Author: Andrew T. Ching Publisher: ISBN: Category : Languages : en Pages : 56
Book Description
Understanding how forward-looking consumers respond to price promotions in storable goods markets is an important area of research in empirical marketing and industrial organization. In prior work, researchers have assumed that consumers in these markets are very forward-looking, and calibrated their weekly discount factors to levels around 0.9995. This calibration has been used because earlier research has assumed that a consumer's storage cost is a continuous function of inventory, which rules out exclusion restrictions that can be used to identify the discount factor. We show that by properly modeling storage cost as a step function of inventory (because storage cost depends on the number of packages stored, instead of the actual amount of inventory), natural exclusion restrictions arise that allow for the discount factor to be point identified. In an application to a storable good category, we find that weekly discount factors are very heterogeneous across consumers, and are on average 0.71. We show through a counterfactual exercise that if one used a model which fixed the discount factor to be consistent with the standard calibrated value, one would overpredict the effect of increased promotional depth for a product on its quantity sold by 18% in the short-term, and 15% in the long-term.
Author: Sora Chon Publisher: ISBN: Category : Macroeconomics Languages : en Pages : 69
Book Description
The dissertation explores the links between macroeconomic phenomena and monetary policy and to develop new econometric methods. In the first chapter, "Monetary Policy Rules and Macroeconomic Stability Revisited: Limited Information Approach under Identifying Restrictions, provides a new approach to limited information estimation consistent with the forward-looking monetary policy rule. Recently, the weak identification in the conventional estimation method has drawn attention to the estimation of a forward-looking monetary policy rule. This paper identified a particular range for the value of the concentration parameter, for which the generalized method of moments (GMM) suffers from the weak identification problem, while the proposed method does not. This implies that GMM estimation generates spurious weak identification in the estimation of a forward-looking monetary policy rule. The proposed approach allows us to provide stronger messages to the estimation of a forward-looking monetary policy rule. The estimation results confirm a change of monetary policy in the U.S. In the 1960-1979 sample, the policy was inactive and it did not react sufficiently to the expected deviation of inflation from its target. In contrast, under the 1979-1997 sample monetary policy actively responses to the inflation with a high degree of interest smoothing. The second chapter of the dissertation is the extension of the first chapter, "Estimation of a Time-varying Forward-looking Monetary Policy Rule: Limited Information Approach. In this chapter, I estimate a time-varying forward-looking monetary policy rule by considering a time-varying structural vector auto-regression (VAR) model for the monetary transition mechanism. Assuming that the time variation comes from the coefficients and the variance covariance matrix, I illustrate this via modeling multivariate stochastic volatility. In a foundational paper, Primiceri (2005) estimated a time-varying structural VAR with stochastic volatility after assuming monetary policy shocks to be independent of any other innovations without forward-looking variables. Because agents are assumed to be rational, monetary policy changes can be incorporated into future forecasts. Kim and Nelson (2006) used a single equation to investigate the estimation of a forward-looking monetary policy rule in relation to the forward-looking behavior of agents. To account for the endogeneity, they suggested a two-step estimation technique based on the control function approach. However, as Chon and Kim (2014) argued, the error term in instrumenting equations for forward-looking variables follows moving-average (MA) dynamics, resulting in additional information loss. Consequently, this paper illustrates that one can recover this MA structure after considering the reduced-form of the time-varying VAR; the procedure suggested in this paper resolves the possible weak identification issues. The third chapter of the dissertation is "Stock Market Reaction to Monetary Policy Changes: Identification through Heteroskedasticity with Markov-switching." This paper investigates the estimation issues surrounding the response of asset prices to monetary policy changes. Because of the simultaneous relationship between stock prices and policy decisions, and because both react to numerous other variables, estimation of the impact of stock price to monetary policy action is difficult. In this paper, I use the heteroskedastic structure of monetary policy shocks to identify stock market reactions to monetary policy changes following Rigobon and Sack (2004). Especially, in order to consider all possible sources which affect shifts in monetary policy shocks, such as the alteration of expectations about the future path of the monetary policy and a change in the timing of policy moves, I incorporate the Markov-switching framework to detect different state endogenously. The procedure proposed in this paper can reduce the potential bias caused by mis-specified timings in the shifts of monetary policy shocks and produce more precise estimate of the monetary policy actions on the stock market. Since the stock market is forward-looking, I focus on the surprised part of the policy actions within the conventional event-study framework. The empirical finding tells us that the heteroskedasticity on event day may well be a consequence of the asymmetric effects on the different types of policy actions: expansionary policy vs. contractionary policy. Also, we found that the unanticipated 25-basis point increase would decrease 1.91 percent in the S & P 500 returns.
