Showing 91 - 100 of 8,367
The core statistical technology in artificial intelligence is the large-scale transformer network. We propose a new asset pricing model that implants a transformer in the stochastic discount factor. This structure leverages conditional pricing information via cross-asset information sharing and...
Persistent link: https://www.econbiz.de/10015194996
Positive assortative matching refers to the tendency of individuals with similar characteristics to form partnerships. Measuring the extent to which assortative matching differs between two economies is challenging when the marginal distributions of the characteristic along which sorting takes...
Persistent link: https://www.econbiz.de/10015194999
In this paper, we provide a theoretical characterization of the welfare effects of buyer and seller power in vertical relations and introduce an empirical approach for quantifying the contributions of each channel to deadweight loss. Our model accommodates both monopsony distortions from buyer...
Persistent link: https://www.econbiz.de/10015195017
Financial repression can be used to avoid a government default when fiscal policy is constrained. We present a model showing that optimal financial repression progresses through successive stages with increasing levels of distortion. Data from advanced economies suggest that the initial stage of...
Persistent link: https://www.econbiz.de/10015195041
We propose a conformant likelihood estimator with exogeneity restrictions (CLEER) for random coefficients discrete choice demand models that is applicable in a broad range of data settings. It combines the likelihoods of two mixed logit estimators--one for consumer level data, and one for...
Persistent link: https://www.econbiz.de/10015195043
This paper reviews the debt service ratio (DSR) as a theoretically well-grounded indicator of systemic risk. The DSR has the desirable feature that it fluctuates around a stable level which makes its early warning signals easy to understand and communicate. In contrast, current early warning...
Persistent link: https://www.econbiz.de/10015171707
We argue that deep learning provides a promising avenue for taming the curse of dimensionality in quantitative economics. We begin by exploring the unique challenges posed by solving dynamic equilibrium models, especially the feedback loop between individual agents' decisions and the aggregate...
Persistent link: https://www.econbiz.de/10015145068
We develop a credit market competition model that distinguishes between the information span (breadth) and signal precision (quality), capturing the emerging trend in fintech/non-bank lending where traditionally subjective ("soft") information becomes more objective and concrete ("hard"). In a...
Persistent link: https://www.econbiz.de/10015145092
This paper studies the effect of nonlinear pricing on markups and misallocation. We develop a general equilibrium model of firms that are allowed to set a quantity-dependent pricing schedule--contrary to the typical assumption in macroeconomic models. Without the restriction to linear pricing,...
Persistent link: https://www.econbiz.de/10015145095
We present a model in which efficient long-term employment relationships are sustained by wage adjustments prompted by productivity shocks and outside job offers. These wage adjustments occur only sporadically, due to the presence of renegotiation costs. The model is amenable to analytical...
Persistent link: https://www.econbiz.de/10015145100