Real-time house price model shows U.S. housing market firming
House prices matter to more than just individual homebuyers and sellers. They are closely tied to consumer spending, business investment and the broader path of the economy.
January 15, 2026
Research Department Working Papers
Weak Instrument Bias in Impulse Response Estimators
This paper approximates the finite-sample distribution of impulse response function (IRF) estimators that are just-identified with a weak instrument using the conventional local-to-zero asymptotic framework.
January 12, 2026
Research Department Working Papers
Lags, Leave-Outs and Fixed Effects
To avoid endogeneity, financial economists often construct regressors and/or instruments using values from other observations, with lagged and leave-out variables being common examples. This paper examines the use of such variables in common settings with fixed effects and shows that it can induce bias and distort inference.
September 23, 2025
Research Department Working Papers
Analysis of Multiple Long-Run Relations in Panel Data Models
This paper proposes a novel methodology that filters out the short-run dynamics using sub-sample time averages as deviations from their full-sample counterpart, and estimates the number of long-run relations and their coefficients using eigenvalues and eigenvectors of the pooled covariance matrix of these sub-sample deviations.
June 05, 2025
Research Department Working Papers
Bubbling Up? What Consumer Expectations Reveal About U.S. Housing Market Exuberance
This paper investigates the presence of speculative bubbles in the U.S. housing market after the global financial crisis. Unlike standard approaches that rely on observed economic fundamentals, the method used in this paper leverages subjective price expectations from the University of Michigan Survey of Consumers to test for exuberance without imposing a specific model of intrinsic housing values.
May 21, 2025
Research Department Working Papers
The Conventional Impulse Response Prior in VAR Models with Sign Restrictions
Some studies have expressed concern that the Gaussian-inverse Wishart-Haar prior typically employed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This paper discusses how this prior may be reported and makes explicit what impulse response priors a number of recently published studies specified, allowing the readers to decide whether they are comfortable with this prior.
May 09, 2025
Research Department Working Papers
Tax Progressivity, Economic Booms and Trickle-Up Economics
This paper proposes a method to decompose changes in the tax structure into orthogonal components measuring the level and progressivity of taxes.
April 24, 2025
Research Department Working Papers
Revisiting the Interest Rate Effects of Federal Debt
This paper revisits the relationship between federal debt and interest rates, which is a key input for assessments of fiscal sustainability.
April 23, 2025
Research Department Working Papers
Tempting FAIT: Flexible Average Inflation Targeting and the Post-COVID U.S. Inflation Surge
In August 2020, the Federal Reserve replaced Flexible Inflation Targeting (FIT) with Flexible Average Inflation Targeting (FAIT), introducing make-up strategies that allow inflation to temporarily exceed the 2% target. Using a synthetic control approach, this paper estimates that FAIT raised CPI inflation by about 1 percentage point and core CPI inflation by 0.5 percentage points, suggesting a moderate impact net of food and energy and a largely temporary effect. The findings are consistent with the hypothesis of a steeper-than-expected post-pandemic Phillips curve in the New Keynesian model.
April 09, 2025
Research Department Working Papers
Impulse Response Diagnostics for Priors on Parameters in Structural Vector Autoregressions
This paper proposes verifying that the prior distribution of impulse responses in structural VAR models is not unintentionally informative and discusses diagnostic tools to help practitioners ensure their priors do not unduly influence their reported conclusions.
February 25, 2025