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  • Globalization Institute Working Paper

    Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels

    This paper develops Mean Group Distributed Lag (MGDL) estimation of impulse responses of common shocks in large panels with one or two cross-section dimensions.

  • Research Department Working Papers

    Estimating Macroeconomic News and Surprise Shocks

    This paper examines the ability of the state-of-the-art VAR approach in Kurmann and Sims (2021) to identify responses to TFP news shocks and possibly surprise shocks in theory and practice.

  • Globalization Institute Working Paper

    Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

    Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed.

  • Research Department Working Papers

    Dynamic Identification Using System Projections on Instrumental Variables

    This paper proposes System Projections on Instrumental Variables (SP-IV) to identify structural relationships using regressions of impulse responses from local projections or vector autoregressions.

  • Policy impact of unexpected Fed rate movements blurred by key information cues

    Unexpected Federal Reserve monetary policy moves can profoundly affect market participants, investors and the economy. The impact of policy stems not only from its direct effects—the traditional focus for economists—but also from the new information revealed about the Fed’s economic outlook.

  • Research Department Working Papers

    State-Dependent Local Projections

    Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks.

  • Globalization Institute Working Paper

    Revisiting the Great Ratios Hypothesis

    Using a new system pooled mean group estimator and a dataset spanning almost one and a half centuries and 17 countries, this paper finds support for five out of the seven great ratios considered.

  • Job vacancy, unemployment relationship clouds ‘soft landing’ prospects

    Some economists have argued that because the job vacancy rate has been well above its prepandemic level, there is plenty of room for vacancies to fall before the unemployment rate must rise.

  • Globalization Institute Working Paper

    Variable Selection in High Dimensional Linear Regressions with Parameter Instability

    This paper is concerned with the problem of variable selection when the marginal effects of signals on the target variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to any particular model of parameter instabilities.

  • Research Department Working Papers

    A Robust Test for Weak Instruments with Multiple Endogenous Regressors

    This paper generalizes the popular bias-based test of Stock and Yogo (2005) for instrument strength in two-stage least-squares models with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation.