Der Bundesbank Gastprofessor Frank Schorfheide von der Pennsylvania University wird einen Vortrag im Rahmen des  Research Seminar in Economics halten. Er wird sein Forschungspapier "Heterogeneity and Aggregate Fluctuations", welches er zusammen mit Minsu Chang (Penn) und Xiaohong Chen (Yale) verfasste, am Donnerstag, den 31 Mai, von 12:15-13:45 Uhr im Raum 202 (Kaminzimmer), Boltzmannstr. 20, vorstellen.

Abstract

We specify a vector autoregressive model that stacks macroeconomic aggregates and cross-sectional distributions to provide semi-structural evidence about the interaction of aggregate and distributional dynamics. The specification of our functional VAR is motivated by a linearization of a reduced-form model in which dynamics of aggregate variables and a function of the lagged cross-sectional distribution of individual-level decisions or states, and the units (households or firms) base their decisions on lagged macroeconomic aggregates and lagged cross-sectional distributions. To make the functional VAR analysis tractable, we approximate the log-densities of the cross-sectional distributions as well as the transition kernels in the functional VARs by sieves. We apply our techniques to study the dynamics of technology shocks, per capita GDP, employment, and the earnings distribution.

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