Monday, September 9, 2019

Environmental and Energy Policy and the Economy

The first volume from last May's NBER meeting is forthcoming; see  Marvelously, the meetings and volumes will be ongoing annually.  See below for the 2020 CFP.  Note that submissions from non-NBER researchers are welcome.

NBER Call for Papers / Proposals
2nd Annual NBER Environmental and Energy Policy and the Economy Conference

Dear Researchers,
We are seeking papers or proposals for the second annual NBER conference/publication on Environmental and Energy Policy and the Economy. We will accept six papers for presentation at the National Press Club in Washington, D.C. on May 21, 2020. The audience will include the professional staffs of government agencies, research institutions, and NGOs focused on energy and environmental policy. The contributed papers will then be published in an annual volume by the University of Chicago Press.
To view last year?s agenda and papers for the forthcoming volume, please click 
Papers should be relevant to current policy debates and accessible to a professional audience, yet following standard NBER protocol, they should avoid making policy recommendations. While standalone projects are specifically encouraged, we also welcome spinoff projects where authors intend to later submit a more extensive or technical version to a journal, or may have already done so. While no paper should be a duplicate of another paper, alternate versions that put results into a more general, policy relevant context and summarize them in more accessible language are encouraged. This is a great opportunity to communicate research to the policy community.
Submissions should be either complete papers or 2-3 page abstracts outlining the intended contribution. Submissions are due by October 14, 2019, and can be uploaded at
Submissions from researchers who are not affiliated with the NBER, and from researchers who are from groups that have been historically under-represented in the economics profession, are welcome. The authors of each paper will share an $8,000 honorarium.
Decisions about accepted papers will be made by mid-November. Complete drafts of papers will be due in early April 2019.
We look forward to hearing from you.
Matthew Kotchen
James Stock
Catherine Wolfram

"Economics of Climate Change" Conference

Between the earlier Milan Climate Econometrics meeting (here) and this upcoming November FRBSF meeting (program now available, below), there's a lot of new and stimulating work.  Really nice.

 The Economics of Climate Change
Federal Reserve Bank San Francisco
Janet Yellen Conference Center
November 8, 2019
8:00 a.m. Continental Breakfast
8:45 a.m. Introduction: Mary C. Daly, President, Federal Reserve Bank of San Francisco
9:00 a.m. Session Chair: Glenn D. Rudebusch, Federal Reserve Bank of San Francisco
Labor Supply in a Warmer World: The Impact of Climate Change on the Global Workforce
Presenter: Solomon Hsiang, University of California, Berkeley
Discussant: David Card, University of California, Berkeley
Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis
Presenter: M. Hashem Pesaran, University of Southern California
Discussant: Francis X. Diebold, University of Pennsylvania
10:15 a.m. Break
10:45 a.m. Session Chair: Galina B. Hale, Federal Reserve Bank of San Francisco
Integrated Assessment in a Multi-region World with Multiple Energy Sources and Endogenous Technical Change
Presenter: Conny Olovsson, Central Bank of Sweden (Sveriges Riksbank)
Discussant: Larry Karp, University of California, Berkeley
On the Implications of Pollution for the Measurement of Output, Volatility, and the Natural Interest Rate
Presenter: Nicholas Z. Muller, Carnegie Mellon University
Discussant: Karen Fisher-Vanden, Penn State University
Noon Lunch – Market Street Dining Room, 4th Floor
1:00 p.m. Session Chair: Sylvain Leduc, Federal Reserve Bank of San Francisco
Climate Change Risk
Presenter: Dana Kiku, University of Illinois
Discussant: Michael Bauer, Federal Reserve Bank of San Francisco
Carbon Risk
Presenter: Ryan Riordan, Queens University
Discussant: Harrison Hong, Columbia University
2:15 p.m. Break
2:45 p.m. Session Chair: Òscar Jordà, Federal Reserve Bank of San Francisco
A Run on Oil: Climate Policy, Stranded Assets, and Asset Prices
Presenter: Michael Barnett, Arizona State University
Discussant: Robert Ready, University of Oregon
The Environmental Bias of Trade Policy
Presenter: Joseph S. Shapiro, University of California, Berkeley
Discussant: Katheryn Russ, University of California, Davis
4:00 p.m. Break
4:30 p.m. Session Chair: Glenn D. Rudebusch, Federal Reserve Bank of San Francisco
The Macro Effects of Anticipating Climate Policy
Presenter: Stephie Fried, Arizona State University
Discussant: Tony Smith, Yale University
Climate Change: Macroeconomic Impact and Implications for Monetary Policy
Presenter: Sandra Batten, Bank of England
Discussant: Warwick McKibbin, Australian National University
5:45 p.m. Reception – Market Street Salon, 4th Floor
6:30 p.m. Dinner – Market Street Dining Room, 4th Floor
Introduction: Mary C. Daly, President, Federal Reserve Bank of San Francisco
Speaker: Frank Elderson, Member of the Governing Board, Netherlands Central Bank (De Nederlandsche Bank, DNB) and Chairman, Network for Greening the Financial System (NGFS)

Wednesday, September 4, 2019

Empirical Macro Workshop

Nice program.  Click below for slides.

