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TOPIC:
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HETEROGENEITY AND AGGREGATE FLUCTUATIONS
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ABSTRACT
We develop a state-space model with a state-transition equation that takes the form of a functional vector autoregression and stacks macroeconomic aggregates and a cross-sectional density. The measurement equation captures the error in estimating log densities from repeated cross-sectional samples. The log densities and the transition kernels in the law of motion of the states are approximated by sieves, which leads to a finite-dimensional representation in terms of macroeconomic aggregates and sieve coefficents. We use this model to study the joint dynamics of technology shocks, per capita GDP, employment rates, and the earnings distribution. We find that the estimated spillovers between aggregate and distributional dynamics are generally small, a positive technology shock tends to decrease inequality, and a shock that raises the inequality of earnings leads to a small but not significant increase in GDP.
Keywords: Bayesian Model Selection, Econometric Model Evaluation, Earnings Distribution, Functional Vector Autoregressions, Heterogeneous Agent Models, State-space Model, Technology Shocks
JEL Codes: C11, C32, C52, E32
Click here to view the paper.
Click here to view the CV.
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This seminar will be held virtually via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 24 September 2021.
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PRESENTER
Frank Schorfheide
University of Pennsylvania
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RESEARCH FIELDS
Econometrics
Macroeconomics
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DATE:
27 September 2021 (Monday)
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TIME:
2.00pm - 3.30pm
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