approach that tracks sectors separately rather than a headline number. Our results suggest including digital-activity index and supply-side disruption index in the post-pandemic period could improve nowcast performance. Expectation-Maximization (E-M) algorithm is used to combine data series based on their availability. Among bridging methods, the averaging method is preferred due to its simplicity and flexibility.
Horizontal Economic Inequality And Mass Atrocity Risk: A Large-Sample Empirical Inquiry,
2024
College of the Holy Cross
Horizontal Economic Inequality And Mass Atrocity Risk: A Large-Sample Empirical Inquiry, Charles H. Anderton, Roxane A. Anderton
Genocide Studies and Prevention: An International Journal
Our research question is: Does inter-group horizontal economic inequality elevate state-perpetrated mass atrocity risk? Theoretical perspectives in genocide studies show how economic and other forms of discrimination against ethnic or religious groups can elevate the risk of government violence against them. Among the approximately five dozen large-sample empirical studies of mass atrocity risk, only a few consider the effects of economic discrimination. Moreover, no large-sample empirical studies, to the best of our knowledge, test hypotheses related to how inter-group horizontal economic inequalities (as distinct from vertical economic inequalities based on GINI coefficients or quantile income or wealth measures) affect mass …
How Does Passive Investing Effect The Informational Efficiency Of Prices?,
2024
Emlyon Business School
How Does Passive Investing Effect The Informational Efficiency Of Prices?, Brice Corgnet, Mark Desantis, Yan Peng, David Porter, Jason Shachat
ESI Working Papers
We investigate the causal effects of passive investing on informational efficiency and market quality metrics by developing a novel laboratory experiment that introduces Index trackers with exogenous passive investment flows. We find that, while improving liquidity, Index tracking hurts informational efficiency, confirming our main hypothesis. Furthermore, we observe violations of the law of one price, leading to widespread and persistent arbitrage opportunities. Additionally, our research uncovers that Active traders, particularly those with private information about asset values and high cognitive ability, reap benefits from the introduction of Index tracking.
Representation And Bracketing In Repeated Games,
2024
Chapman University
Representation And Bracketing In Repeated Games, Mouli Modak
ESI Working Papers
In this experimental paper, the author investigates the framing effect of different representations of multiple strategic settings or games on a player’s strategic behavior. Two representations of the same environment are employed, wherein a player engages in two infinitely repeated prisoner’s dilemma games. In the first representation (termed Split), the stage games are shown separately. In contrast, the second representation (termed Linked) displays a combined stage game. The choice bracketing, distinguishing between Narrow and Broad bracketing, is considered a potential cause behind any disparity in behavior between the two representations. The Split representation does not necessitate broad bracketing, whereas the …
Essays In Macroeconomics And Finance,
2024
The Graduate Center, City University of New York
Essays In Macroeconomics And Finance, Archil Dvalishvili
Dissertations, Theses, and Capstone Projects
Chapter 1: (A Quantitative Analysis of Interest on Reserves and Reserve Requirements) - I construct a medium scale DSGE model with financial frictions both on the demand (entrepreneurs) and supply (banks) sides of credit to study the costs and benefits of fixed/time-varying minimum reserve requirements and interest paid by the Fed on reserves.The results can be summarized as follows: (1) An optimal time-varying minimum reserve requirement generates substantial welfare gain when compared with a fixed minimum reserve requirement when no interest is paid on reserves. (2) Paying interest on reserves is substantially welfare inferior to a policy with no interest …
How Personalized Networks Can Limit Free Riding: A Multi-Group Version Of The Public Goods Game,
2024
Chapman University
How Personalized Networks Can Limit Free Riding: A Multi-Group Version Of The Public Goods Game, Aaron S. Berman, Laurence R. Iannaccone, Mouli Modak
ESI Working Papers
People belong to many different groups, and few belong to the same network of groups. Moreover, people routinely reduce their involvement in dysfunctional groups while increasing involvement in those they find more attractive. The net effect can be an increase in overall cooperation and the partial isolation of free-riders, even if free-riders are never punished, excluded, or recognized. We formalize and test this conjecture with an agent-based social simulation and a multi-good extension of the standard repeated public goods game. Our initial results from three treatments suggest that the multi-group setting indeed raises overall cooperation and dampens the impact of …
Personal Lies,
2024
University of California, Santa Barbara
Personal Lies, Gary Charness, Ismael Rodriguez-Lara
ESI Working Papers
Using the mind game, we provide experimental evidence that people are more likely to lie when they disclose non-personal information (e.g., reporting a number they thought of) compared with personal information (e.g., reporting the last digit of their birth year). Our findings suggest that the type of information is an important factor for lying behavior.
National Integration And Institution Building,
2024
Old Dominion University
National Integration And Institution Building, Haiwen Zhou
Economics Faculty Publications
The mutual dependence between national integration and institution building is established in a formal model. It is shown that a decrease in transportation costs, but not necessarily an increase in population size, reduces the equilibrium number of states and the adoption of rule-based institutions. With endogenous transportation costs or endogenous population size, the unification process can feed on itself. The model is illustrated by the state of Qin's unification of China in 221 BC. During this process of national integration, transformations from relation-based governance to rule-based governance happened.
How Likely Is It That Omitted Variable Bias Will Overturn Your Results?,
2024
Department of Economics, UMass Amherst
How Likely Is It That Omitted Variable Bias Will Overturn Your Results?, Deepankar Basu
Economics Department Working Paper Series
Building on a recently developed methodology for sensitivity analysis that parametrizes omitted variable bias in terms of partial R-Squared measures, I propose a simple statistic to capture the severity of omitted variable bias in any observational study: the probability of omitted variable bias overturning the reported result. The central element of my proposal is formal covariate benchmarking, whereby researchers choose an observed regressor (or a group of observed regressors) to benchmark the relative strength of association of the omitted regressor with the outcome variable and with the treatment variable. These relative strengths of association function as the two sensitivity parameters …
The Estimation Of Production Functions With Monetary Values,
2024
De La Salle University, Manila
The Estimation Of Production Functions With Monetary Values, Jesus Felipe, John Mccombie, Aashish Mehta
Angelo King Institute for Economic and Business Studies (AKI)
For decades, the literature on the estimation of production functions has focused on the elimination of endogeneity biases through different estimation procedures to obtain the correct factor elasticities and other relevant parameters. Theoretical discussions of the problem correctly assume that production functions are relationships among physical inputs and output. However, in practice, they are most often estimated using deflated monetary values for output (value added or gross output) and capital. This introduces two additional problems—an errors-invariables problem, and a tendency to recover the factor shares in value added instead of their elasticities. The latter problem derives from the fact that …
