Publications of David Berger    :chronological  alphabetical  combined listing:

%% Journal Articles   
@article{fds346279,
   Author = {Berger, D and Bocola, L and Dovis, A},
   Title = {Imperfect Risk Sharing and the Business Cycle},
   Journal = {Quarterly Journal of Economics},
   Volume = {138},
   Number = {3},
   Pages = {1765-1815},
   Publisher = {Oxford University Press (OUP)},
   Year = {2023},
   Month = {August},
   url = {http://dx.doi.org/10.1093/qje/qjad013},
   Abstract = {This article studies the macroeconomic implications of
             imperfect risk sharing implied by a class of New Keynesian
             models with heterogeneous agents. The models in this class
             can be equivalently represented as a representative-agent
             economy with wedges. These wedges are functions of
             households' consumption shares and relative wages, and they
             identify the key cross-sectional moments that govern the
             impact of households' heterogeneity on aggregate variables.
             We measure the wedges using U.S. household-level data and
             combine them with a representative-agent economy to perform
             counterfactuals. We find that deviations from perfect risk
             sharing implied by this class of models account for only 7%
             of output volatility on average but can have sizable output
             effects when nominal interest rates reach their lower
             bound.},
   Doi = {10.1093/qje/qjad013},
   Key = {fds346279}
}

@article{fds344906,
   Author = {Berger, D and Herkenhoff, K and Mongey, S},
   Title = {Labor Market Powe},
   Journal = {American Economic Review},
   Volume = {112},
   Number = {4},
   Pages = {1147-1193},
   Publisher = {American Economic Association},
   Year = {2022},
   Month = {April},
   url = {http://dx.doi.org/10.1257/aer.20191521},
   Abstract = {We develop, estimate, and test a tractable general
             equilibrium model of oligopsony with differentiated jobs and
             concentrated labor markets. We estimate key model parameters
             by matching new evidence on the relationship between
             firms’local labor market share and their employment and
             wage responses to state corporate tax changes. The model
             quantitatively replicates quasi-experimental evidence on
             imperfect productivity-wage pass-through and strategic wage
             setting of dominant employers. Relative to the efficient
             allocation, welfare losses from labor market power are 7.6
             percent, while output is 20.9 percent lower. Lastly,
             declining local concentration added 4 percentage points to
             labor’s share of income between 1977 and 2013. (JEL E25,
             H71, J24, J31, J42, R23)},
   Doi = {10.1257/aer.20191521},
   Key = {fds344906}
}

@article{fds362754,
   Author = {Berger, D and Herkenhoff, K and Huang, C and Mongey,
             S},
   Title = {Testing and reopening in an SEIR model},
   Journal = {Review of Economic Dynamics},
   Volume = {43},
   Pages = {1-21},
   Year = {2022},
   Month = {January},
   url = {http://dx.doi.org/10.1016/j.red.2020.11.003},
   Abstract = {We quantify how testing and targeted quarantine make it
             possible to reopen an economy in such a way that output
             increases while deaths are reduced. We augment a standard
             Susceptible-Exposed-Infectious-Recovered (SEIR) model with
             (i) virological testing, (ii) serological testing, (iii)
             permanently asymptomatic individuals, (iv) incomplete
             information, and (v) a reduced form behavioral response of
             reopening to changes in health risks. Virological testing
             allows for targeted quarantine of asymptotic spreaders.
             Serological testing allows for targeted release of recovered
             individuals. We fit our model to U.S. data. Virological
             tests every two weeks accommodate more aggressive reopening
             that more than halves output losses while keeping deaths
             below forecasts under the status quo. Serological tests are
             much less effective. Implementing testing against a fixed
             budget, low sensitivity tests that are cheap and used
             frequently, dominate perfect tests that are expensive and
             used less frequently.},
   Doi = {10.1016/j.red.2020.11.003},
   Key = {fds362754}
}

