Working Paper
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
Working Paper
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
Working Paper
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
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.
July 12, 2022
Working Paper
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
Working Paper
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.
March 30, 2022
Dallas Fed Economics
‘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.
October 19, 2021
Dallas Fed Economics
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.
March 02, 2021
Dallas Fed Economics
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.
February 16, 2021
Dallas Fed Economics
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.
June 30, 2020