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Author:Grossman, Valerie 

Working Paper
A multi-country approach to forecasting output growth using PMIs

This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the strong factors and establish conditions under which forecasts from the augmented GVAR model (AugGVAR) uniformly converge in probability (as the panel dimensions N,T? ? such that N/T?? for some 0
Globalization Institute Working Papers , Paper 213

Journal Article
Go Figure: Texas Home Prices Head Through the Roof

Southwest Economy , Issue Q1 , Pages 19-19

Journal Article
Consequences of the Euro: monetary union, economic disunion?

Forming a monetary union brings the benefits of a shared currency but also?as the experience of the euro area shows in the years following the global financial crisis?significant costs associated with the loss of monetary policy independence and exchange rate flexibility.
Economic Letter , Volume 11 , Issue 2 , Pages 1-4

Working Paper
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun

In this paper, we examine changes in the time series properties of standard housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating exuberance in housing markets provides a timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008?09 recession. For our investigation, we employ two recursive univariate unit root tests developed by Phillips et al. (2011) and Phillips et al. (2015). We also propose a novel extension of the Phillips et ...
Globalization Institute Working Papers , Paper 165

Working Paper
Database of global economic indicators (DGEI): a methodological note

The Database of Global Economic Indicators (DGEI) from the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for policy analysis and scholarly work on the role of globalization. The purpose of DGEI is to offer a broad perspective on how economic developments around the world influence the U.S. economy with a wide selection of indicators. DGEI is automated within an Excel-VBA and E-views framework for the processing and aggregation of multiple country time series. It includes a core sample of 40 countries with available indicators and broad ...
Globalization Institute Working Papers , Paper 166

Taking the Global Housing Market’s Temperature: Is It Running a Fever (Again)?

The current trajectory prompts the question: Do markets face the prospect of a housing bubble once again? Alternatively, are price increases in step with housing market fundamentals?
Dallas Fed Economics

Spanish-Speaking Growth in Texas Reinforces Need to Close Education Gaps

The Eleventh Federal Reserve District has the second-largest native Spanish-language population in the Federal Reserve System. That population will grow further as the number of Hispanics exceeds 20 million in Texas alone by 2050.
Dallas Fed Economics

Working Paper
Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices

The recently developed SADF and GSADF unit root tests of Phillips et al. (2011) and Phillips et al. (2015) have become popular in the literature for detecting exuberance in asset prices. In this paper, we examine through simulation experiments the effect of cross-sectional aggregation on the power properties of these tests. The simulation design considered is based on actual housing data for both U.S. metropolitan and international housing markets and thus allows us to draw conclusions for different levels of aggregation. Our findings suggest that aggregation lowers the power of both the SADF ...
Globalization Institute Working Papers , Paper 325

Working Paper
A contribution to the chronology of turning points in global economic activity (1980-2012)

The Database of Global Economic Indicators (DGEI) of the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for the study of globalization. It includes a core sample of 40 countries with available indicators and broad coverage for quarterly real GDP, and the monthly series of industrial production (IP), Purchasing Managers Index (PMI), merchandise exports and imports, headline CPI, CPI (ex. food and energy), PPI/WPI inflation, nominal and real exchange rates, and official/policy interest rates (see Grossman, Mack, and Martnez-Garca (2013)). ...
Globalization Institute Working Papers , Paper 169

Working Paper
Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies

This paper estimates the natural interest rate for six small open economies (Australia, Canada, South Korea, Sweden, Switzerland and the U.K.) with a structural New Keynesian model using Bayesian techniques. Our empirical analysis establishes the following four novel findings: First, we show that the open-economy framework provides a better fit of the data than its closed-economy counterpart for the six countries we investigate. Second, we also show that, in all six countries, a monetary policy rule in which the domestic real policy rate tracks the Wicksellian domestic short-term natural rate ...
Globalization Institute Working Papers , Paper 359

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