@article{fds344907,
   Author = {Berger, D and Milbradt, K and Tourre, F and Vavra,
             J},
   Title = {Mortgage prepayment and path-dependent effects of monetary
             policy},
   Journal = {American Economic Review},
   Volume = {111},
   Number = {9},
   Pages = {2829-2878},
   Publisher = {American Economic Association},
   Year = {2021},
   Month = {September},
   url = {http://dx.doi.org/10.1257/aer.20181857},
   Abstract = {How much ability does the Fed have to stimulate the economy
             by cutting interest rates? We argue that the presence of
             substantial debt in fixed- rate, prepayable mortgages means
             that the ability to stimulate the economy by cutting
             interest rates depends not just on their current level but
             also on their previous path. Using a household model of
             mortgage prepayment matched to detailed loan- level evidence
             on the relationship between prepayment and rate incentives,
             we argue that recent interest rate paths will generate
             substantial headwinds for future monetary
             stimuli.},
   Doi = {10.1257/aer.20181857},
   Key = {fds344907}
}

@article{fds357551,
   Author = {Herkenhoff, K and Berger, D and Mongey, S},
   Title = {Quantifying Sources of Labor Market Power},
   Year = {2020},
   Month = {December},
   Key = {fds357551}
}

@article{fds350125,
   Author = {Berger, D and Herkenhoff, K and Mongey, S},
   Title = {An SEIR Infectious Disease Model with Testing and
             Conditional Quarantine},
   Journal = {University of Chicago, Becker Friedman Institute for
             Economics Working Paper},
   Number = {2020},
   Year = {2020},
   Month = {March},
   Key = {fds350125}
}

@article{fds344915,
   Author = {Berger, D and Turner, N and Zwick, E},
   Title = {Stimulating Housing Markets},
   Journal = {Journal of Finance},
   Volume = {75},
   Number = {1},
   Pages = {277-321},
   Year = {2020},
   Month = {February},
   url = {http://dx.doi.org/10.1111/jofi.12847},
   Abstract = {We study temporary fiscal stimulus designed to support
             distressed housing markets by inducing demand from buyers in
             the private market. Using difference-in-differences and
             regression kink research designs, we find that the
             First-Time Homebuyer Credit increased home sales by 490,000
             (9.8%), median home prices by $2,400 (1.1%) per standard
             deviation increase in program exposure, and the transition
             rate into homeownership by 53%. The policy response did not
             reverse immediately. Instead, demand comes from several
             years in the future: induced buyers were three years younger
             in 2009 than typical first-time buyers. The program's
             market-stabilizing benefits likely exceeded its direct
             stimulus effects.},
   Doi = {10.1111/jofi.12847},
   Key = {fds344915}
}

@article{fds344911,
   Author = {Berger, D and Dew-Becker, I and Giglio, S},
   Title = {Uncertainty Shocks as Second-Moment News
             Shocks},
   Journal = {Review of Economic Studies},
   Volume = {87},
   Number = {1},
   Pages = {40-76},
   Publisher = {Oxford University Press (OUP)},
   Year = {2020},
   Month = {January},
   url = {http://dx.doi.org/10.1093/RESTUD/RDZ010},
   Abstract = {First version received April 2018; Editorial decision
             January 2019; Accepted February 2019 (Eds.) We provide
             evidence on the relationship between aggregate uncertainty
             and the macroeconomy. Identifying uncertainty shocks using
             methods from the news shocks literature, the analysis finds
             that innovations in realized stock market volatility are
             robustly followed by contractions, while shocks to
             forward-looking uncertainty have no significant effect on
             the economy. Moreover, investors have historically paid
             large premia to hedge shocks to realized but not implied
             volatility. A model in which fundamental shocks are skewed
             left can match those facts. Aggregate volatility matters,
             but it is the realization of volatility, rather than
             uncertainty about the future, that has been associated with
             declines.},
   Doi = {10.1093/RESTUD/RDZ010},
   Key = {fds344911}
}

