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Econometrics

 

  • Research Department Working Papers

    When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?

    Several recent studies have expressed concern that the Haar prior typically employed in estimating sign-identified VAR models is driving the prior about the structural impulse responses and hence their posterior. This paper provides evidence that the quantitative importance of the Haar prior for posterior inference has been overstated.

  • Research Department Working Papers

    Dynamic Identification Using System Projections on Instrumental Variables

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

  • 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.

  • 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.

  • Research Department Working Papers

    The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

    This paper proposes a novel approach to decompose realized jump measures by type of activity (finite/infinite) and by sign.