16th Workshop on Methods and Applications for Dynamic Stochastic General Equilibrium Models

Authors Please upload your paper and slides here.
Jesús Fernández-Villaverde, Frank Schorfheide, Keith Sill, and Giorgio Primiceri, Organizers
October 4-5, 2019
Federal Reserve Bank of Philadelphia
Friday, October 4
8:30 am
Continental Breakfast
9:00 am
Jeffrey R. Campbell, Federal Reserve Bank of Chicago
Filippo Ferroni, Federal Reserve Bank of Chicago
Jonas Fisher, Federal Reserve Bank of Chicago
Leonardo Melosi, Federal Reserve Bank of Chicago
The Limits of Forward Guidance
Discussant:Kristoffer Nimark, Cornell University
10:00 am
10:30 am
Andrew Foerster, Federal Reserve Bank of San Francisco
Andreas Hornstein, Federal Reserve Bank of Richmond
Pierre-Daniel Sarte, Federal Reserve Bank of Richmond
Mark W. Watson, Princeton University and NBER
Aggregate Implications of Changing Sectoral Trends
Discussant:André Kurmann, Drexel University
11:30 am
Christian Matthes, Federal Reserve Bank of Richmond
Felipe Schwartzman, Federal Reserve Bank of Richmond
What Do Sectoral Dynamics Tell Us About the Origins of Business Cycles?
Discussant:Hikaru Saijo, University of California at Santa Cruz
12:30 pm
2:00 pm
Keynote Presentation by Michael Woodford, Columbia University and NBER
3:00 pm
3:30 pm
Preston Mui, University of California at Berkeley
Benjamin Schoefer, University of California at Berkeley
The Aggregate Labor Supply Curve at the Extensive Margin: A Reservation Wedge Approach
Discussant:Sergio C. Salgado Ibanez, University of Pennsylvania
4:30 pm
Alexander W. Richter, Federal Reserve Bank of Dallas
Nathaniel A. Throckmorton, William & Mary
Oliver de Groot, University of St Andrews
Valuation Risk Revalued
Discussant:Winston Wei Dou, University of Pennsylvania
5:30 pm
Adjourn and Reception
Saturday, October 5
5:30 am
Continental Breakfast
9:00 am
Gerald Carlino, Federal Reserve Bank of Philadelphia
Thorsten Drautzburg, Federal Reserve Bank of Philadelphia
Robert P. Inman, University of Pennsylvania and NBER
Nicholas Zarra, New York University
Partisan Politics in Fiscal Unions: Evidence from U.S. States
Discussant:Karel Mertens, Federal Reserve Bank of Dallas
10:00 am
10:30 am
Bertille Antoine, Simon Fraser University
Lynda Khalaf, Carleton University
Maral Kichian, University of Ottawa
Zhenjiang Lin, The University of Nottingham Ningbo China
Simulation Based Matching Inference with Applications to DSGE Models
Discussant:Simon Freyaldenhoven, Federal Reserve Bank of Philadelphia
11:30 am
Sophocles Mavroeidis, University of Oxford
Testing for Multiplicity of Equilibria in a Low Interest Rate Environment
Discussant:Mikkel Plagborg-Møller, Princeton University
12:30 pm
Adjourn and Lunch

Monday, September 2, 2019

Hello Again, and More

Sorry my friends, both for being AWOL and for not responding to your kind inquiries in that regard. I took some time off to start some new things in climate econometrics, and simultaneously to introspect. Glad to say I'm back for the duration.

Check out the papers from the fourth annual climate econometrics meeting, which just ended, here. More than fifty papers in two days! Is it selfless generosity or unbridled cruelty? Perhaps a little of both. But seriously, something's happening here.

Monday, May 20, 2019

Climate Change Heterogeneity

One can only go so far in climate econometrics studying time series like the proverbial "global average temperature", just as one can only go so far in macroeconomics with the proverbial "representative agent".  Disaggregation will be key to additional progress, as different people in different places experience different climate "treatments" and different economic outcomes.  The impressive new paper below begins to confront the massive tasks of data collection, manipulation, analysis, and visualization, in the context of a disaggregated analysis of the effects of temperature change on aggregate output.

"Climatic Constraints on Aggregate Economic Output", by Marshall Burke and Vincent Tanutama, NBER Working Paper No. 25779, 2019.