@article{fds344913,
   Author = {Berger, D and Vavra, J},
   Title = {Shocks versus responsiveness: What drives time-varying
             dispersion?},
   Journal = {Journal of Political Economy},
   Volume = {127},
   Number = {5},
   Pages = {2104-2142},
   Year = {2019},
   Month = {October},
   url = {http://dx.doi.org/10.1086/701790},
   Abstract = {The dispersion of many economic variables is
             countercyclical. What drives this fact? Greater dispersion
             could arise from greater volatility of shocks or from agents
             responding more to shocks of constant size. Without data
             separately measuring exogenous shocks and endogenous
             responses, a theoretical debate between these explanations
             has emerged. In this paper, we provide novel identification
             using price data in the open-economy environment: using
             confidential BLS microdata, we document a robust positive
             relationship between exchange rate pass-through and the
             dispersion of item-level price changes. We then show that
             this relationship supports models with time-varying
             responsiveness.},
   Doi = {10.1086/701790},
   Key = {fds344913}
}

@article{fds344905,
   Author = {Berger, D and Dew-Becker, I and Schmidt, L and Takahashi,
             Y},
   Title = {Layoff Risk, the Welfare Cost of Business Cycles, and
             Monetary Policy},
   Year = {2019},
   Month = {April},
   Key = {fds344905}
}

@article{fds344908,
   Author = {Berger, D and Guerrieri, V and Lorenzoni, G and Vavra,
             J},
   Title = {House prices and consumer spending},
   Journal = {Review of Economic Studies},
   Volume = {85},
   Number = {3},
   Pages = {1502-1542},
   Year = {2018},
   Month = {July},
   url = {http://dx.doi.org/10.1093/restud/rdx060},
   Abstract = {Recent empirical work shows large consumption responses to
             house price movements. This is at odds with a prominent
             theoretical view which, using the logic of the permanent
             income hypothesis, argues that consumption responses should
             be small. We show that, in contrast to this view, workhorse
             models of consumption with incomplete markets calibrated to
             rich cross-sectional micro facts actually predict large
             consumption responses, in line with the data. To explain
             this result, we show that consumption responses to permanent
             house price shocks can be approximated by a simple and
             robust rule-of-thumb formula: the marginal propensity to
             consume out of temporary income times the value of housing.
             In our model, consumption responses depend on a number of
             factors such as the level and distribution of debt, the size
             and history of house price shocks, and the level of credit
             supply. Each of these effects is naturally explained with
             our simple formula.},
   Doi = {10.1093/restud/rdx060},
   Key = {fds344908}
}

@article{fds344909,
   Author = {Berger, D and Vavra, J},
   Title = {Dynamics of the U.S. price distribution},
   Journal = {European Economic Review},
   Volume = {103},
   Pages = {60-82},
   Year = {2018},
   Month = {April},
   url = {http://dx.doi.org/10.1016/j.euroecorev.2018.01.004},
   Abstract = {We use microdata underlying U.S. consumer, producer and
             import price indices to document how the distribution of
             price changes evolves over time. Two striking features
             characterize pricing across all three datasets: (1)
             Frequency of price adjustments is countercyclical. (2)
             Frequency of price adjustments is correlated with variance.
             Conversely, other statistics that have received recent
             attention, like kurtosis, do not exhibit uniform patterns
             across our data sets. What implications do our empirical
             results have for monetary policy? Using a flexible
             accounting framework that collapses the high-dimensional
             distribution of price changes into a single measure of
             aggregate price flexibility, we show that flexibility is
             highly variable and countercyclical.},
   Doi = {10.1016/j.euroecorev.2018.01.004},
   Key = {fds344909}
}

