Search Results
Showing results 1 to 10 of approximately 61.
(refine search)
Working Paper
The International Spillovers of Synchronous Monetary Tightening
Caldara, Dario; Ferrante, Francesco; Iacoviello, Matteo; Prestipino, Andrea; Queraltó, Albert
(2023-11-29)
We use historical data and a calibrated model of the world economy to study how a synchronous monetary tightening can amplify cross-border transmission of monetary policy. The empirical analysis shows that historical episodes of synchronous tightening are associated with tighter financial conditions and larger effects on economic activity than asynchronous ones. In the model, a sufficiently large synchronous tightening can disrupt intermediation of credit by global financial intermediaries causing large output losses and an increase in sacrifice ratios, that is, output lost for a given ...
International Finance Discussion Papers
, Paper 1384
Working Paper
To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models
Georgiadis, Georgios
(2015-11-01)
Asymptotic analysis and Monte Carlo simulations show that spillover estimates obtained from widely-used bilateral (such as two-country VAR) models are significantly less accurate than those obtained from multilateral (such as global VAR) models. In particular, the accuracy of spillover estimates obtained from bilateral models depends on two aspects of economies' integration with the rest of the world. First, accuracy worsens as direct bilateral transmission channels become less important, for example when the spillover-sender accounts only for a small share of the spillover-recipient's ...
Globalization Institute Working Papers
, Paper 256
Working Paper
FRED-MD: A Monthly Database for Macroeconomic Research
McCracken, Michael W.; Ng, Serena
(2015-06-15)
This paper describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires "big data." The dataset mimics the coverage of those already used in the literature but has three appealing features. First, it is designed to be updated monthly using the FRED database. Second, it will be publicly accessible, facilitating comparison of related research and replication of empirical work. Third, it will relieve researchers from having to manage data changes and revisions. We show that factors extracted from our ...
Working Papers
, Paper 2015-12
Working Paper
Simultaneity in Binary Outcome Models with an Application to Employment for Couples
Hu, Luojia; Kyriazidou, Ekaterini; Weidner, Martin; Honore, Bo E.
(2022-07)
Two of Peter Schmidt’s many contributions to econometrics have been to introduce a simultaneous logit model for bivariate binary outcomes and to study estimation of dynamic linear fixed effects panel data models using short panels. In this paper, we study a dynamic panel data version of the bivariate model introduced in Schmidt and Strauss (1975) that allows for lagged dependent variables and fixed effects as in Ahn and Schmidt (1995). We combine a conditional likelihood approach with a method of moments approach to obtain an estimation strategy for the resulting model. We apply this ...
Working Paper Series
, Paper WP 2022-34
Report
Micro Responses to Macro Shocks
Almuzara, Martín; Sancibrián, Víctor
(2024-03-01)
We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree of signal-to-noise of aggregate shocks. We show that the regression scores feature strong cross-sectional dependence and a known autocorrelation structure induced only by leads of the regressor. In general, including lags as controls and then clustering over the cross-section leads to simple, robust ...
Staff Reports
, Paper 1090
Report
A Measure of Core Wage Inflation
Melcangi, Davide; Audoly, Richard; Almuzara, Martín
(2023-07-01)
We recover the persistent (“core”) component of nominal wage growth over the past twenty-five years in the United States. Our approach combines worker-level data with time-series smoothing methods and can disentangle the common persistence of wage inflation from the persistence specific to some subgroup of workers, such as workers in a specific industry. We find that most of the business cycle fluctuations in wage inflation are persistent and driven by a common factor. This common persistent factor is particularly important during inflationary periods, and it explains 80 to 90 percent of ...
Staff Reports
, Paper 1067
Working Paper
All Forecasters Are Not the Same: Time-Varying Predictive Ability across Forecast Environments
Tracy, Joseph; Rich, Robert W.
(2021-02-25)
This paper examines data from the European Central Bank’s Survey of Professional Forecasters to investigate whether participants display equal predictive performance. We use panel data models to evaluate point- and density-based forecasts of real GDP growth, inflation, and unemployment. The results document systematic differences in participants’ forecast accuracy that are not time invariant, but instead vary with the difficulty of the forecasting environment. Specifically, we find that some participants display higher relative accuracy in tranquil environments, while others display ...
