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Working Paper
Sectoral vs. aggregate shocks : a structural factor analysis of industrial production
This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with common factors. Because common factors may reflect sectoral shocks that have propagated by way of input-output linkages, we then use a multisector growth model to adjust for the effects of these linkages. In particular, we show that neoclassical multisector models, of the type first introduced by Long ...
Conference Paper
Modeling inflation after the crisis
Conference Paper
Has the business cycle changed?
Conference Paper
Forecasting output and inflation: the role of asset prices
This paper examines old and new evidence on the predictive performance of asset prices for inflation and real output growth. We first review the large literature on this topic, focusing on the past dozen years. We then undertake an empirical analysis of quarterly date on up to 38 candidate indicators (mainly asset prices) for seven OECD countries for a span of up to 41 years (1959 - 1999). The conclusions from the literature review and the empirical analysis are the same. Some asset prices predict either inflation or output growth in some countries in some periods. Which series predicts what, ...
Journal Article
Market anticipations of monetary policy actions - commentary
Working Paper
Vector autoregressions and cointegration
Working Paper
Aggregate Implications of Changing Sectoral Trends
We find disparate trend variations in TFP and labor growth across major U.S. production sectors and study their implications for the post-war secular decline in GDP growth. We describe how capital accumulation and the network structure of U.S. production interact to amplify the effects of sectoral trend growth rates in TFP and labor on trend GDP growth. We derive expressions that conveniently summarize this long-run amplification effect by way of sectoral multipliers. These multipliers are quantitatively large and for some sectors exceed three times their value added shares. We estimate that ...
Working Paper
Measures of fit for calibrated models