Research

Job Market Paper

Identifying Macro Shocks from Micro Evidence: A Mixed-Autoregressive Approach (Draft coming soon)

This paper develops a methodology to identify aggregate shocks by exploiting heterogeneous direct (partial equilibrium) effects estimated from microeconometric research designs. The total effect of a shock consists of direct and indirect (general equilibrium) effects, but microeconometric tools typically do not capture the latter. Our framework builds on a time-series econometric model that incorporates both aggregate variables and functional observations, such as cross-sectional densities. We show how direct effects can be used as identification restrictions to recover the total effect. We apply our approach to compare the effects of lump-sum and targeted stimulus transfer policies on aggregate outcomes and consumption inequality.

Best Young Scholar Award at the International Symposium on Econometric Theory and Applications (SETA) 2024

This paper proposes regime-switching state space models with feedback from lagged continuous state variables to regime formation. Regime transition probabilities implied from such a regime rule can be incorporated into the Kalman filter with regime-switching coefficients. It is shown that the truncation step introduced in the filter to circumvent the path dependence problem has an asymptotically negligible impact on the resulting log likelihood. Consistency of the maximized likelihood estimator can be established as well. Two simulation exercises confirm the finite sample performance of the filter. I then study the monetary-fiscal policy mix using the regime-switching DSGE model with the proposed regime determination rule to achieve a better forecasting performance, especially around the time when a regime change is likely.

Estimating The Missing Intercept (with Christian Matthes and Felipe Schwartzman)

Cross-sectional data have proven to be increasingly useful for macroeconomic research. However, their use often leads to the ‘missing intercept’ problem in which aggregate general equilibrium effects and policy responses are absorbed into fixed effects. We present a statistical approach to jointly estimate aggregate and idiosyncratic effects within a panel framework, leveraging identification strategies coming from both cross-sectional or time-series settings. We then apply our methodology to study government spending multipliers (Nakamura and Steinsson, 2014) and wealth effects from stock returns (Chodorow-Reich et al., 2021).