Working Papers
, Paper 21-06
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
Measuring Uncertainty and Its Impact on the Economy
Clark, Todd E.; Carriero, Andrea; Massimiliano, Marcellino
(2016-10-14)
We propose a new framework for measuring uncertainty and its effects on the economy, based on a large VAR model with errors whose stochastic volatility is driven by two common unobservable factors, representing aggregate macroeconomic and financial uncertainty. The uncertainty measures can also influence the levels of the variables so that, contrary to most existing measures, ours reflect changes in both the conditional mean and volatility of the variables, and their impact on the economy can be assessed within the same framework. Moreover, identification of the uncertainty shocks is ...
Working Papers (Old Series)
, Paper 1622
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
FILTER BY year
FILTER BY Bank
Board of Governors of the Federal Reserve System (U.S.) 17 items
Federal Reserve Bank of Dallas 15 items
Federal Reserve Bank of Cleveland 6 items
Federal Reserve Bank of New York 6 items
Federal Reserve Bank of St. Louis 6 items
Federal Reserve Bank of Boston 3 items
Federal Reserve Bank of Philadelphia 3 items
Federal Reserve Bank of Atlanta 2 items
Federal Reserve Bank of Chicago 1 items
Federal Reserve Bank of Kansas City 1 items
Federal Reserve Bank of San Francisco 1 items
show more (6)
show less
FILTER BY Series
Globalization Institute Working Papers 15 items
Working Papers 12 items
International Finance Discussion Papers 10 items
Finance and Economics Discussion Series 7 items
Staff Reports 6 items
Working Papers (Old Series) 3 items
FRB Atlanta Working Paper 2 items
Supervisory Research and Analysis Working Papers 2 items
Working Paper Series 2 items
Research Working Paper 1 items
Review 1 items
show more (6)
show less
FILTER BY Content Type
FILTER BY Author
Chudik, Alexander 8 items
Pesaran, M. Hashem 8 items
Caldara, Dario 7 items
Ferrante, Francesco 7 items
Iacoviello, Matteo 7 items
Prestipino, Andrea 7 items
Queraltó, Albert 7 items
Modugno, Michele 6 items
Smith, Ron P. 5 items
Carriero, Andrea 4 items
Clark, Todd E. 4 items
Giannone, Domenico 4 items
Marcellino, Massimiliano 3 items
McCracken, Michael W. 3 items
Ng, Serena 3 items
Owyang, Michael T. 3 items
Almuzara, Martín 2 items
Bokun, Kathryn 2 items
Bragoli, Daniela 2 items
Cascaldi-Garcia, Danilo 2 items
Garcia-Perez, J. Ignacio 2 items
Jackson, Laura E. 2 items
Kliesen, Kevin L. 2 items
Lu, Lina 2 items
Martinez-Garcia, Enrique 2 items
Mohaddes, Kamiar 2 items
Rendon, Sílvio 2 items
Rich, Robert W. 2 items
Aastveit, Knut Are 1 items
Ahn, Hie Joo 1 items
Amstad, Marlene 1 items
Ando, Tomohiro 1 items
Arias, Jonas E. 1 items
Audoly, Richard 1 items
Bai, Jushan 1 items
Bai, Yu 1 items
Baquero, Daniel 1 items
Bhattarai, Saroj 1 items
Blasques, Francisco 1 items
Bräuning, Falk 1 items
Ca' Zorzi, Michele 1 items
Caramichael, John 1 items
Chatterjee, Arpita 1 items
Cheng, Xu 1 items
Chronopoulos, Ilias 1 items
Chrysikou, Katerina 1 items
Coroneo, Laura 1 items
Couharde, Cécile 1 items
Crump, Richard K. 1 items
Damette, Olivier 1 items
Dieppe, Alistair 1 items
Dube, Arindrajit 1 items
Duncan, Roberto 1 items
Engelhardt, Bryan 1 items
Ferreira, Thiago Revil T. 1 items
Generoso , Rémi 1 items
Georgiadis, Georgios 1 items
Girardi, Daniele 1 items
Gonzalez-Astudillo, Manuel 1 items
Gospodinov, Nikolay 1 items
Grossman, Valerie 1 items
Herbst, Edward P. 1 items
Honore, Bo E. 1 items
