Quantitative Economics 

About: Quantitative Economics is an academic journal published by Wiley-Blackwell. The journal publishes majorly in the area(s): Estimator & Computer science. It has an ISSN identifier of 1759-7323. It is also open access. Over the lifetime, 360 publications have been published receiving 9420 citations. The journal is also known as: QE.

Are the responses of the U.S. economy asymmetric in energy price increases and decreases

Abstract: How much does real gross domestic product (GDP) respond to unanticipated changes in the real price of oil? Commonly used censored oil price vector autoregressive models suggest a substantial decline in real GDP in response to unexpected increases in the real price of oil, yet no response to unexpected declines. We show that these estimates are invalid. Based on a structural model that encompasses both symmetric and asymmetric models as special cases, correctly computed impulse responses are of roughly the same magnitude in either direction, consistent with formal tests for symmetric responses. We discuss implications for theoretical models and for policy responses to energy price shocks.

Dating the timeline of financial bubbles during the subprime crisis

Abstract: A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets. Three relevant financial series are investigated, including a financial asset price (a house price index), a commodity price (the crude oil price), and one bond price (the spread between Baa and Aaa). Statistically significant bubble characteristics are found in all of these series. The empirical estimates of the origination and collapse dates suggest a migration mechanism among the financial variables. A bubble emerged in the real estate market in February 2002. After the subprime crisis erupted in 2007, the phenomenon migrated selectively into the commodity market and the bond market, creating bubbles which subsequently burst at the end of 2008, just as the effects on the real economy and economic growth became manifest. Our empirical estimates of the origination and collapse dates and tests of migration across markets match well with the general dateline of the crisis put forward in the recent study by Caballero, Farhi, and Gourinchas (2008a).

Analyzing social experiments as implemented: A reexamination of the evidence from the HighScope Perry Preschool Program

Abstract: Social experiments are powerful sources of information about the effectiveness of interventions. In practice, initial randomization plans are almost always compromised. Multiple hypotheses are frequently tested. “Significant” effects are often reported with p-values that do not account for preliminary screening from a large candidate pool of possible effects. This paper develops tools for analyzing data from experiments as they are actually implemented. We apply these tools to analyze the influential HighScope Perry Preschool Program. The Perry program was a social experiment that provided preschool education and home visits to disadvantaged children during their preschool years. It was evaluated by the method of random assignment. Both treatments and controls have been followed from age 3 through age 40. Previous analyses of the Perry data assume that the planned randomization protocol was implemented. In fact, as in many social experiments, the intended randomization protocol was compromised. Accounting for compromised randomization, multiple-hypothesis testing, and small sample sizes, we find statistically significant and economically important program effects for both males and females. We also examine the representativeness of the Perry study.

Estimating Ambiguity Aversion in a Portfolio Choice Experiment

Abstract: We report a laboratory experiment that enables us to estimate four prominent models of ambiguity aversion — Subjective Expected Utility (SEU), Maxmin Expected Utility (MEU), Recursive Expected Utility (REU), and α-Maxmin Expected Utility (α-MEU) — at the level of the individual subject. We employ graphical representations of three-dimensional budget sets over bundles of Arrow securities, one of which promises a unit payoff with a known probability and two with unknown (ambiguous) probabilities. The sample exhibits considerable heterogeneity in preferences, as captured through parameter estimates. Nonetheless, there exists a strong tendency to equate the demands for the securities that pay off in the ambiguous states. This feature is more easily accommodated by the α-MEU model than by the REU model.

Fragile beliefs and the price of uncertainty

Abstract: A representative consumer uses Bayes’ law to learn about parameters of several models and to construct probabilities with which to perform ongoing model averaging The arrival of signals induces the consumer to alter his posterior distribution over models and parameters The consumer’s specification doubts induce him to slant probabilities pessimistically The pessimistic probabilities tilt toward a model that puts long-run risks into consumption growth That contributes a countercyclical history-dependent component to prices of risk Keywords Learning, Bayes’ law, robustness, risk sensitivity, pessimism, prices of risk JEL classification C11, C44, C72, E44, G12