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Author:Ahn, Hie Joo 

Working Paper
Revealing Cluster Structures Based on Mixed Sampling Frequencies

This paper proposes a new nonparametric mixed data sampling (MIDAS) model and develops a framework to infer clusters in a panel regression with mixed frequency data. The nonparametric MIDAS estimation method is more flexible and substantially simpler to implement than competing approaches. We show that the proposed clustering algorithm successfully recovers true membership in the cross-section, both in theory and in simulations, without requiring prior knowledge of the number of clusters. This methodology is applied to a mixed-frequency Okun's law model for state-level data in the U.S. and ...
Finance and Economics Discussion Series , Paper 2020-082

Discussion Paper
Research Data Series: Index of Common Inflation Expectations

In an earlier FEDS Note, "Index of Common Inflation Expectations," we introduced the Index of Common Inflation Expectations, or "CIE", which summarizes the comovement of a wide variety of inflation expectations measures based on a dynamic factor model.
FEDS Notes , Paper 2021-03-05

Working Paper
Heterogeneity and Unemployment Dynamics

This paper develops new estimates of flows into and out of unemployment that allow for unobserved heterogeneity across workers as well as direct effects of unemployment duration on unemployment-exit probabilities. Unlike any previous paper in this literature, we develop a complete dynamic statistical model that allows us to measure the contribution of different shocks to the short-run, medium-run, and long-run variance of unemployment as well as to specific historical episodes. We find that changes in the inflows of newly unemployed are the key driver of economic recessions and identify an ...
Finance and Economics Discussion Series , Paper 2016-12

Working Paper
Dynamic Beveridge Curve Accounting

We develop a dynamic decomposition of the empirical Beveridge curve, i.e., the level of vacancies conditional on unemployment. Using a standard model, we show that three factors can shift the Beveridge curve: reduced-form matching efficiency, changes in the job separation rate, and out-of-steady-state dynamics. We find that the shift in the Beveridge curve during and after the Great Recession was due to all three factors, and each factor taken separately had a large effect. Comparing the pre-2010 period to the post-2010 period, a fall in matching efficiency and out-of-steady-state dynamics ...
Finance and Economics Discussion Series , Paper 2020-027

Working Paper
The Role of Observed and Unobserved Heterogeneity in the Duration of Unemployment Spells

This paper studies the degree to which observable and unobservable worker characteristics account for the variation in the aggregate duration of unemployment. I model the distribution of unobserved worker heterogeneity as time varying to capture the interaction of latent attributes with changes in labor-market conditions. Unobserved heterogeneity is the main explanation for the duration dependence of unemployment hazards. Both cyclical and low-frequency variations in the mean duration of unemployment are mainly driven by one subgroup: workers who, for unobserved reasons, stay unemployed for a ...
Finance and Economics Discussion Series , Paper 2016-063r1

Discussion Paper
Factors in Unemployment Dynamics

The U.S. unemployment rate averaged 8.4% during the first five years of recovery from the Great Recession of 2007-2009, the weakest recovery on record. But as the expansion continued, unemployment continued to decline and by 2018 reached the lowest levels in almost half a century. In this Note, we explore why unemployment remained so high for so long, and what factors contributed to the recent lows.
FEDS Notes , Paper 2018-12-21-3

Discussion Paper
A New Indicator of Common Wage Inflation

The cyclical state of the economy and the natural rate of unemployment are key unobserved variables in policymakers' analysis of economic developments. The price Phillips curve relates the measures of resource utilization—often through deviations of the unemployment rate from the natural rate of unemployment—to consumer price inflation.
FEDS Notes , Paper 2020-07-08

Working Paper
Relative prices and pure inflation since the mid-1990s

This paper decomposes consumer price inflation into pure inflation, relative price inflation, and idiosyncratic inflation by estimating a dynamic factor model á la Reis and Watson (2010) on a data set of 146 monthly disaggregated prices from 1995 to 2019. We find that pure inflation is the trend around which PCE price inflation fluctuates, while relative price inflation and idiosyncratic inflation drive the fluctuation of PCE price inflation around the trend. Unlike Reis and Watson, we find that labor market slack is the main driver of pure inflation and that energy prices account for ...
Finance and Economics Discussion Series , Paper 2021-069

Working Paper
Heterogeneity in the Dynamics of Disaggregate Unemployment

This paper explores the role that unobserved heterogeneity within an observed category plays in the dynamics of disaggregate unemployment and in the cross-sectional differences across individuals of the duration of unemployment spells. The distribution of unobserved heterogeneity is characterized as a mixture of two distributions with each mean and weight determined by the inflows and outflows of workers with unobserved types H and L, which are identified based on the nonlinear state-space model of Ahn and Hamilton (2016). I found that the contribution of each factor to the dynamics of ...
Finance and Economics Discussion Series , Paper 2016-063

Discussion Paper
Index of Common Inflation Expectations

Data that are potentially informative about the inflation expectations of economic agents have grown over recent years and now include information from a wide variety of surveys as well as from financial instruments. These data differ along several key dimensions, including the type of economic agent, the horizon of the expectation, the source of data (survey versus market-based measures), and the associated inflation concept, which can make the co-movement of various expectations measures difficult to discern.
FEDS Notes , Paper 2020-09-02

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Hamilton, James D. 3 items

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