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Working Paper
Should We Be Puzzled by Forward Guidance?
Bundick, Brent; Smith, Andrew Lee (2020-04-30)
Although a growing literature argues output is too sensitive to future interest rates in standard macroeconomic models, little empirical evidence has been put forth to evaluate this claim. In this paper, we use a range of vector autoregression models to answer the central question of how much output responds to changes in interest rate expectations following a monetary policy shock. Despite distinct identification strategies and sample periods, we find surprising agreement regarding this elasticity across empirical models. We then show that in a standard model of nominal rigidity estimated ...
Research Working Paper , Paper RWP 20-01

Working Paper
In-sample tests of predictive ability: a new approach
Clark, Todd E.; McCracken, Michael W. (2009)
This paper presents analytical, Monte Carlo, and empirical evidence linking in-sample tests of predictive content and out-of-sample forecast accuracy. Our approach focuses on the negative effect that finite-sample estimation error has on forecast accuracy despite the presence of significant population-level predictive content. Specifically, we derive simple-to-use in-sample tests that test not only whether a particular variable has predictive content but also whether this content is estimated precisely enough to improve forecast accuracy. Our tests are asymptotically non-central chi-square or ...
Research Working Paper , Paper RWP 09-10

Working Paper
Industrial specialization and the asymmetry of shocks across regions
Yosha, Oved; Kalemli-Ozcan, Sebnem; Sorensen, Bent E. (1999)
Economic integration, through greater capital market integration, will induce higher regional specialization in production, rendering regional shocks less symmetric. To support this claim empirically, we develop a utility based measure of shock asymmetry and calculate it for each U.S. state. We regress it (using both ordinary least squares and instrumental variables) on a state-by-state 1-digit industrial specialization index and a 2-digit manufacturing specialization index, controlling for relevant economic and demographic variables. The main empirical result is that both specialization ...
Research Working Paper , Paper 99-06

Working Paper
An examination of rating agencies' actions around the investment-grade boundary
Johnson, Richard (2003)
Data on credit ratings by the agencies with the legal status of Nationally-Recognized Statistical Rating Organizations (NRSROs) show some tendency for one-day downgrades that start from the lowest investment grade, BBB-, to travel more grades than those from neighboring grades. This would be consistent with the lower threshold of the NRSROs' grade BBB- being at a substantial default probability, but also could occur simply because downgrades to junk severely impair some firms' operations. A comparison of data from a non-NRSRO agency and an NRSRO shows that the latter's regrades from BBB- ...
Research Working Paper , Paper RWP 03-01

Working Paper
Business cycle turning points: two empirical business cycle model approaches
Gordon, Stephen F.; Filardo, Andrew J. (1995)
This paper compares a set of non-nested empirical business cycle models. The alternative linear models include a VAR and Stock and Watson's (1991) unobserved components model. The alternative nonlinear models include the time-varying transition probability Markov switching model (Filardo 1993) and an integration of the Markov switching model with the Stock and Watson model as proposed by Diebold and Rudebusch (1994) and Chauvet (1994). Generally, this paper finds that no one model dominates in a predictive sense at all times. The nonlinear models, however, tend to outperform the linear models ...
Research Working Paper , Paper 95-15

Working Paper
A productivity model of city crowdedness
Rappaport, Jordan (2006)
Population density varies widely across U.S. cities. A simple, static general equilibrium model suggests that moderate-sized differences in cities? total factor productivity can account for such variation. Nevertheless, the productivity required to sustain above-average population densities considerably exceeds estimates of the increase in productivity caused by such high density. In contrast, increasing returns to scale may be able to sustain multiple equilibria at below-average population densities.
Research Working Paper , Paper RWP 06-06

Working Paper
Sectoral Loan Concentration and Bank Performance (2001-2014)
Regehr, Kristen; Sengupta, Rajdeep (2016-11-01)
Sectoral loan concentration is an important factor in bank performance. We develop a measure of sectoral loan concentration and study how community bank performance and the size-performance relationship vary with loan concentration and changes in loan concentration. The size-profitability relationship varies with concentration in the residential real-estate (RRE) sector. Higher RRE concentration is associated with lower returns especially for larger community banks?banks with assets totaling a billion or more. Concentration in other sectors, such as agriculture and commercial real estate ...
Research Working Paper , Paper RWP 16-13

Working Paper
Who offers tax-based business development incentives?
Hines, James R.; Felix, Alison (2011)
Many American communities seek to attract or retain businesses with tax abatements, tax credits, or tax increment financing of infrastructure projects (TIFs). The evidence for 1999 indicates that communities are most likely to offer one or more of these business development incentives if their residents have low incomes, if they are located close to state borders, and if their states have troubled political cultures. Ten percent greater median household income is associated with a 3.2 percent lower probability of offering incentives; ten percent greater distance from a state border is ...
Research Working Paper , Paper RWP 11-05

Working Paper
Bank derivative activity in the 1990s
Shen, Pu; Heinecke, Ken (1995)
This paper tries to grasp banks' motivation for entering derivative markets. The motivation question is interesting for the following reason: if banks' main motivation for using derivatives is speculation, derivatives are likely to increase the risk to banks' capital and thus increase the cost of deposit insurance. ; The first major finding of the paper is that currently available data are not informative of banks' usage of derivatives. We find no evidence that derivatives are mainly used for speculation purposes. There is some indication that users of derivatives are interested in expanding ...
Research Working Paper , Paper 95-12

Working Paper
Monetary policy shocks and price stickiness: an analysis of price and output responses to policy in manufacturing industries
Haimowitz, Joseph H. (1996)
This paper uses annual data on 450 SIC four-digit manufacturing industries obtained from the NBER Manufacturing Productivity Database to examine how manufacturing industries respond to unanticipated changes in the federal funds rate. The analysis proceeds in three stages. First, industry price and output responses to unanticipated changes in the federal funds rate are examined. Second, the effect of industry characteristics on these responses is analyzed. Finally, the paper assesses whether particular industry characteristics are associated with price rigidity or interest rate sensitivity. ...
Research Working Paper , Paper 96-07

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