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.
April 19, 2023
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.
April 14, 2023
Dallas Fed Economics
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.
February 07, 2023
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.
December 17, 2022
Working Papers
Commodity Exports, Financial Frictions and International Spillovers
This paper offers a solution to the international co-movement puzzle found in open-economy macroeconomic models.
December 16, 2022
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.
November 23, 2022
Just Do IT? An Assessment of Inflation Targeting in a Global Comparative Case Study
This paper introduces novel measures to assess the effectiveness of inflation targeting (IT) and examines its performance across a broad sample of advanced economies (AEs) and emerging market and developing economies (EMDEs).
November 05, 2022
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.
August 22, 2022
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.
July 12, 2022
Working Papers
A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors
This paper develops a test for instrument strength based on the bias of two-stage least squares (2SLS) that (1) generalizes the tests of Stock and Yogo (2005) and Sanderson and Windmeijer (2016) to be robust to heteroskedasticity and autocorrelation, and (2) extends the Montiel Olea and Pflueger (2013) robust test for models with a single endogenous regressor to multiple endogenous regressors.
June 21, 2022