Calendrier du 23 mai 2024
Macroeconomics Seminar
Du 23/05/2024 de 16:00 à 17:15
PSE- 48 boulevard Jourdan, 75014 Paris, salle R1-13
LUETTICKE Ralph (University of Tübingen)
HANK's Response to Aggregate Uncertainty in an Estimated Business Cycle Model
This paper studies a HANK model with agents who respond to both idiosyncratic and aggregate uncertainty. Since aggregate uncertainty is modeled as ambiguity, it affects both the steady state and the linearized dynamics, allowing for fast computation and estimation with linear methods. The estimated model jointly fits cyclical variation in US macro aggregates and asset prices. In the presence of portfolio frictions, aggregate uncertainty shocks are a powerful driver of the business cycle, more so than idiosyncratic uncertainty shocks. Their effect is much stronger than in a representative agent model: portfolio substitution by capital owners helps fit investment and return dynamics.
TOM (Théorie, Organisation et Marchés) Lunch Seminar
Du 23/05/2024 de 12:30 à 13:45
R1-09
MARIOTTI Thomas (TSE)
The war of attrition under uncertainty: Theory and robust testable implications
We study the war of attrition with symmetric information when players’ payoffs depend on a homogeneous linear diffusion. We first show that a player’s mixed Markov strategy can be represented by an intensity measure over the state space along with a subset of the state space over which the player concedes with probability 1. We then show that, if players are asymmetric, then, in all mixed-strategy Markov-perfect equilibria, these intensity measures must be discrete, and characterize any such equilibrium through a variational system for the players’ value functions. We illustrate these findings by revisiting the standard model of exit in a duopoly under uncertainty and construct a mixed-strategy Markov-perfect equilibrium in which attrition takes place on path despite firms having different liquidation values. We show that firms’ stock prices comove negatively over the attrition zone and exhibit patterns documented by technical analysis
Travail et économie publique externe
Du 23/05/2024 de 12:30 à 13:30
PSE- 48 boulevard Jourdan, 74014 Paris, salle R1-13
DIEGERT Paul (Duke University)
The Role of Skills and Sorting in Explaining Wage Inequality
A large literature argues that technological change since the 1980s altered the demand for workers’ skills, increasing wage inequality and polarization. By estimating a model of occupational choice using panel data from the Survey of Income and Program Participation (SIPP), I find that changes in the supply of workers’ skills were also major driving factors in increasing inequality and polarization. Specifically, I find that (1) as tasks in high-skill jobs have become increasingly complex, the distribution of workers’ ability to perform those tasks has become more dispersed, (2) workers’ ability to perform low-skill work tasks has become more homogenous, and (3) workers have increasingly sorted into occupations by skill level, even if this does not maximize their income. These results suggest that skill formation has been a key channel through which long run changes in the nature of work have affected wage inequality. Finally, to obtain my estimates I prove a new identification result in a multi-dimensional potential outcome model and show how to robustly estimate it semiparametrically adapting results from mixture models.
Behavior seminar
Du 23/05/2024 de 11:00 à 12:00
R2-21
DIECIDUE Enrico (Insead)
Why Do People Discount? The Role of Impatience and Future Uncertainty
Despite the intuition that risk preferences affect intertemporal choice because the future is uncertain, time discounting is commonly regarded as a reflection of impatience. Our experimental data show that approximately 43% of the observed time discounting can be explained by an aversion against future uncertainty rather than impatience, even when controlling for utility curvature. Future uncertainty receives disproportional weight because subjects engage in subproportional probability weighting, a behavioral regularity that does not feature in the standard risk framework of most intertemporal choice models. We find that many people do not demand compensation for waiting but rather for an uncertain future