NBER Publications by Christopher Palmer

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September 2016How Quantitative Easing Works: Evidence on the Refinancing Channel
with Marco Di Maggio, Amir Kermani: w22638
Despite massive large-scale asset purchases (LSAPs) by central banks around the world since the global financial crisis, there is a lack of empirical evidence on whether and how these programs affect the real economy. Using rich borrower-linked mortgage-market data, we document that there is a “flypaper effect” of LSAPs, where the transmission of unconventional monetary policy to interest rates and (more importantly) origination volumes depends crucially on the assets purchased and degree of segmentation in the market. For example, QE1, which involved significant purchases of GSE-guaranteed mortgages, increased GSE-eligible mortgage originations significantly more than the origination of GSE-ineligible mortgages. In contrast, QE2's focus on purchasing Treasuries did not have such different...
March 2015IV Quantile Regression for Group-level Treatments, with an Application to the Distributional Effects of Trade
with Denis Chetverikov, Bradley Larsen: w21033
We present a methodology for estimating the distributional effects of an endogenous treatment that varies at the group level when there are group-level unobservables, a quantile extension of Hausman and Taylor (1981). Because of the presence of group-level unobservables, standard quantile regression techniques are inconsistent in our setting even if the treatment is independent of unobservables. In contrast, our estimation technique is consistent as well as computationally simple, consisting of group-by-group quantile regression followed by two-stage least squares. Using the Bahadur representation of quantile estimators, we derive weak conditions on the growth of the number of observations per group that are sufficient for consistency and asymptotic zero-mean normality of our estimator. As...
June 2012Housing Market Spillovers: Evidence from the End of Rent Control in Cambridge Massachusetts
with David H. Autor, Parag A. Pathak: w18125
Understanding potential spillovers from the attributes and actions of neighborhood residents onto the value of surrounding properties and neighborhoods is central to both the theory of urban economics and the development of efficient housing policy. This paper measures the capitalization of housing market spillovers by studying the sudden and largely unanticipated 1995 elimination of stringent rent controls in Cambridge, Massachusetts that had previously muted landlords' investment incentives and altered the assignment of residents to locations. Pooling administrative data on the assessed values of each residential property and the prices and characteristics of all residential transactions between 1988 and 2005, we find that rent control's removal produced large, positive, and robust spill...

Published: David H. Autor & Christopher J. Palmer & Parag A. Pathak, 2014. "Housing Market Spillovers: Evidence from the End of Rent Control in Cambridge, Massachusetts," Journal of Political Economy, University of Chicago Press, vol. 122(3), pages 661 - 717. citation courtesy of

December 2011Heteroskedasticity-Robust Inference in Finite Samples
with Jerry A. Hausman: w17698
Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansions of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity.

Published: Economics Letters, Volume 116, Issue 2, August 2012, Pages 232­-235 citation courtesy of

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