Search Results
Showing results 1 to 10 of approximately 50.
(refine search)
Working Paper
Nonparametric Estimation of Lerner Indices for U.S. Banks Allowing for Inefficiency and Off-Balance Sheet Activities
Wheelock, David C.; Wilson, Paul W.
(2019-04-16)
The Lerner index is widely used to assess firms' market power. However, estimation and interpretation present several challenges, especially for banks, which tend to produce multiple outputs and operate with considerable inefficiency. We estimate Lerner indices for U.S. banks for 2001-18 using nonparametric estimators of the underlying cost and profit functions, controlling for inefficiency, and incorporating banks' off-balance-sheet activities. We find that mis-specification of cost or profit functional forms can seriously bias Lerner index estimates, as can failure to account for ...
Working Papers
, Paper 2019-12
Report
On binscatter
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; Feng , Yingjie
(2019-02-01)
Binscatter, or a binned scatter plot, is a very popular tool in applied microeconomics. It provides a flexible, yet parsimonious way of visualizing and summarizing mean, quantile, and other nonparametric regression functions in large data sets. It is also often used for informal evaluation of substantive hypotheses such as linearity or monotonicity of the unknown function. This paper presents a foundational econometric analysis of binscatter, offering an array of theoretical and practical results that aid both understanding current practices (that is, their validity or lack thereof) as well ...
Staff Reports
, Paper 881
Working Paper
Macroeconomic Forecasting in Times of Crises
Zhong, Molin; Guerron-Quintana, Pablo
(2017-01-31)
We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based on the notion of clustering and similarity, we partition the time series into blocks, search for the closest blocks to the most recent block of observations, and with the matched blocks we proceed to forecast. One possibility is to compare local means across blocks, which captures the idea of matching directional movements of a series. We show that our approach does particularly well during the Great Recession and for variables such as inflation, unemployment, and real ...
Finance and Economics Discussion Series
, Paper 2017-018
Working Paper
Better Bunching, Nicer Notching
Seegert, Nathan; McCallum, Andrew H.; Bertanha, Marinho
(2021-01-12)
We study the bunching identification strategy for an elasticity parameter that summarizes agents' response to changes in slope (kink) or intercept (notch) of a schedule of incentives. A notch identifies the elasticity but a kink does not, when the distribution of agents is fully flexible. We propose new non-parametric and semi-parametric identification assumptions on the distribution of agents that are weaker than assumptions currently made in the literature. We revisit the original empirical application of the bunching estimator and find that our weaker identification assumptions result in ...
Finance and Economics Discussion Series
, Paper 2021-002
Working Paper
Robust Inference in First-Price Auctions : Experimental Findings as Identifying Restrictions
Zhu, Yu; Grundl, Serafin J.
(2019-02-07)
In laboratory experiments bidding in first-price auctions is more aggressive than predicted by the risk-neutral Bayesian Nash Equilibrium (RNBNE) - a finding known as the overbidding puzzle. Several models have been proposed to explain the overbidding puzzle, but no canonical alternative to RNBNE has emerged, and RNBNE remains the basis of the structural auction literature. Instead of estimating a particular model of overbidding, we use the overbidding restriction itself for identification, which allows us to bound the valuation distribution, the seller's payoff function, and the optimal ...
Finance and Economics Discussion Series
, Paper 2019-006
Working Paper
The Evolution of Scale Economies in U.S. Banking
Wheelock, David C.; Wilson, Paul W.
(2015-08-01)
Continued consolidation of the U.S. banking industry and a general increase in the size of banks has prompted some policymakers to consider policies that discourage banks from getting larger, including explicit caps on bank size. However, limits on the size of banks could entail economic costs if they prevent banks from achieving economies of scale. This paper presents new estimates of returns to scale for U.S. banks based on nonparametric, local-linear estimation of bank cost, revenue and profit functions. We report estimates for both 2006 and 2015 to compare returns to scale some seven ...
Working Papers
, Paper 2015-21
Working Paper
Local Polynomial Regressions versus OLS for Generating Location Value Estimates: Which is More Efficient in Out-of-Sample Forecasts?
Cohen, Jeffrey P.; Clapp, John M.; Coughlin, Cletus C.
(2015-07-01)
As an alternative to ordinary least squares (OLS), we estimate location values for single family houses using a standard housing price and characteristics dataset by local polynomial regressions (LPR), a semi-parametric procedure. We also compare the LPR and OLS models in the Denver metropolitan area in the years 2003, 2006 and 2010 with out-of-sample forecasting. We determine that the LPR model is more efficient than OLS at predicting location values in counties with greater densities of sales. Also, LPR outperforms OLS in 2010 for all 5 counties in our dataset. Our findings suggest that LPR ...
Working Papers
, Paper 2015-14
Working Paper
The Taylor rule and forecast intervals for exchange rates
Wang, Jian; http://fedora:8080/fcrepo/rest/objects/authors/
(2008)
This paper attacks the Meese-Rogoff (exchange rate disconnect) puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold.> ; First, we find that in general, Taylor rule models generate tighter ...
Globalization Institute Working Papers
, Paper 22
Working Paper
Revealing Cluster Structures Based on Mixed Sampling Frequencies
Ahn, Hie Joo; Rho, Yeonwoo; Liu, Yun
(2020-09-23)
This paper proposes a new nonparametric mixed data sampling (MIDAS) model and develops a framework to infer clusters in a panel regression with mixed frequency data. The nonparametric MIDAS estimation method is more flexible and substantially simpler to implement than competing approaches. We show that the proposed clustering algorithm successfully recovers true membership in the cross-section, both in theory and in simulations, without requiring prior knowledge of the number of clusters. This methodology is applied to a mixed-frequency Okun's law model for state-level data in the U.S. and ...