Hosseini, Roozbeh 1 items
Houssa, Romain 1 items
Hu, Luojia 1 items
Jordà, Òscar 1 items
Kahn, Matthew E. 1 items
Kapetanios, George 1 items
Kopecky, Karen A. 1 items
Kyriazidou, Ekaterini 1 items
Lelyveld, Iman Van 1 items
Lenza, Michele 1 items
Liao, Zhipeng 1 items
Liu, Yun 1 items
Luciani, Matteo 1 items
Massimiliano, Marcellino 1 items
Melcangi, Davide 1 items
Metelli, Luca 1 items
Mitchell, James 1 items
Mohimont, Jolan 1 items
Monti, Francesca 1 items
Otrok, Christopher 1 items
Park, Woong Yong 1 items
Potter, Simon M. 1 items
Primiceri, Giorgio E. 1 items
Raftapostolos, Aristeidis 1 items
Raissi, Mehdi 1 items
Rapp, Andreas 1 items
Reichlin, Lucrezia 1 items
Rho, Yeonwoo 1 items
Rubio-Ramirez, Juan F. 1 items
Sancibrián, Víctor 1 items
Schorfheide, Frank 1 items
Sharma, Padma 1 items
Shell, Hannah 1 items
Soques, Daniel 1 items
Soybilgen, Bariş 1 items
Sun, Yongzhi 1 items
Taylor, Alan M. 1 items
Toledo, Patricia 1 items
Torres, Luis Bernardo 1 items
Tracy, Joseph 1 items
Vojtech, Cindy M. 1 items
Waggoner, Daniel F. 1 items
Weidner, Martin 1 items
Wieman, Hunter 1 items
Winkler, Fabian 1 items
Yang, Jui-Chung 1 items
Yazgan, M. Ege 1 items
Zhao, Kai 1 items
show more (106)
show less
FILTER BY Jel Classification
C53 13 items
E44 10 items
C11 9 items
C13 9 items
E32 8 items
E37 8 items
F42 7 items
C31 6 items
C12 4 items
C23 4 items
C30 4 items
C32 4 items
C51 4 items
E24 4 items
E52 4 items
C38 3 items
G21 3 items
J64 3 items
Q54 3 items
B4 2 items
C01 2 items
C18 2 items
C5 2 items
C55 2 items
C82 2 items
E21 2 items
E31 2 items
E43 2 items
E58 2 items
F32 2 items
F41 2 items
G12 2 items
G28 2 items
O40 2 items
R11 2 items
C10 1 items
C14 1 items
C21 1 items
C35 1 items
C43 1 items
C45 1 items
C52 1 items
C58 1 items
C8 1 items
E17 1 items
E27 1 items
E3 1 items
E30 1 items
E42 1 items
E47 1 items
E61 1 items
F34 1 items
F44 1 items
G01 1 items
G11 1 items
G15 1 items
G18 1 items
G23 1 items
G33 1 items
G38 1 items
I10 1 items
I14 1 items
J63 1 items
N10 1 items
O18 1 items
O44 1 items
O51 1 items
O52 1 items
Q43 1 items
Q51 1 items
Q56 1 items
R14 1 items
R3 1 items
show more (69)
show less
FILTER BY Keywords
forecasting 10 items
Monetary Policy 10 items
Inflation 8 items
Financial Frictions 8 items
International Spillovers 8 items
Open Economy Macroeconomics 7 items
Panel Data Estimation 7 items
factor models 4 items
Nowcasting 4 items
Autoregressive-Distributed Lag model (ARDL) 3 items
Bayesian VARs 3 items
Bewley transform 3 items
Dynamic Factor Model 3 items
Heterogeneous dynamic panels 3 items
I(1) regressors 3 items
bias correction 3 items
pooled mean group estimator (PMG) 3 items
Dynamic factor models 3 items
Panel Data 3 items
Bayesian 2 items
FMOLS 2 items
PDOLS 2 items
Updating 2 items
asset accumulation 2 items
big data 2 items
consumption 2 items
cross-sectional dependence 2 items
error cross-sectional dependence 2 items
factors 2 items
great ratios 2 items
heterogeneous panels 2 items
household economics 2 items
job search 2 items
large datasets 2 items
local projections 2 items
robust inference 2 items
space-time autoregression 2 items
two-way long-run causality 2 items
Bayesian Inference 2 items
Climate change 2 items
Clustering 2 items
Economic growth 2 items
Stochastic volatility 2 items
(non-oil) real income shocks 1 items
Bailouts 1 items
Bank Failures 1 items
Bayesian analysis 1 items
Bayesian vector autoregressions 1 items
Bond issuance 1 items
COVID-19 1 items
Climate finance 1 items
Common shocks 1 items
Consistent Model Selection 1 items
Corporate bonds 1 items
DSGE 1 items
DSGE models 1 items
Developing economy 1 items
Disagreement 1 items
ENSO events 1 items
Ecuador 1 items
Euro area 1 items
Factor Model 1 items
Federal Savings and Loans Insurance Corporation (FSLIC) 1 items
Forecast Dispersion 1 items
Great Recession 1 items
Green bond premium 1 items
Green bonds 1 items
Green finance 1 items
Heterogeneous Expectations 1 items
Hierarchical shrinkage 1 items
High dimensionality 1 items
High-dimensional Model 1 items
Incidental parameters 1 items
Inferential theory 1 items
Inflation targeting 1 items
LASSO 1 items
Large Data Sets 1 items
Machine Learning 1 items
Macroeconomic forecasting 1 items
Maskov Chain Monte Carlo (MCMC) 1 items
Maximum likelihood estimation 1 items
Mixed data sampling regression model 1 items
Moral Hazard 1 items
Multi-country VARs 1 items
Neural Networks 1 items
Noisy Information 1 items
Nonlinearity 1 items
Now-casting 1 items
Nowcasting model 1 items
Panel data model 1 items
Penalized regression 1 items
Policy Interventions 1 items
Principal components 1 items
Resolution Trust Corporation (RTC) 1 items
Risk-shifting 1 items
SVARs 1 items
Savings and loans crisis 1 items
Scale mixtures 1 items
Secular stagnation 1 items
Shrinkage Estimation 1 items
Simultaneous effects 1 items
Simultaneous equations system 1 items
Structural Break 1 items
Sustainable finance 1 items
Time-varying coefficients 1 items
Time-varying parameters 1 items
VAR 1 items
Yield curve 1 items
adaptation 1 items
aggregate shocks 1 items
arbitrage conditions 1 items
bank supervision 1 items
clean controls 1 items
cointegration 1 items
commodities 1 items
counterfactual analysis 1 items
credit-risk uncertainty 1 items
density forecasts 1 items
difference-in-differences 1 items
diffusion index 1 items
emerging markets 1 items
episodic cointegration 1 items
estimation of dynamic structural models 1 items
estimation of dynamic structural models. 1 items
event study 1 items
expectations 1 items
financial networks 1 items
financial stability 1 items
forecast accuracy 1 items
frailty index 1 items
government bonds 1 items
gross domestic product 1 items
health 1 items
heterogeneity 1 items
hierarchical models 1 items
imperfect information 1 items
impulse responses 1 items
indirect parameter estimation 1 items
industrial diversity 1 items
inference 1 items
initial conditions 1 items
interbank liquidity 1 items
latent variable models 1 items
life cycle profiles 1 items
mismatch 1 items
mixed-frequency data 1 items
models 1 items
negative weights 1 items
news 1 items
nonemployment 1 items
nuclear norm 1 items
overfitting 1 items
panel VAR model with exogenous variables 1 items
peer monitoring 1 items
persistence 1 items
persistent heterogeneity 1 items
point forecasts 1 items
professional forecasters 1 items
real house prices 1 items
real oil price shocks 1 items
real rural land prices 1 items
scenario-based quantile connectedness 1 items
sign restrictions 1 items
slow-moving trends 1 items
small open economy 1 items
sparsity 1 items
spatial models 1 items
split-panel jackknife 1 items
structural shocks 1 items
survey data 1 items
survey forecasts 1 items
synthetic control method 1 items
temporal aggregation 1 items
term structure of disagreement 1 items
trading relationships 1 items
trend output growth 1 items
two-way fixed effects 1 items
unemployment 1 items
uniform prior 1 items
vacancies 1 items
wage inflation 1 items
weather shocks 1 items
show more (191)
show less