We study rental income tax compliance using novel third-party information and a large-scale randomized field experiment. The third-party information combines register data on the ownership and occupancy of apartments. The RCT used this new third-party information in the targeting and design of experimental treatments, and increased the propensity to report rental income and the amount of reported rental income net of expenses. Our research design also allows us to identify members of ownership networks and analyze spillover effects in tax enforcement between them. We find positive reporting spillovers. We do not find evidence of real effects on asset market transactions. (JEL C93, D83, H26, K34, R31)
This paper explores the out-of-sample forecasting performance of 25 equity premium predictors over a sample period from 1973 to 2023. While conventional time-series methods reveal that only one predictor demonstrates significant out-of-sample predictive power, frequency-domain analysis uncovers additional predictive information hidden in the time series. Nearly half of the predictors exhibit statistically and economically meaningful predictive performance when decomposed into frequency components. The findings suggest that frequency-domain techniques can extract valuable insights that are often missed by traditional methods, enhancing the accuracy of equity premium forecasts.
I use a survey-based measure of household uncertainty for the Euro area and show that household uncertainty shocks raise unemployment and are inflationary in Europe. On top of conventional recursive identification schemes, I make use of narrative proxy and narrative sign and ratio restrictions identification strategies to verify the robustness of the results. I document evidence in support of an increase in markups and to some extent also savings and labor supply consistent with precautionary pricing, and precautionary savings behavior by households. As precautionary pricing behavior is motivated by firms' uncertainty, other inflationary mechanisms may also be at work.
I analyze time series momentum along the Treasury term structure. Yield curve momentum is primarily due to changes in the level factor of yields. Because yield changes are partly induced by changes in the federal funds rate, yield curve momentum is related to post-FOMC (Federal Open Market Committee) announcement drift. The momentum factor is unspanned by the information in the term structure today and is hence inconsistent with standard term structure, macrofinance, and behavioral models. I argue that the results are consistent with a model with unpriced longer term dependencies.
Using a large euro area survey, we study the responsiveness of consumers’ medium-term inflation expectations to changes in actual inflation and short-term inflation expectations. We find that high trust in the central bank and high financial literacy lower this responsiveness.
