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On binscatter
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; Feng , Yingjie (2019-02-01)
Binscatter is a popular method for visualizing bivariate relationships and conducting informal specification testing. We study the properties of this method formally and develop enhanced visualization and econometric binscatter tools. These include estimating conditional means with optimal binning and quantifying uncertainty. We also highlight a methodological problem related to covariate adjustment that can yield incorrect conclusions. We revisit two applications using our methodology and find substantially different results relative to those obtained using prior informal binscatter methods. ...
Staff Reports , Paper 881

Working Paper
How have global shocks impacted the real effective exchange rates of individual Euro area countries since the Euro's creation?
Mehl, Arnaud; Chudik, Alexander; Bussiere, Matthieu (2011)
This paper uncovers the response pattern to global shocks of euro area countries' real effective exchange rates before and after the start of Economic and Monetary Union (EMU), a largely open ended question when the euro was created. We apply to that end a newly developed methodology based on high dimensional VAR theory. This approach features a dominant unit to a large set of over 60 countries' real effective exchange rates and is based on the comparison of two estimated systems: one before and one after EMU. ; We find strong evidence that the pattern of responses depends crucially on the ...
Globalization Institute Working Papers , Paper 102

Working Paper
A Local Projections Approach to Difference-in-Differences Event Studies
Jordà, Òscar; Girardi, Daniele; Dube, Arindrajit; Taylor, Alan M. (2023-04-20)
Many of the challenges in the estimation of dynamic heterogeneous treatment effects can be resolved with local projection (LP) estimators of the sort used in applied macroeconometrics. This approach provides a convenient alternative to the more complicated solutions proposed in the recent literature on Difference in-Differences (DiD). The key is to combine LPs with a flexible ‘clean control’ condition to define appropriate sets of treated and control units. Our proposed LP-DiD estimator is clear, simple, easy and fast to compute, and it is transparent and flexible in its handling of ...
Working Paper Series , Paper 2023-12

Working Paper
A Market Interpretation of Treatment Effects
Minton, Robert; Mulligan, Casey B. (2024-12-20)
Markets, likened to an invisible hand, often appear to contradict econometric assumptions that rule out spillovers of one person’s treatment on another’s outcomes. This paper provides a simple statistical framework highlighting that controls are indirectly affected by the treatment through the market. Further, the effect of the treatment on the treated reveals only part of the consequence for the treated of treating the entire market. When combined with economic theory, our framework leads to a new application of Marshall’s Laws of Derived Demand that relates econometric estimates of ...
Finance and Economics Discussion Series , Paper 2024-096

Working Paper
Targeted business incentives and the debt behavior of households
Millimet, Daniel; Di, Wenhua (2016-01-01)
The empirical effects of place-based tax incentive schemes designed to aid low-income communities are unclear. While a growing number of studies find beneficial effects on employment, there is little investigation into other behaviors of households affected by such programs. We analyze the impact of the Texas Enterprise Zone Program on household debt and delinquency. Specifically, we utilize detailed information on all household liabilities, delinquencies, and credit scores from the Federal Reserve Bank of New York Consumer Credit Panel/Equifax, a quarterly longitudinal 5% random sample of ...
Working Papers , Paper 1602

Working Paper
Assessing Macroeconomic Tail Risk
Matthes, Christian; Zhang, Donghai; Loria, Francesca (2019-04-19)
What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jord, 2005) to assess how this measure of risk moves in response to economic shocks to the level of technology, monetary policy, and financial conditions. Furthermore, by studying various percentiles jointly, we study how the overall economic outlook?as characterized by the entire forecast distribution of GDP growth?shifts in response to shocks. We find that ...
Working Paper , Paper 19-10

Working Paper
Spatial Dependence and Data-Driven Networks of International Banks
Craig, Ben R.; Saldias Zambrana, Martin (2016-12-02)
This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence methods to filter the effects of strong common factors and a thresholding procedure to select the significant bilateral correlations. The analysis of topological characteristics of the resulting correlation networks shows many common features that have been documented in the recent literature but were obtained with private information on banks? exposures. Our analysis validates these ...
Working Papers (Old Series) , Paper 1627

Working Paper
Assessing Macroeconomic Tail Risk
Matthes, Christian; Zhang, Donghai; Loria, Francesca (2019-04-15)
What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jord, 2005) to assess how this measure of risk moves in response to economic shocks to the level of technology, monetary policy, and financial conditions. Furthermore, by studying various percentiles jointly, we study how the overall economic outlook-as characterized by the entire forecast distribution of GDP growth-shifts in response to shocks. We find that ...
Finance and Economics Discussion Series , Paper 2019-026

Working Paper
Exploring the Nexus Between Inflation and Globalization Under Inflation Targeting Through the Lens of New Zealand’s Experience
Martinez-Garcia, Enrique; Soytas, Mehmet A.; Kabukcuoglu, Ayse (2017-03-01)
We investigate empirically the inflation dynamics in New Zealand, a small open economy and a pioneer in inflation targeting, under various open-economy Phillips curve specifications. Our forecasting exercise suggests that open-economy Phillips curves under standard measures of global slack do not help forecast domestic inflation, possibly indicating measurement problems with global slack itself. In turn, under a stable inflation target we still find that (i) global inflation and (ii) global inflation and oil prices have information content for headline CPI and core CPI inflation over the ...
Globalization Institute Working Papers , Paper 308

Report
The Spread of COVID-19 and the BCG Vaccine: A Natural Experiment in Reunified Germany
Pinkovskiy, Maxim L.; Bluhm, Richard (2020-05-01)
As COVID-19 has spread across the globe, several observers noticed that countries still administering an old vaccine against tuberculosis—the BCG vaccine—have had fewer COVID-19 cases and deaths per capita in the early stages of the outbreak. This paper uses a geographic regression discontinuity analysis to study whether and how COVID-19 prevalence changes discontinuously at the old border between West Germany and East Germany. The border used to separate two countries with very different vaccination policies during the Cold War era. We provide formal evidence that there is indeed a ...
Staff Reports , Paper 926

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