Author: Publisher: Elsevier ISBN: 0323915140 Category : Business & Economics Languages : en Pages : 788
Book Description
Handbook of Industrial Organization, Volume Four highlights new advances in the field, with this new volume presenting interesting chapters written by an international board of expert authors. Presents authoritative surveys and reviews of advances in theory and econometrics Reviews recent research on capital raising methods and institutions Includes discussions on developing countries
Author: Ali Hortaçsu Publisher: Princeton University Press ISBN: 0691243468 Category : Business & Economics Languages : en Pages : 280
Book Description
"Within economics a relatively new way of modeling has dominated important subfields: structural modeling. The goal of this book is to give an overview on how the various streams of literatures in empirical industrial organization and quantitative marketing use structural econometric modeling to estimate the model parameters, give the economic-model-based predictions, and conduct the policy counterfactual experiments. The traditional way of modelling, called "reduced-form" builds its models from simple relationships between variables of interests, which are mostly linear. Structural econometric models start by specifying the structure of the economic model, and the variables are calibrated from real-world data. This method enables better predictions and policy counterfactuals, and has other benefits. When considering a hypothetical policy change using the traditional modeling method ("reduced form"), researchers can often only estimate whether an effect would be positive or negative. With a structural econometric model using real-world data, a researcher can obtain the magnitude of the effects resulting from a hypothetical change. But the ability of quantifying the effects associated with a hypothetical policy change comes with its costs: the nonlinearity from explicitly specifying the possible relationships makes the structural econometric approach generally much more difficult to implement than its reduced-form counterpart. Therefore this book will provide a much-needed resource on how to use these methods effectively in the fields in which they been used the most, empirical industrial organization and quantitative marketing"--
Author: Matthew Shum Publisher: World Scientific ISBN: 981310967X Category : Business & Economics Languages : en Pages : 154
Book Description
Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.
Author: Kenneth Train Publisher: Cambridge University Press ISBN: 0521766559 Category : Business & Economics Languages : en Pages : 399
Book Description
This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Author: Stephane Hess Publisher: Edward Elgar Publishing ISBN: 1800375638 Category : Business & Economics Languages : en Pages : 797
Book Description
This thoroughly revised second edition Handbook provides an authoritative and in-depth overview of choice modelling, covering essential topics range from data collection through model specification and estimation to analysis and use of results. It aptly emphasises the broad relevance of choice modelling when applied to a multitude of fields, including but not limited to transport, marketing, health and environmental economics.
Author: Nathan Balke Publisher: Emerald Group Publishing ISBN: 1781903069 Category : Business & Economics Languages : en Pages : 480
Book Description
This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy
Author: Amy Finkelstein Publisher: Columbia University Press ISBN: 0231538685 Category : Medical Languages : en Pages : 161
Book Description
Addressing the challenge of covering heath care expenses—while minimizing economic risks. Moral hazard—the tendency to change behavior when the cost of that behavior will be borne by others—is a particularly tricky question when considering health care. Kenneth J. Arrow’s seminal 1963 paper on this topic (included in this volume) was one of the first to explore the implication of moral hazard for health care, and Amy Finkelstein—recognized as one of the world’s foremost experts on the topic—here examines this issue in the context of contemporary American health care policy. Drawing on research from both the original RAND Health Insurance Experiment and her own research, including a 2008 Health Insurance Experiment in Oregon, Finkelstein presents compelling evidence that health insurance does indeed affect medical spending and encourages policy solutions that acknowledge and account for this. The volume also features commentaries and insights from other renowned economists, including an introduction by Joseph P. Newhouse that provides context for the discussion, a commentary from Jonathan Gruber that considers provider-side moral hazard, and reflections from Joseph E. Stiglitz and Kenneth J. Arrow. “Reads like a fireside chat among a group of distinguished, articulate health economists.” —Choice
Author: Publisher: North Holland ISBN: 0444637591 Category : Business & Economics Languages : en Pages : 632
Book Description
Handbook of the Economics of Marketing, Volume One: Marketing and Economics mixes empirical work in industrial organization with quantitative marketing tools, presenting tactics that help researchers tackle problems with a balance of intuition and skepticism. It offers critical perspectives on theoretical work within economics, delivering a comprehensive, critical, up-to-date, and accessible review of the field that has always been missing. This literature summary of research at the intersection of economics and marketing is written by, and for, economists, and the book's authors share a belief in analytical and integrated approaches to marketing, emphasizing data-driven, result-oriented, pragmatic strategies. Helps academic and non-academic economists understand recent, rapid changes in the economics of marketing Designed for economists already convinced of the benefits of applying economics tools to marketing Written for those who wish to become quickly acquainted with the integration of marketing and economics
Author: Andrew T. Ching
Author: Sora Chon
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Author: Ali Hortaçsu
Author: Matthew Shum
Author: Kenneth Train
Author: Stephane Hess
Author: Nathan Balke
Author: Amy Finkelstein
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