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Working Paper
Family Job Search and Wealth: The Added Worker Effect Revisited
Garcia-Perez, J. Ignacio; Rendon, Sílvio (2020-04-30)
We propose and estimate a model of family job search and wealth accumulation with data from the Survey of Income and Program Participation (SIPP). This dataset reveals a very asymmetric labor market for household members who share that their job finding is stimulated by their partners' job separation. We uncover a job search-theoretic basis for this added worker effect, which occurs mainly during economic downturns, but also by increased non-employment transfers. Thus, our analysis shows that the policy goal of in-creasing non-employment transfers to support a worker's job search is partially ...
Working Papers , Paper 20-17

Working Paper
A Nowcasting Model for the Growth Rate of Real GDP of Ecuador : Implementing a Time-Varying Intercept
Baquero, Daniel; Gonzalez-Astudillo, Manuel (2018-07-05)
This paper proposes a model to nowcast the annual growth rate of real GDP for Ecuador. The specification combines monthly information of 28 macroeconomic variables with quarterly information of real GDP in a mixed-frequency approach. Additionally, our setup includes a time-varying mean coefficient on the annual growth rate of real GDP to allow the model to incorporate prolonged periods of low growth, such as those experienced during secular stagnation episodes. The model produces reasonably good nowcasts of real GDP growth in pseudo out-of-sample exercises and is marginally more precise than ...
Finance and Economics Discussion Series , Paper 2018-044

Working Paper
A dynamic network model of the unsecured interbank lending market
Blasques, Francisco; Lelyveld, Iman Van; Bräuning, Falk (2016-04-01)
The unsecured interbank lending market plays a crucial role in financing business activity, a fact underscored by the market's disruption following the Lehman Brothers failure in September 2008. This event, a defining moment in the global financial crisis, fostered greater uncertainty about counterparty risk, an adverse shock that severely curtailed credit supply, hampered monetary policy, and negatively impacted the real economy. To counteract the consequences of the crisis, central banks became the primary intermediaries for a large portion of the money market. However, a single main ...
Working Papers , Paper 16-3

Working Paper
FRED-QD: A Quarterly Database for Macroeconomic Research
McCracken, Michael W.; Ng, Serena (2020-03-11)
In this paper we present and describe a large quarterly frequency, macroeconomic database. The data provided are closely modeled to that used in Stock and Watson (2012a). As in our previous work on FRED-MD, our goal is simply to provide a publicly available source of macroeconomic “big data” that is updated in real time using the FRED database. We show that factors extracted from this data set exhibit similar behavior to those extracted from the original Stock and Watson data set. The dominant factors are shown to be insensitive to outliers, but outliers do affect the relative influence ...
Working Papers , Paper 2020-005

Working Paper
Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Modugno, Michele; Giannone, Domenico (2014-07-30)
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.
Finance and Economics Discussion Series , Paper 2014-57

Working Paper
Global Spillover Effects of US Uncertainty
Chatterjee, Arpita; Bhattarai, Saroj; Park, Woong Yong (2017-11-01)
We study spillover effects of US uncertainty fluctuations using panel data from fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and leads to capital outflows from them. Moreover, it decreases EME output, while increasing their consumer prices and net exports. The negative effects on output, exchange rates, and stock prices are weaker, but the effects on capital and trade flows stronger, for South American countries compared to other EMEs. We present a model of a small open economy that faces ...
Globalization Institute Working Papers , Paper 331

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
Commodity Exports, Financial Frictions and International Spillovers
Houssa, Romain; Mohimont, Jolan; Otrok, Christopher (2022-12-17)
This paper offers a solution to the international co-movement puzzle found in open-economy macroeconomic models. We develop a small open-economy (SOE) dynamic stochastic general equilibrium (DSGE) model describing three endogenous channels that capture spillovers from the world to a commodity exporter: a world commodity price channel, a domestic commodity supply channel and a financial channel. We estimate our model with Bayesian methods on two commodity-exporting SOEs, namely Canada and South Africa. In addition to explaining international business cycle synchronization, the new model ...
Globalization Institute Working Papers , Paper 419

Working Paper
The Evolution of Regional Beveridge Curves
Shell, Hannah; Owyang, Michael T.; Soques, Daniel (2025-10-24)
The slow recovery of the labor market in the aftermath of the Great Recession highlighted mismatch, or the misallocation of workers across space or across industries. We consider the historical evolution of regional mismatch. We construct MSA-level unemployment rates and vacancy data using techniques similar to Barnichon (2010) and a new dataset of online help wanted ads by MSA. We estimate regional Beveridge curves, identifying the slopes by restricting them to be equal across locations with similar labor market characteristics. We find that the 51 U.S. cities in our sample have four ...
Working Papers , Paper 2022-037

Working Paper
A Nowcasting Model for Canada: Do U.S. Variables Matter?
Bragoli, Daniela; Modugno, Michele (2016-04)
We propose a dynamic factor model for nowcasting the growth rate of quarterly real{{p}}Canadian gross domestic product. We show that the proposed model produces more accurate nowcasts than those produced by institutional forecasters, like the Bank of Canada, the The Organisation for Economic Co-operation and Development (OECD), and the survey collected by Bloomberg, which reflects the median forecast of market participants. We show that including U.S. data in a nowcasting model for Canada dramatically improves its predictive accuracy, mainly because of the absence of timely production data ...
Finance and Economics Discussion Series , Paper 2016-036

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