Bundesbank Guest Professor Frank Schorfheide will be the speaker of the Research Seminar in Economics. Professor Schorfheide will present the research paper "Heterogeneity and Aggregate Fluctuations" on Thursday, May 31, 12.15 pm - 13.45 pm in Room 202 (Kaminzimmer) at Boltzmannstraße 20, 14195, Berlin.

Abstract: We specify a vector autoregressive model that stacks macroeconomic aggregates and cross-sectional distributions to provide semi-structural evidence about the interaction of aggregate and distributional dynamics. The specification of our functional VAR is motivated by a linearization of a reduced-form model in which dynamics of aggregate variables and a function of the lagged cross-sectional distribution of individual-level decisions or states, and the units (households or firms) base their decisions on lagged macroeconomic aggregates and lagged cross-sectional distributions. To make the functional VAR analysis tractable, we approximate the log-densities of the cross-sectional distributions as well as the transition kernels in the functional VARs by sieves. We apply our techniques to study the dynamics of technology shocks, per capita GDP, employment, and the earnings distribution.
Joint with Minsu Chang (Penn) and Xiaohong Chen (Yale)

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