Christian Roerig

This article proposes a flexible framework to identify state-dependent effects of macroeconomic policies. In the literature, it is common to either estimate constant policy effects or introduce state-dependency in a parametric fashion. This, however, demands prior assumptions about the functional form. Our new method allows to identify state-dependent effects and possible interactions in a data-driven way. Specifically, we estimate heterogeneous policy effects using semi-parametric varying-coefficient models in an otherwise standard VAR structure. While keeping a parametric reduced form for interpretability and efficiency, we estimate the coefficients as functions of modifying macroeconomic variables, using random forests as the underlying non-parametric estimator. Simulation studies show that this method correctly identifies multiple states even for relatively small sample sizes. To further validate our method, we apply the semi-parametric framework to the historical data set by Ramey & Zubairy (2018) and offer a more granular perspective on the dependence of the fiscal policy efficacy on unemployment and interest rates.

Using a unique dataset covering the universe of Portuguese firms and their credit situation we show that financially constrained firms are found across the entire firm size distribution, account for a larger total asset share compared to standard heterogeneous firms models, and exhibit a higher cyclical sensitivity, conditional on size. In light of these findings we reassess the importance of the firm distribution in shaping aggregate outcomes in the canonical model of heterogeneous firms with financial frictions. We augment the productivity process with ex-ante heterogeneity of firms, allowing us to match the distribution of constrained firms conditional on size. This, together with the fact that constrained firms have a higher capital elasticity, leads to up to four times larger aggregate fluctuations and capital misallocation.

This paper studies a firm's joint decision to innovate and become a multinational, and what it implies for productivity at home. Using panel data of Spanish firms with detailed information on both their innovation and international activities, we show that innovation is a lumpy and disruptive process: it occurs sporadically and is followed by an immediate drop in sales growth. We incorporate this technological feature into a continuous-time stochastic model of the firm, which endogenously decides if and when to expand internationally. Through the lens of this model, we quantify the impact of foreign investment on the innovation decision at the headquarter firm, and the transfer of the headquarter's productivity to the affiliated foreign unit. We find that the option to become a multinational increases the productivity of the domestic headquarter firm by 16%.

Using primary data from Brazil collected from 2019-2020, we aim to quantify the link between religion, expectations and economic outcomes. The survey data suggest that religious communities act as a source of informal insurance. Individuals appear to invest more in their religious communities if they can also expect various forms of community support. Particularly, when offered support to find a job, their perceived likelihood of finding a job increases. The degree of this insurance channel varies across different religions and is highest for Pentecostals. Furthermore, we build a theoretical life-cycle heterogeneous agents model and calibrate it to the data. The structural model identifies the job support channel as a by-product of coordinated beliefs in the afterlife.

A common modeling tool — and a popular narrative — used to explain the financial crisis of 2008-2010 is a sudden increase in the desire to save. Such "marginal propensity to save" (MPS) shocks can be triggered by, for instance, a rise in uncertainty surrounding the economic climate, and depress interest rates, inflation, and generally cause an economic contraction. This paper uses the long-run properties arising from MPS shocks in both exogenous- and endogenous growth models with sticky prices in order to identify their causal effect on output. We find that time series data from the United States is strongly supportive of the notion that MPS shocks indeed have a causal, and contractionary, effect on economic activity, lending support to the most common approach of studying the financial crisis.

The standard textbook New Keynesian model relies on counter-cyclical profits for monetary policy to have an effect. This paper first tests this hypothesis by adding oligopolistic competition and static free entry to an otherwise standard NK model. Including search and matching frictions to the labour market breaks the result of money neutrality despite free entry of firms. Beyond that, the model is further augmented to accommodate firm heterogeneity and dynamic entry to investigate how the market structure affects the propagation of monetary policy shocks. The findings are threefold: First, through the channel of oligopolistic competition, heterogeneity in firms' productivity leads to pro-cyclical profits for lower levels of wage rigidity compared to the homogeneous case. Second, firm heterogeneity increases the response in aggregate output. Third, dynamic entry is further enhancing this effect, yet the strengthening of competition has a negative impact on firms' profits. Local projections using Compustat firm-level data and Romer & Romer (2004) monetary policy shocks support the predictions of the theoretical model.