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宏观经济信念的分布形态AI 解读

Macroeconomic expectations are usually observed through point forecasts or through asset prices whose mapping into beliefs is model-dependent. This paper uses prediction-market prices to recover high-frequency distributions of short-run macroeconomic beliefs. We construct a panel of Kalshi-implied distributions for CPI and core CPI releases by converting adjacent threshold contracts into probability mass over inflation outcomes. The data reveal market-implied means,…

无效代理变量与波动变化AI 解读

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…

弱代理变量下 proxy-SVAR 的识别与检验策略AI 解读

When proxies (external instruments) used to identify target structural shocks are weak, inference in proxy-SVARs (SVAR-IVs) is nonstandard and the construction of asymptotically valid confidence sets for the impulse responses of interest requires weak-instrument robust methods. In the presence of multiple target shocks, test inversion techniques require extra restrictions on the proxy-SVAR parameters other those implied by the proxies that may be difficult to interpret and…

时变泊松自回归AI 解读

In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time series of counts. {We show that the score-driven framework is particularly suitable to recover the evolution of time-varying parameters and provides the required flexibility to model and forecast time series of counts characterized by convoluted nonlinear dynamics and structural breaks.} We study the…