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  • 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.

  • 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.

  • Globalization Institute Working Paper

    Commodity Exports, Financial Frictions and International Spillovers

    This paper offers a solution to the international co-movement puzzle found in open-economy macroeconomic models.

  • Research Department Working Papers

    Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings

    A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autoregressive (VAR) models. If the responses look similar, they are considered trustworthy. If not, the estimates are often used to bound the true response. This paper proves by counterexample that this practice is invalid in general.

  • Research Department Working Papers

    Interest Rate Surprises: A Tale of Two Shocks

    Interest rate surprises around FOMC announcements reveal both the surprise in the monetary policy stance (the pure policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the information shock). In order to disentangle the effects of these two shocks, this paper uses interest rate changes on days of macroeconomic data releases.

  • Globalization Institute Working Paper

    Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe

    This paper provides estimates of COVID-19 transmission rates and explains their evolution for selected European countries since the start of the pandemic taking account of changes in voluntary and government-mandated social distancing, incentives to comply, vaccination and the emergence of new variants.

  • ‘Great ratios’ in economics don’t all add up

    "Great ratios" are widely adopted in theoretical models in economics as conditions for balanced growth, arbitrage or solvency. However, the empirical literature has tended to find little evidence for them.

  • COVID-19 risks expose vulnerabilities, downside risks to U.S. outlook

    The COVID-19 crisis has adversely affected the U.S. economy, helping account for a projected 3.4 percent contraction in 2020. The Congressional Budget Office (CBO) anticipates a strong 4.6 percent rebound in 2021, making up for those losses.

  • Systemic risks, interdependencies weigh on 2021 global outlook

    The path of economic recovery from the COVID-19 recession remains far from clear. A fitful rollout of vaccines and governmental responses to new variants of the virus loom over a global growth rebound that private forecasters estimate at 5.5 percent for 2021.

  • The production process drives fluctuations in output and uncertainty

    If economic developments drive most of the changes in uncertainty—rather than the reverse—then the direct effect of a change in uncertainty on economic activity is much smaller than previous research has shown.