Abstract:  Efficient responses to climate change require accurate estimates of both aggregate damages and where and to whom they occur. While specific case studies and simulations have suggested that climate change disproportionately affects the poor, large-scale direct evidence of the magnitude and origins of this disparity is lacking. Similarly, evidence on aggregate damages, which is a central input into the evaluation of mitigation policy, often relies on country-level data whose accuracy has been questioned. Here we assemble longitudinal data on economic output from over 11,000 districts across 37 countries, including previously nondigitized sources in multiple languages, to assess both the aggregate and distributional impacts of warming temperatures. We find that local-level growth in aggregate output responds non-linearly to temperature across all regions, with output peaking at cooler temperatures (<10°C) than estimated in earlier country analyses and declining steeply thereafter. Long difference estimates of the impact of longer-term (decadal) trends in temperature on income are larger than estimates from an annual panel model, providing additional evidence for growth effects. Impacts of a given temperature exposure do not vary meaningfully between rich and poor regions, but exposure to damaging temperatures is much more common in poor regions. These results indicate that additional warming will exacerbate inequality, particularly across countries, and that economic development alone will be unlikely to reduce damages, as commonly hypothesized. We estimate that since 2000, warming has already cost both the US and the EU at least $4 trillion in lost output, and tropical countries are >5% poorer than they would have been without this warming.

Monday, May 13, 2019

Understanding the Bad News for IV Estimation

In an earlier post I discussed Alwyn Young's bad news for IV estimation, obtained by Monte Carlo. Immediately thereafter, Narayana Kocherlakota sent his new paper, "A Near-Exact Finite Sample Theory for an Instrumental Variable Estimator", which provides complementary analytic insights. Really nice stuff.

Monday, April 15, 2019

Hedging Realized vs. Expected Volatility

Not all conferences can be above average, let alone in the extreme right tail of the distribution, so it's wonderful when it happens, as with last week's AP conference. Fine papers all -- timely, thought provoking, and empirically sophisticated.  Thanks to Jan Eberly and Konstantin Milbradt for assembling the program, here (including links to papers). 

I keep thinking about the Dew-Becker-Giglio-Kelly paper. For returns r, they produce evidence that (1) investors are willing to pay a lot to insure against movements in realized volatility, r^2_{t}, but (2) investors are not willing to pay to insure against movements in expected future realized volatility (conditional variance), E_t(r^2_{t+1} | I_t). On the one hand, as a realized volatility guy I'm really intrigued by (1). On the other hand, it seems hard to reconcile (1) and (2), a concern that was raised at the meeting. On the third hand, maybe it's not so hard.  Hmmm...

Wednesday, April 10, 2019

Bad News for IV Estimation

Alwyn Young has an eye-opening recent paper, "Consistency without Inference: Instrumental Variables in Practical Application".  There's a lot going on worth thinking about in his Monte Carlo:  OLS vs. IV; robust/clustered s.e.'s vs. not; testing/accounting for weak instruments vs. not; jacknife/bootstrap vs. "conventional" inference; etc.  IV as typically implemented comes up looking, well, dubious.

Alwyn's related analysis of published studies is even more striking.  He shows that, in a sample of 1359 IV regressions in 31 papers published in the journals of the American Economic Association,
"... statistically significant IV results generally depend upon only one or two observations or clusters, excluded instruments often appear to be irrelevant, there is little statistical evidence that OLS is actually substantively biased, and IV confidence intervals almost always include OLS point estimates." 

Perhaps the high leverage is Alwyn's most striking result, particularly as many empirical economists seem to have skipped class on the day when leverage assessment was taught.  Decades ago, Marjorie Flavin attempted some remedial education in her 1991 paper, "The Joint Consumption/Asset Demand Decision: A Case Study in Robust Estimation".  She concluded that
"Compared to the conventional results, the robust instrumental variables estimates are more stable across different subsamples, more consistent with the theoretical specification of the model, and indicate that some of the most striking findings in the conventional results were attributable to a single, highly unusual observation." 
Sound familiar?  The non-robustness of conventional IV seems disturbingly robust, from Flavin to Young.

Flavin's paper evidently fell on deaf ears and remains unpublished. Hopefully Young's will not meet the same fate.

Monday, April 8, 2019

Identification via the ZLB and More

Sophocles Mavroeidis at Oxford has a very nice paper on using the nominal interest rate zero lower bound (ZLB) to identify VAR's.  Effectively, hitting the ZLB is a form of (endogenous) structural change that can be exploited for identification.  He has results showing whether/when one has point identification, set identification, or no identification. Really good stuff.

An interesting question is whether there may be SETS of bounds that may be hit. Suppose so, and suppose that we don't know whether/when they'll be hit, but we do know that if/when one bound is hit, all bounds are hit. An example might be nominal short rates in two countries with tightly-integrated money markets.

Now recall the literature on testing for multivariate structural change, which reveals large power increases in such situations (Bai, Lumsdaine and Stock). In Sophocles' case, it suggests the potential for greatly sharpened set ID.  Of course it all depends on the truth/relevance of my supposition...