Search Results
Journal Article
Chile: the big saver
Working Paper
News, noise, and estimates of the \"true\" unobserved state of the economy
Which provides a better estimate of the "true" state of the U.S. economy, gross domestic product (GDP) or gross domestic income (GDI)? Past work has assumed the difference between each estimate and the "true" state of the economy is pure noise, taking greater variability to imply lower reliability. We posit instead that each difference may be pure news; then greater variability implies higher information content and greater reliability. This is a general point, applicable to numerous situations beyond the case of combining GDP and GDI. For that particular case, we analyze various vintages ...
Working Paper
Inflation Expectations and the Stabilization of Inflation : Alternative Hypotheses
This paper examines two candidate hypotheses explaining the stabilization of U.S. inflation since the 1970s and 1980s. The first explanation credits the stabilization of inflation expectations, and assumes those expectations have a strong positive causal effect on actual subsequent inflation, while the second explanation credits the disappearance of such a strong positive causal effect. The paper reports statistical tests favorable to both a stabilization of inflation expectations and a marked decline in the effect of the general public?s inflation expectations on subsequent inflation.
Working Paper
Estimating probabilities of recession in real time using GDP and GDI
This work estimates Markov switching models on real time data and shows that the growth rate of gross domestic income (GDI), deflated by the GDP deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an increased focus on GDI may be useful in assessing the current state of the economy. In addition, the paper shows that the definition of a low-growth phase in the Markov switching models has changed over the past couple of decades. The models increasingly define this phase as an extended period of around zero ...
Working Paper
Heterogeneous car buyers: a stylized fact
Using a new dataset, we document a systematic pattern in the demographic characteristics of car buyers over the model year: as vehicle prices fall over the model year, so do buyer incomes. This pattern is consistent with price-insensitive buyers purchasing early in the year, while others wait until prices decline, and suggests price skimming (i.e. intertemporal price discrimination). Such consumer heterogeneity over the model year raises questions for measuring quality improvements in new goods.
Journal Article
Texas-Mexico trade after NAFTA
Working Paper
The response of capital goods shipments to demand over the business cycle
This paper studies the behavior of producers of capital goods, examining how they set shipments in response to fluctuations in new orders. The paper establishes a stylized fact: the response of shipments to orders is more pronounced when the level of new orders is low relative to the level of shipments, usually after orders plunge in recessions. This cyclical change in firm behavior is quantitatively important, accounting for a large portion of the steep decline in equipment investment in the 2001 and 2007--9 recessions. We examine economic interpretations of this stylized fact using a model ...
Working Paper
Improving GDP measurement: a measurement-error perspective
We provide a new and superior measure of U.S. GDP, obtained by applying optimal signal-extraction techniques to the (noisy) expenditure-side and income-side estimates. Its properties -- particularly as regards serial correlation -- differ markedly from those of the standard expenditure-side measure and lead to substantially-revised views regarding the properties of GDP.
Working Paper
Incorporating vintage differences and forecasts into Markov switching models
This paper discusses extensions of standard Markov switching models that allow estimated probabilities to reflect parameter breaks at or close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. The basic technique is a supplementary estimation procedure, bringing additional information to bear to estimate the statistical properties of the end-of-sample observations that behave differently from the rest. Empirical results using real-time data show that these techniques improve the ability of a Markov switching model based on ...
Working Paper
Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data
This paper proposes a simple generalization of the classical measurement error model, introducing new measurement errors that subtract signal from the true variable of interest, in addition to the usual classical measurement errors (CME) that add noise. The effect on OLS regression of these lack of signal errors (LoSE) is opposite the conventional wisdom about CME: while CME in the explanatory variables causes attenuation bias, LoSE in the dependent variable, not the explanatory variables, causes a similar bias under some conditions. In addition, LoSE in the dependent variable shrinks the ...