@article{fds344910,
   Author = {Alon, T and Berger, D and Dent, R and Pugsley, B},
   Title = {Older and slower: The startup deficit's lasting effects on
             aggregate productivity growth},
   Journal = {Journal of Monetary Economics},
   Volume = {93},
   Pages = {68-85},
   Year = {2018},
   Month = {January},
   url = {http://dx.doi.org/10.1016/j.jmoneco.2017.10.004},
   Abstract = {Declining firm entry and the aging incumbent firms have
             meaningful implications for sluggish U.S. aggregate
             productivity growth. We provide a framework to characterize
             the contributions to industry productivity growth across the
             firm age distribution then apply it to firm-level Census
             data. Several findings emerge: the relationship between firm
             age and productivity growth is downward sloping and convex;
             the magnitudes are substantial but fade quickly; selection
             and reallocation predominantly drive higher productivity
             growth of young firms. Our results suggest a cumulative drag
             on aggregate productivity of 3.1% since 1980 and are
             expanded upon with an IV strategy and standard model of firm
             dynamics.},
   Doi = {10.1016/j.jmoneco.2017.10.004},
   Key = {fds344910}
}

@article{fds344912,
   Author = {Berger, D and Dew-Becker, I and Giglio, S},
   Title = {Uncertainty Shocks as Second-Moment News
             Shocks},
   Year = {2017},
   Month = {June},
   Key = {fds344912}
}

@article{fds344914,
   Author = {Berger, D and Turner, N and Zwick, E},
   Title = {Stimulating Housing Markets},
   Year = {2016},
   Month = {December},
   Key = {fds344914}
}

@article{fds344916,
   Author = {Berger, D and Vavra, J},
   Title = {Consumption Dynamics During Recessions},
   Journal = {Econometrica},
   Volume = {83},
   Number = {1},
   Pages = {101-154},
   Year = {2015},
   Month = {January},
   url = {http://dx.doi.org/10.3982/ECTA11254},
   Abstract = {Are there times when durable spending is less responsive to
             economic stimulus? We argue that aggregate durable
             expenditures respond more sluggishly to economic shocks
             during recessions because microeconomic frictions lead to
             declines in the frequency of households' durable adjustment.
             We show this by first using indirect inference to estimate a
             heterogeneous agent incomplete markets model with fixed
             costs of durable adjustment to match consumption dynamics in
             PSID microdata. We then show that aggregating this model
             delivers an extremely procyclical Impulse Response Function
             (IRF) of durable spending to aggregate shocks. For example,
             the response of durable spending to an income shock in 1999
             is estimated to be almost twice as large as if it occurred
             in 2009. This procyclical IRF holds in response to standard
             business cycle shocks as well as in response to various
             policy shocks, and it is robust to general equilibrium.
             After estimating this robust theoretical implication of
             micro frictions, we provide additional direct empirical
             evidence for its importance using both cross-sectional and
             time-series data.},
   Doi = {10.3982/ECTA11254},
   Key = {fds344916}
}

@article{fds344918,
   Author = {Berger, D and Vavra, J},
   Title = {Volatility and Pass-Through},
   Year = {2013},
   Month = {November},
   Key = {fds344918}
}

@article{fds344919,
   Author = {Berger, D and Faust, J and Rogers, JH and Steverson,
             K},
   Title = {Border prices and retail prices},
   Journal = {Journal of International Economics},
   Volume = {88},
   Number = {1},
   Pages = {62-73},
   Year = {2012},
   Month = {September},
   url = {http://dx.doi.org/10.1016/j.jinteco.2012.02.011},
   Abstract = {We analyze retail prices and at-the-dock (import) prices of
             specific items in the Bureau of Labor Statistics' (BLS) CPI
             and IPP databases, using both databases simultaneously to
             identify items that are identical in description at the dock
             and when sold at retail. This identification allows us to
             measure the distribution wedge associated with bringing
             traded goods from the point of entry into the United States
             to their retail outlet. We find that overall U.S.
             distribution wedges are 50-70%, around 10 to 20 percentage
             points higher than that reported in the literature. We
             discuss the implications of this for measuring the size of
             the "pure" tradeables sector, exchange rate pass-through,
             and real exchange rate determination. We find that
             distribution wedges are very stable over time but there is
             considerable variation across items. There is some variation
             across the country of origin for the imported item, for our
             major trading partners, but not as much as the cross-item
             variation. We also investigate the determinants of
             distribution wedges, finding that wedges do not vary
             systematically with exchange rates, but are related to other
             features of the micro data. © 2012.},
   Doi = {10.1016/j.jinteco.2012.02.011},
   Key = {fds344919}
}

