Search Results
Working Paper
Dynamic Identification Using System Projections on Instrumental Variables
We propose System Projections on Instrumental Variables (SP-IV) to estimate structural relationships using regressions of structural impulse responses obtained from local projections or vector autoregressions. Relative to IV with distributed lags of shocks as instruments, SP-IV imposes weaker exogeneity requirements and can improve efficiency and increase effective instrument strength relative to the typical 2SLS estimator. We describe inference under strong and weak identification. The SP-IV estimator outperforms other estimators of Phillips Curve parameters in simulations. We estimate the ...
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High Frequency Data and a Weekly Economic Index during the Pandemic
This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI, with its ten component series, tracks the overall economy. Comparing the contributions of the WEI’s components in the 2008 and 2020 recessions reveals differences in how the two events played out at a high frequency. During the 2020 collapse and recovery, it provides a benchmark to interpret similarities and differences of novel indicators with shorter samples and/or nonstationary ...
Working Paper
Work from Home Before and After the COVID-19 Outbreak
Based on novel survey data, we document the evolution of commuting behavior in the U.S. over the course of the COVID-19 pandemic. Work from home (WFH) increased sharply and persistently after the outbreak, and much more so among some workers than others. Using theory and evidence, we argue that the observed heterogeneity in WFH transitions is consistent with potentially more permanent changes to work arrangements in some occupations, and not just temporary substitution in response to greater health risks. Consistent with increased WFH adoption, many more – especially higher-educated – ...
Working Paper
The Postpandemic U.S. Immigration Surge: New Facts and Inflationary Implications
The U.S. experienced an extraordinary postpandemic surge in unauthorized immigration. This paper combines administrative data on border encounters and immigration court records with household survey data to document two new facts about these immigrants: They tend to be hand-to-mouth consumers and low-skilled workers that complement the existing workforce. We build these features into a model with capital, household heterogeneity and population growth to study the inflationary effects of this episode. Contrary to the popular view, we find little effect on inflation, as the increase in supply ...
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Measuring Real Activity Using a Weekly Economic Index
This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI is a weekly composite index of real economic activity, with eight of ten series available the Thursday after the end of the reference week. In addition to being a weekly real activity index, the WEI has strong predictive power for output measures and provided an accurate nowcast of current-quarter GDP growth in the first half of 2020. We document how the WEI responded to key events and data ...
Working Paper
Dynamic Identification Using System Projections on Instrumental Variables
We propose System Projections on Instrumental Variables (SP-IV) to identify structural relationships using regressions of impulse responses from local projections or vector autoregressions. Relative to 2SLS with distributed lags as instruments, SP-IV weakens exogeneity requirements and can improve efficiency and effective instrument strength. We describe inference under strong and weak identification. The SP-IV estimator outperforms other estimators of Phillips Curve parameters in simulations. We estimate the Phillips Curve implied by the main business cycle shock of Angeletos et al. (2020) ...
Working Paper
A Robust Test for Weak Instruments with Multiple Endogenous Regressors
We generalize the popular bias-based test of Stock and Yogo (2005) for instrument strength in two-stage least-squares models with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger (2013) for a single endogenous regressor to the general case with multiple endogenous regressors. We describe a simple procedure for applied researchers to conduct our generalized first-stage test of instrument strength, and provide fast Matlab code for its implementation. In simulations, our test controls size ...
Dallas Fed Mobility and Engagement Index Gives Insight into COVID-19’s Economic Impact
To gain insight into the economic impact of the pandemic, we developed an index of mobility and engagement, based on geolocation data collected from a large sample of mobile devices.
Working Paper
Do Monetary Policy Announcements Shift Household Expectations?
We use daily survey data from Gallup to assess whether households' beliefs about economic conditions are influenced by surprises in monetary policy announcements. We first provide more general evidence that public confidence in the state of the economy reacts to certain types of macroeconomic news very quickly. Next, we show that surprises to the Federal Funds target rate are among the news that have statistically significant and instantaneous effects on economic confidence. In contrast, surprises about forward guidance and asset purchases do not have similar effects on household beliefs, ...
Working Paper
Measuring Real Activity Using a Weekly Economic Index
This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI is a weekly composite index of real economic activity, with eight of 10 series available the Thursday after the end of the reference week. In addition to being a weekly real activity index, the WEI has strong predictive power for output measures and provided an accurate nowcast of current-quarter GDP growth in the first half of 2020, with weaker performance in the second half. We document ...