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Working Paper
Assessing the macroeconomic impact of bank intermediation shocks: a structural approach
We take a structural approach to assessing the empirical importance of shocks to the supply of bank-intermediated credit in affecting macroeconomic fluctuations. First, we develop a theoretical model to show how credit supply shocks can be transmitted into disruptions in the production economy. Second, we use the unique micro-banking data to identify and support the model's key mechanism. Third, we find that the output effect of credit supply shocks is not only economically and statistically significant but also consistent with the vector autogression evidence. Our mode estimation indicates ...
Working Paper
Cyclical Lending Standards: A Structural Analysis
Lending standards are a direct measure of credit conditions. We use the micro data merged from three separate sources to construct this measure and document that an uncertain macroeconomic outlook, rather than banks' balance sheet positions, was an important reason that a majority of banks tightened bank lending standards during the Great Recession. Our extensive data analysis disciplines how we introduce credit frictions in the banking sector into a macroeconomic model. The model estimation reveals that an exogenous shock to credit supply drives cyclical lending standards and accounts for a ...
Working Paper
Communicating Data Uncertainty: Multi-Wave Experimental Evidence for UK GDP
Economic statistics are commonly published without estimates of their uncertainty. We conduct two waves of a randomized controlled online experiment to assess if and how the UK public understands data uncertainty. A control group observes only the point estimate of GDP. Treatment groups are presented with alternative qualitative and quantitative communications of GDP data uncertainty. We find that most of the public understands that GDP numbers are uncertain. Quantitative communications of data uncertainty help align the public’s subjective probabilistic expectations of data uncertainty ...
Working Paper
Communicating Data Uncertainty: Multi-Wave Experimental Evidence for UK GDP
Economic statistics are commonly published without any explicit indication of their uncertainty. To assess if and how the UK public interprets and understands data uncertainty, we conduct two waves of a randomized controlled online experiment. A control group is presented with the headline point estimate of GDP, as emphasized by the statistical office. Treatment groups are then presented with alternative qualitative and quantitative communications of GDP data uncertainty. We find that most of the public understands that uncertainty is inherent in official GDP numbers. But communicating ...
Working Paper
Database of global economic indicators (DGEI): a methodological note
The Database of Global Economic Indicators (DGEI) from the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for policy analysis and scholarly work on the role of globalization. The purpose of DGEI is to offer a broad perspective on how economic developments around the world influence the U.S. economy with a wide selection of indicators. DGEI is automated within an Excel-VBA and E-views framework for the processing and aggregation of multiple country time series. It includes a core sample of 40 countries with available indicators and broad ...
Working Paper
The domestic segment of global supply chains in China under state capitalism
This paper proposes methods to incorporate firm heterogeneity in the standard IO-table based approach to portray the domestic segment of global value chains in a country. Using Chinese firm census data for both manufacturing and service sectors, along with constrained optimization techniques, we split the conventional IO table into sub-accounts, which are used to estimate direct and indirect domestic value added in exports of different types of firm. We find that in China, both state-owned enterprises (SOEs) and small and medium domestic private enterprises (SMEs) have much higher shares of ...
Working Paper
A contribution to the chronology of turning points in global economic activity (1980-2012)
The Database of Global Economic Indicators (DGEI) of the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for the study of globalization. It includes a core sample of 40 countries with available indicators and broad coverage for quarterly real GDP, and the monthly series of industrial production (IP), Purchasing Managers Index (PMI), merchandise exports and imports, headline CPI, CPI (ex. food and energy), PPI/WPI inflation, nominal and real exchange rates, and official/policy interest rates (see Grossman, Mack, and Martnez-Garca (2013)). ...
Working Paper
The use and abuse of "real-time" data in economic forecasting
We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus.
Working Paper
Firm Search in the Labor Market: Evidence from Help-Wanted Advertisements
We construct new monthly city-level and national measures of firm search for workers from 1900 to 1938, drawing on approximately 5 million scanned help-wanted advertisements from five U.S. newspapers, with breakdowns by gender. We document four main findings: (1) firm search effort is procyclical, declining sharply at the onset of recessions; (2) posting costs affect advertising behavior, but the effect is modest, with an elasticity of -0.0$; (3) the U.S. Beveridge curve has been stable for the past 125 years, with matching elasticities of 0.57 pre-WWII and 0.55 post-WWII; and (4) help-wanted ...
Working Paper
Is China Fudging Its GDP Figures? Evidence from Trading Partner Data
We propose using imports, measured as reported exports of trading partners, as an alternative benchmark to gauge the accuracy of alternative Chinese indicators (including GDP) of fluctuations in economic activity. Externally-reported imports are likely to be relatively well measured, as well as free from domestic manipulation. Using principal components, we derive activity indices from a wide range of indicators and examine their fit to (trading-partner reported) imports. We choose a preferred index of eight non-GDP indicators (which we call the China Cyclical Activity Tracker, or C-CAT). ...