Research

Publications

[Online Appendix, Software, CREATES WP (2022)]

Working papers 

[arXiv:2403.08753]
Abstract: When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the dynamic causal effects. However, if these volatility shifts are properly incorporated into the analysis through (testable) "stability restrictions", we demonstrate that the target IRFs are point-identified and can be estimated consistently under a necessary and sufficient rank condition. If the shifts in volatility are sufficiently informative, standard asymptotic inference remains valid even with (i) local-to-zero covariance between the proxies and the instrumented structural shocks, and (ii) potential failures of instrument exogeneity. Intuitively, shifts in volatility act similarly to strong instruments that are correlated with both the target and non-target shocks. We illustrate the effectiveness of our approach by revisiting a seminal fiscal proxy-SVAR for the US economy. We detect a sharp change in the size of the tax multiplier when the narrative tax instrument is complemented with the decline in unconditional volatility observed during the transition from the Great Inflation to the Great Moderation. The narrative tax instrument contributes to identify the tax shock in both regimes, despite our empirical analysis raises concerns about its "statistical" validity. 
[latest version]
Abstract: Individuals vary in their attention to news. Building on theories of imperfect information, we propose a novel method to uncover the distribution of attention in surveys of consumers and professional forecasters. We develop a finite mixture model to cluster forecasts according to their attention, which is robust to forecast rounding and non-adjustment. Our results reveal substantial attention heterogeneity in survey data, showing that ignoring this heterogeneity can underestimate average inattention. By constructing a panel of individual attention measures, we provide new insights into the drivers of attention from within-individual variations. Finally, we discuss the theoretical implications of our findings. 
[latest version, SSRN id:3911041]
Abstract: This paper introduces a novel approach for estimating  heterogeneous-agent macroeconomic models adding information from micro data. The methodology applies to both panels and repeated cross sections, with applications to a wide class of dynamic structural models used in macroeconomics. The routine involves the estimation of dynamic moments over subgroups of the cross-sectional dimension of agents. Micro moments differ from each other in the informative content that they carry for point estimation of the structural parameters. For instance, variability of moments over the cross-sectional distribution of households' wealth contain relevant information for the correct estimation of the subjective discount rate. However, data from the cross section are not relevant for the identification of a technology shock. 
[latest version]
Abstract: We document the effects  of uncertainty shocks on firm-level employment of high- and low-skilled labor. To investigate the potential effects of uncertainty on employment growth, we use that different industries are differentially exposed to a number of aggregate shocks. We use this fact to identify industry-specific uncertainty shocks. We show that while  low-skilled labor growth is negatively affected by uncertainty shocks on impact, high-skill labor growth is not. Our dynamic approach shows that high-skill labor falls with a lag. Low-skilled labor shows similar dynamics, with the effect of uncertainty being strongest one year after impact.  Our results highlight that the labor misallocation effects ascribed to uncertainty shocks seem to affect low-skilled labor most and that there is persistence in the effects. We contextualize our empirical findings within a heterogeneous firm model with high- and low-skill labor inputs and heterogenous labor adjustment costs.

Work in progress

Dissertation