Updates

Luke Taylor and are going to organize a second summer school in structural estimation August 5-8, 2019 at Ross. In 2017, we taught the mechanics of estimation, conveyed the important conceptual issues involved with estimation, and reviewed the literature. We expect the structure to be similar to the 2017 school, which you can find at this website. The new website will be up and running soon.

Here is a LINK to an FMA talk based on my RCFS paper on identification versus causality.

Yifei Wang, Yufeng Wu, Kairong Xiao, and I are trying to quantify the relevant importance of different channels of monetary policy transmission. We find that market power and bank capital matter a great deal. As you can see in the plot below, the two channels interact to create a reversal rate, below which cuts in the Federal Funds rate can contract bank lending. The whole paper is here.

Data

Stephen Terry, Nastia Zakolyukina, and I are trying to figure out whether asymmetric information is costly. In the picture, we find that managers cut R&D around times when they have to restate their books. We estimate that these deviations of actual from optimal investment are quite costly. The paper is here.

Data

Xiaodan Gao, Na Zhang, and I found a robust hump-shaped relation between corporate cash and interest rates. These plots from the paper show the empirical relation (left) and the relation that emerges from a dynamic model of liquid asset accumulation (right).

DataModel

Jake Zhao and I are trying to measure inefficiences in the cross sectional distribution of debt and equity. The picture below from the paper says it all. A lot of heat on the 45 degree line indicates efficiency. Compare the United States and China.

USheatChinaheat

The Erickson-Whited high-order moment estimators have been superceded by high-order cumulant estimators. They are asymptotically equivalent to the moment estimators but they have closed form solutions. You can read about them here. We have a Stata module that can implement these estimators. It can be found here.

Instructional Links

Survey of Dynamic Models and Structural Estimation in Corporate Finance


Survey of Endogeneity in Empirical Corporate Finance


Nontechnical lecture slides on structural estimation at the 2011 FMA.


Technical lecture slides on structural estimation at the 2010 FMA.


Technical lecture video on structural estimation at the 2010 FMA.


 
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