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Working Paper
Model confidence sets for forecasting models
Lunde, Asger; Hansen, Peter Reinhard; Nason, James M. (2005)
The paper introduces the model confidence set (MCS) and applies it to the selection of forecasting models. An MCS is a set of models that is constructed so that it will contain the ?best? forecasting model, given a level of confidence. Thus, an MCS is analogous to a confidence interval for a parameter. The MCS acknowledges the limitations of the data so that uninformative data yield an MCS with many models, whereas informative data yield an MCS with only a few models. We revisit the empirical application in Stock and Watson (1999) and apply the MCS procedure to their set of inflation ...
FRB Atlanta Working Paper , Paper 2005-07

Working Paper
Quantifying "Quantitative Tightening" (QT): How Many Rate Hikes Is QT Equivalent To?
Wei, Bin (2022-07-15)
How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield. Based on the model calibrated to fit the nominal Treasury data between 1999 and 2022, I show that a passive roll-off of $2.2 trillion over three years is equivalent to an increase of 29 basis points in the current federal funds rate at normal times. However, during a crisis period with risk aversion ...
FRB Atlanta Working Paper , Paper 2022-8

Working Paper
A, B, C’s, (and D’s) for understanding VARs
Rubio-Ramirez, Juan F.; Sargent, Thomas J.; Fernández-Villaverde, Jesús (2005)
The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A, B, C, D) that define a state-space system. An associated state space system (A, K, C, S) determines a vector autoregression (VAR) for observables available to an econometrician. We review circumstances in which the impulse response of the VAR resembles the impulse response associated with the economic model. We give four examples that illustrate a simple condition for checking whether the mapping from VAR shocks to economic shocks is invertible. The condition applies when there ...
FRB Atlanta Working Paper , Paper 2005-09

Working Paper
The origins of bubbles in laboratory asset markets
Charupat, Narat; Kluger, Brian D.; Deaves, Richard; Ackert, Lucy F. (2006)
In twelve sessions conducted in a typical bubble-generating experimental environment, we design a pair of assets that can detect both irrationality and speculative behavior. The specific form of irrationality we investigate is probability judgment error associated with low-probability, high-payoff outcomes. Independently, we test for speculation by comparing prices of identically paying assets in multiperiod versus single-period markets. When these tests indicate the presence of probability judgment error and speculation, bubbles are more likely to occur. This finding suggests that both ...
FRB Atlanta Working Paper , Paper 2006-06

Working Paper
Collusion in uniform-price auctions: experimental evidence and implications for Treasury auctions
Rebello, Michael J.; Goswami, Gautam; Noe, Thomas H. (1995)
In uniform-price auctions of shares there exist collusive equilibria in which bidders capture the entire surplus from the auction as well as competitive equilibria in which the auctioneer captures the entire surplus from the auction. We provide experimental evidence that, in uniform-price auctions, non-binding pre-play communication facilitates convergence to collusive equilibrium outcomes. On the other hand, regardless of the opportunities for communication, in discriminatory-auction experiments subject strategies conform closely with the unique equilibrium in undominated strategies in which ...
FRB Atlanta Working Paper , Paper 95-5

Working Paper
A Critical Review of the Common Ownership Literature
Gerardi, Kristopher; Lowry, Michelle; Schenone, Carola (2023-11-08)
The rapid growth in index funds and significant consolidation in the asset-management industry over the past few decades has led to higher levels of common ownership and increased attention on the topic by academic researchers. A consensus has yet to emerge from the literature regarding the consequences of increased common ownership on firm behavior and market outcomes. Given the potential implications for firms and investors alike, it is perhaps not surprising that policymakers, legal scholars, finance and accounting academics, and practitioners have all taken a keen interest in the subject. ...
FRB Atlanta Working Paper , Paper 2023-17

Working Paper
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. (2012)
In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional, return-volatility distribution with an infinite mixture of bivariate Normal distributions with mean zero vectors, but having unknown mixture weights and covariance matrices. This semiparametric ASV model nests stochastic volatility models whose innovations are distributed as either Normal or Student-t ...
FRB Atlanta Working Paper , Paper 2012-06

Working Paper
The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models
Zha, Tao; Waggoner, Daniel F.; Wu, Hongwei (2014-11-01)
Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from both the equi-energy sampler and the sequential Monte Carlo sampler by avoiding the weaknesses of the straight Metropolis-Hastings algorithm as well as those of importance sampling. In particular, the DSMH sampler possesses the capacity to cope with incredibly irregular distributions that are full ...
FRB Atlanta Working Paper , Paper 2014-21

Working Paper
The demand for labor at the world's largest banking organizations
Hunter, William C.; Timme, Stephen G. (1989)
FRB Atlanta Working Paper , Paper 89-6

Working Paper
A Quantitative Theory of Time-Consistent Unemployment Insurance
Pei, Yun; Xie, Zoe (2016-11-01)
During recessions, the U.S. government substantially increases the duration of unemployment insurance (UI) benefits through multiple extensions. This paper seeks to understand the incentives driving these increases. Because of the trade-off between insurance and job search incentives, the classic time-inconsistency problem arises. During recessions, the U.S. government substantially increases the duration of unemployment insurance (UI) benefits through multiple extensions. This paper seeks to understand the incentives driving these extensions. Because of the trade-off between insurance and ...
FRB Atlanta Working Paper , Paper 2016-11

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