@article{fds344920,
   Author = {Berger, D and Chaboud, A and Hjalmarsson, E},
   Title = {What drives volatility persistence in the foreign exchange
             market?},
   Journal = {Journal of Financial Economics},
   Volume = {94},
   Number = {2},
   Pages = {192-213},
   Year = {2009},
   Month = {November},
   url = {http://dx.doi.org/10.1016/j.jfineco.2008.10.006},
   Abstract = {We propose a new empirical specification of volatility that
             links volatility to the information flow, measured as the
             order flow in the market, and to the price sensitivity to
             that information. The time-varying market sensitivity to
             information is estimated from high-frequency data, and
             movements in volatility can therefore be directly related to
             movements in order flow and market sensitivity. Empirically,
             the model explains a large share of the long-run variation
             in volatility. Importantly, the time variation in the
             market's sensitivity to information is at least as relevant
             in explaining the persistence of volatility as the rate of
             information arrival itself. This may be evidence of a link
             between changes over time in the aggregate behavior of
             market participants and the time-series properties of
             realized volatility.},
   Doi = {10.1016/j.jfineco.2008.10.006},
   Key = {fds344920}
}

@article{fds344921,
   Author = {Berger, DW and Faust, J and Rogers, JH and Steverson,
             K},
   Title = {Border prices and retail prices},
   Year = {2009},
   Abstract = {We analyze retail prices and at-the-dock (import) prices of
             specific items in the Bureau of Labor Statistics' (BLS) CPI
             and IPP databases, using both databases simultaneously to
             identify items that are identical in description at the dock
             and when sold at retail. This identification allows us to
             measure the distribution wedge associated with bringing
             traded goods from the point of entry into the United States
             to their retail outlet. We find that overall U.S.
             distribution wedges are 50-70%, around 10 to 20 percentage
             points higher than that reported in the literature. We
             discuss the implications of this for measuring the size of
             the "pure" tradeables sector, exchange rate pass-through,
             and real exchange rate determination. We find that
             distribution wedges are very stable over time but there is
             considerable variation across items. There is some variation
             across the country of origin for the imported item, for our
             major trading partners, but not as much as the cross-item
             variation. We also investigate the determinants of
             distribution wedges, finding that wedges do not vary
             systematically with exchange rates, but are related to other
             features of the micro data.},
   Key = {fds344921}
}

@article{fds344922,
   Author = {Berger, DW and Chaboud, AP and Chernenko, SV and Howorka, E and Wright,
             JH},
   Title = {Order flow and exchange rate dynamics in electronic
             brokerage system data},
   Journal = {Journal of International Economics},
   Volume = {75},
   Number = {1},
   Pages = {93-109},
   Year = {2008},
   Month = {May},
   url = {http://dx.doi.org/10.1016/j.jinteco.2007.10.004},
   Abstract = {We analyze the association between order flow and exchange
             rates using a new dataset representing a majority of global
             interdealer transactions in the two most-traded currency
             pairs at the one minute frequency over a six-year time
             period. This long span of high-frequency data allows us to
             gain new insights about the joint behavior of these series.
             We first confirm the presence of a substantial association
             between interdealer order flow and exchange rate returns at
             horizons ranging from 1 min to two weeks, but find that the
             association is substantially weaker at longer horizons. We
             study the time-variation of the association between exchange
             rate returns and order flow both intradaily and over the
             long term, and show that the relationship appears to be
             stronger when market liquidity is lower. Overall, our study
             supports the view that liquidity effects play an important
             role in the relationship between order flow and exchange
             rate changes. This by no means rules out a role for order
             flow as a channel by which fundamental information is
             transmitted to the market, as we show that our findings are
             quite consistent with a recent model by Bacchetta and Van
             Wincoop (2006: Can information heterogeneity explain the
             exchange rate determination puzzle? American Economic
             Review, 96, pp. 552-576.) that combines both liquidity and
             information effects. © 2007 Elsevier B.V. All rights
             reserved.},
   Doi = {10.1016/j.jinteco.2007.10.004},
   Key = {fds344922}
}

