arXiv subjects

Andreas Tryphonides

Publications and source records attributed to Andreas Tryphonides.

4 recordsLinked to original sources

arXiv2020

Heterogeneity and the Dynamic Effects of Aggregate Shocks

Using a semi-structural approach, the paper identifies how heterogeneity and financial frictions affect the transmission of aggregate shocks. Approximating a heterogeneous agent model around the representative agent allocation can successfully trace the aggregate and distributional dynamics and can be consistent with alternative mechanisms. Employing Spanish macroeconomic data as well as firm and household survey data, the paper finds that frictions on both consumption and investment have rich interactions with aggregate shocks. The response of heterogeneity amplifies or dampens these effects depending on the type of the shock. Both dispersion in consumption shares and the marginal revenue product of firms, as well as the proportion of investment constrained firms are key determinants of the fiscal multiplier.

econ.GN↗

arXiv2020

Identifying Preferences when Households are Financially Constrained

This paper shows that utilizing information on the extensive margin of financially constrained households can narrow down the set of admissible preferences in a large class of macroeconomic models. Estimates based on Spanish aggregate data provide further empirical support for this result and suggest that accounting for this margin can bring estimates closer to microeconometric evidence. Accounting for financial constraints and the extensive margin is shown to matter for empirical asset pricing and quantifying distortions in financial markets.

econ.EM↗

arXiv2018

Tilting Approximate Models

Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form of conditional moments. The resulting estimator efficiently combines the information provided by the approximate law of motion and the moment conditions. The paper develops the corresponding asymptotic theory and provides simulation evidence that tilting substantially reduces the mean squared error for parameter estimates. It applies the methodology to pricing long-run risks in aggregate consumption in the US, whereas the model is solved using the Campbell and Shiller (1988) approximation. Tilting improves empirical fit and results suggest that approximation error is a source of upward bias in estimates of risk aversion and downward bias in the elasticity of intertemporal substitution.

econ.EM↗

arXiv2018

Set Identified Dynamic Economies and Robustness to Misspecification

We propose a new inferential methodology for dynamic economies that is robust to misspecification of the mechanism generating frictions. Economies with frictions are treated as perturbations of a frictionless economy that are consistent with a variety of mechanisms. We derive a representation for the law of motion for such economies and we characterize parameter set identification. We derive a link from model aggregate predictions to distributional information contained in qualitative survey data and specify conditions under which the identified set is refined. The latter is used to semi-parametrically estimate distortions due to frictions in macroeconomic variables. Based on these estimates, we propose a novel test for complete models. Using consumer and business survey data collected by the European Commission, we apply our method to estimate distortions due to financial frictions in the Spanish economy. We investigate the implications of these estimates for the adequacy of the standard model of financial frictions SW-BGG (Smets and Wouters (2007), Bernanke, Gertler, and Gilchrist (1999)).

econ.EM↗