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Frank Schorfheide, University of Pennsylvania

Econometrics

Thursday, October 04, 2018, 04:00pm - 05:30pm

Frank Schorfheide, University of Pennsylvania

        Abstract

 

Heterogeneity and Aggregate Fluctuations
Abstract: We specify a vector autoregressive model that stacks macroeconomic aggregates and cross-sectional distributions to provide semi-structural evidence about the interaction of aggregate and distributional dynamics. The specification of our functional VAR is motivated by a linearization of a reduced-form model in which dynamics of aggregate variables and a function of the lagged cross-sectional distribution of individual-level decisions or states, and the units (households or firms) base their decisions on lagged macroeconomic aggregates and lagged cross-sectional distributions. To make the functional VAR analysis tractable, we approximate the log-densities of the cross-sectional distributions as well as the transition kernels in the functional VARs by sieves. We apply our techniques to study the dynamics of technology shocks, per capita GDP, employment, and the earnings distribution.
Joint with Minsu Chang (Penn) and Xiaohong Chen (Yale)  

Location  NJ Hall 3rd Floor Library
Contact  Roger Klein

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