@article{fds344923,
   Author = {Berger, DW and Chaboud, AP and Hjalmarsson, E and Howorka,
             E},
   Title = {What drives volatility persistence in the foreign exchange
             market?},
   Year = {2006},
   Abstract = {We analyze the factors driving the widely-noted persistence
             in asset return volatility using a unique dataset on global
             euro-dollar exchange rate trading. We propose a new simple
             empirical specification of volatility, based on the
             Kyle-model, which links volatility to the information flow,
             measured as the order flow in the market, and the price
             sensitivity to that information. Through the use of
             high-frequency data, we are able to estimate the
             time-varying market sensitivity to information, and
             movements in volatility can therefore be directly related to
             movements in two observable variables, the order flow and
             the market sensitivity. The empirical results are very
             strong and show that the model is able to explain almost all
             of the long-run variation in volatility. Our results also
             show that the variation over time of the market's
             sensitivity to information plays at least as important a
             role in explaining the persistence of volatility as does the
             rate of information arrival itself. The econometric analysis
             is conducted using novel estimation techniques which
             explicitly take into account the persistent nature of the
             variables and allow us to properly test for long-run
             relationships in the data.},
   Key = {fds344923}
}

@article{fds344924,
   Author = {Berger, DW and Chaboud, AP and Chernenko, SV and Howorka, E and Wright,
             JH},
   Title = {Order Flow and Exchange Rate Dynamics in Electronic
             Brokerage System Data},
   Year = {2006},
   Abstract = {We analyze the association between order flow and exchange
             rates using a new dataset representing a majority of global
             interdealer transactions in the two most-traded currency
             pairs. The data consist of six years (1999-2004) of order
             flow and exchange rate data for the euro-dollar and
             dollar-yen currency pairs at the one-minute frequency from
             EBS, the electronic broking system that now dominates
             interdealer spot trading in these currency pairs. This long
             span of high-frequency data allows us to gain new insights
             about the joint behavior of these series. We first confirm
             the presence of a substantial association between
             interdealer order flow and exchange rate returns at
             frequencies ranging from one minute to one week, but, using
             our long span of data, we find that the association is
             weaker at lower frequencies, with far less long-term
             association between cumulative order flow and long-term
             exchange rate movements. We study the linearity and
             time-variation of the association between high-frequency
             exchange rate returns and order flow, and document an
             intradaily pattern to the relationship: it is weakest at
             times when markets are most active. Overall, our study tends
             to support the view that, while order flow plays a crucial
             role in high-frequency exchange rate movements, its role in
             driving long-term fluctuations is much more
             limited.},
   Key = {fds344924}
}

@article{fds344925,
   Author = {Berger, D and Caballero, RJ and Engel, EMRA},
   Title = {Missing Aggregate Dynamics: On the Slow Convergence of Lumpy
             Adjustment Models},
   Year = {2003},
   Month = {August},
   Key = {fds344925}
}


%% Chapters in Books   
@misc{fds344917,
   Author = {Berger, D and Vavra, J},
   Title = {Measuring how fiscal shocks affect durable spending in
             recessions and expansions},
   Journal = {American Economic Review},
   Volume = {104},
   Number = {5},
   Pages = {112-115},
   Year = {2014},
   Month = {January},
   url = {http://dx.doi.org/10.1257/aer.104.5.112},
   Doi = {10.1257/aer.104.5.112},
   Key = {fds344917}
}