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Working Paper
Aggregate shocks and labor market fluctuations
This paper evaluates the dynamic response of worker flows, job flows, and vacancies to aggregate shocks in a structural vector autoregression. We identify demand, monetary, and technology shocks by imposing sign restrictions on the responses of output, inflation, the interest rate, and the relative price of investment. No restrictions are placed on the responses of job and worker flows variables. We find that both investment-specific and neutral technology shocks generate responses to job and worker flows variables that are qualitatively similar to those induced by monetary and demand shocks. ...
Journal Article
Predicting consumption: a lesson in real-time data
Speech
Classic Policy Benchmarks for Heterogeneous-Agent Economies
Increasing interest in large-scale heterogeneous-agent DSGE models. Realistic degrees of heterogeneity?approaching observed Gini coefficients in U.S. data. What is the role of monetary policy in such a model?
Working Paper
Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts
Forecasts are a central component of policy making; the Federal Reserve''s forecasts are published in a document called the Greenbook. Previous studies of the Greenbook''s inflation forecasts have found them to be rationalizable but asymmetric if considering particular sub-periods, e.g., before and after the Volcker appointment. In these papers, forecasts are analyzed in isolation, assuming policymakers value them independently. We analyze the Greenbook fore- casts in a framework in which the forecast errors are allowed to interact. We find that allowing the losses to interact makes the ...
Journal Article
Institutional causes of output volatility
The authors investigate the relationship between the quality of institutions and output volatility. Using instrumental variable regressions, they address whether higher entry barriers and lower property rights protection lead to higher volatility. They find that a 1-standard-deviation increase in entry costs increases the standard deviation of output growth by roughly 40 percent of its average value in the sample. In contrast, property rights protection has no statistically significant effect on volatility.
Journal Article
Closing the gap
Working Paper
Entry costs, misallocation, and cross-country income and TFP differences
Entry costs vary dramatically across countries. To assess their impact we construct a model with endogenous entry and operation decisions by firms and calibrate it to match the U.S. distribution of firms by age and size. Higher entry costs lead to greater misallocation of productive factors and lower TFP and output. In the model, countries with entry costs in the lowest decile of the distribution have 2.32 times higher TFP (3.43 in the data) than countries in the highest decile. As in the data, higher entry costs are associated with higher mean and variance of the employment distribution ...
Journal Article
Participation dynamics: the more the merrier
Journal Article
Inflation disconnect?
Speech
\"Classic Policy Benchmarks for Heterogeneous Agent Economies,\" Monetary Policy and Heterogeneity Conference, Hong Kong Monetary Authority and Federal Reserve Bank of New York, Hong Kong, China.
There has been increasing interest in large-scale heterogeneous agent DSGE models. These models have realistic degrees of heterogeneity?approaching observed Gini coefficients in U.S. data. They more directly address issues around income, financial wealth and consumption inequality. What is the role of monetary policy?