@sancibrian-v.bsky.social
Ass. Prof. @Bocconi | Ph.D. @CEMFI | Econometrics https://sancibrian-v.github.io
Congratulations to Víctor Sancibrián for successfully defending his Ph.D. thesis at CEMFI!. Thanks to Aureo de Paula, Laura Hospido and Geert Mesters for serving in the Thesis Defense Committe and to Víctor’s advisor Manuel Arellano
25.06.2025 09:57 — 👍 13 🔁 3 💬 0 📌 0
Working paper "Micro responses to macro shocks" by M. Almuzara and V. Sancibrián (Version August 2024). Abstract: We study panel data regression models when the shocks of interest are aggregate and possibly small relative to idiosyncratic noise. This speaks to a large empirical literature that targets impulse responses via panel local projections. We show how to interpret the estimated coefficients when units have heterogeneous responses and how to obtain valid standard errors and confidence intervals. A simple recipe leads to robust inference: including lags as controls and then clustering at the time level. This strategy is valid under general error dynamics and uniformly over the degree of signal-to-noise of macro shocks. Link: https://sancibrian-v.github.io/files/lp_panels.pdf
📢 We just posted a MATLAB suite for panel local projections.
It supports estimation and inference, including small-sample refinements, fixed-effects, controls, cumulative responses...
Available at github.com/TinchoAlmuza... together with replication files.
How should we think about estimation uncertainty of heterogeneous responses when the sample is a large fraction of the population?
Víctor Sancibrián explores this in repeated measurement problems, such as when documenting the extent of firm misallocation
sancibrian-v.github.io
What determines optimal deposit insurance coverage?
JMC Vedant Agarwal studies the effects of deposit insurance coverage on banks' exposure to runs, risk-taking incentives, fiscal costs, and welfare in a quantitative macroeconomic model with bank runs
vedant-agl.github.io
Developing a methodology for modeling household income processes when subjective probabilistic assessments of future income are available, from Manuel Arellano, Orazio Attanasio, Samuel Crossman, and Víctor Sancibrián https://www.nber.org/papers/w32922
14.09.2024 15:00 — 👍 5 🔁 3 💬 0 📌 1Nonlinear persistence among the poorest households is consistent with a poverty trap interpretation: When income is too low it is difficult to escape poverty, but a large positive shock can weaken the weight of history and get the household (persistently) off the hook at a higher income level.
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