Finance and Economics Discussion Series
, Paper 2020-082
Working Paper
The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Lahaye, Jerome; Neely, Christopher J.
(2014-10-01)
This paper extends the previous literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ heterogeneous autoregressive (HAR) models to capture the quasi-long-memory properties of volatility and the Shapley-Owen R2 measure to quantify the contributions of components. We conclude that meteor showers are more influential than heat waves, that jumps play a modest but significant role in volatility transmission and that significant, bidirectional cross-rate volatility ...
Working Papers
, Paper 2014-034
FILTER BY year
FILTER BY Bank
Board of Governors of the Federal Reserve System (U.S.) 12 items
Federal Reserve Bank of St. Louis 10 items
Federal Reserve Bank of San Francisco 6 items
Federal Reserve Bank of Atlanta 5 items
Federal Reserve Bank of Dallas 5 items
Federal Reserve Bank of New York 4 items
Federal Reserve Bank of Chicago 2 items
Federal Reserve Bank of Kansas City 2 items
Federal Reserve Bank of Philadelphia 2 items
Federal Reserve Bank of Boston 1 items
Federal Reserve Bank of Richmond 1 items
show more (6)
show less
FILTER BY Series
Working Papers 14 items
Finance and Economics Discussion Series 11 items
Working Paper Series 8 items
FRB Atlanta Working Paper 5 items
Staff Reports 4 items
Globalization Institute Working Papers 2 items
Research Working Paper 2 items
International Finance Discussion Papers 1 items
Review 1 items
Supervisory Research and Analysis Working Papers 1 items
Working Paper 1 items
show more (6)
show less
FILTER BY Content Type
FILTER BY Author
Jensen, Mark J. 4 items
Jordà, Òscar 4 items
Schularick, Moritz 4 items
Taylor, Alan M. 4 items
Wilson, Paul W. 4 items
Cohen, Jeffrey P. 3 items
Coughlin, Cletus C. 3 items
Fisher, Mark 3 items
Wheelock, David C. 3 items
Adrian, Tobias 2 items
Barnichon, Regis 2 items
Benson, David A. 2 items
Bertanha, Marinho 2 items
Boyarchenko, Nina 2 items
Cattaneo, Matias D. 2 items
Clapp, John M. 2 items
Cook, Thomas R. 2 items
Crump, Richard K. 2 items
Farrell, Max H. 2 items
Fernholz, Ricardo T. 2 items
Giannone, Domenico 2 items
Honore, Bo E. 2 items
Hu, Luojia 2 items
Koch, Christoffer 2 items
Masten, Matthew A. 2 items
McCallum, Andrew H. 2 items
Neely, Christopher J. 2 items
Seegert, Nathan 2 items
Torgovitsky, Alexander 2 items
Agarwal, Sumit 1 items
Ahn, Hie Joo 1 items
Bibinger, Markus 1 items
Blomquist, Soren 1 items
Chib, Siddhartha 1 items
Feng , Yingjie 1 items
Gayle, George-Levi 1 items
Gebbia, Nick 1 items
Grossman, Valerie 1 items
Grundl, Serafin J. 1 items
Guerron-Quintana, Pablo 1 items
Gupton, Greg 1 items
Hoesch, Lukas 1 items
Kumar, Anil 1 items
Lahaye, Jerome 1 items
Liang, Che-Yuan 1 items
Liu, Laura 1 items
Liu, Lily Y. 1 items
Liu, Yun 1 items
Mack, Adrienne 1 items
Maheu, John M. 1 items
Martinez-Garcia, Enrique 1 items
Matthes, Christian 1 items
Mesters, Geert 1 items
Mikhed, Vyacheslav 1 items
Modig, Zach 1 items
Newey, Whitney K. 1 items
Nielsen, Eric R. 1 items
Oh, Dong Hwan 1 items
Palmer, Nathan M. 1 items
Patton, Andrew J. 1 items
Payne, Alexis 1 items
Prasad, Ananthakrishnan 1 items
Rho, Yeonwoo 1 items
Rossi, Barbara 1 items
Schaumburg, Ernst 1 items
Scholnick, Barry 1 items
Sekhposyan, Tatevik 1 items
Seneviratne, Dulani 1 items
Shephard, Andrew 1 items
Shin, Minchul 1 items
Simoni, Anna 1 items
Smalter Hall, Aaron 1 items
Tkac, Paula A. 1 items
Wang, Jian 1 items
Winkelmann, Lars 1 items
Xiao, Yanzhe 1 items
Zabel, Jeffrey 1 items
Zhong, Molin 1 items
Zhu, Yu 1 items
Zikes, Filip 1 items
http://fedora:8080/fcrepo/rest/objects/authors/ 1 items
show more (76)
show less
FILTER BY Jel Classification
C11 8 items
C53 8 items
G21 7 items
C13 6 items
C32 6 items
E32 5 items
G01 5 items
C12 4 items
C51 4 items
C52 4 items
E51 4 items
N10 4 items
N20 4 items
C18 3 items
C22 3 items
C58 3 items
E37 3 items
E44 3 items
E52 3 items
F31 3 items
G11 3 items
G12 3 items
R51 3 items
C15 2 items
C21 2 items
C24 2 items
C26 2 items
C38 2 items
G13 2 items
H24 2 items
H41 2 items
H54 2 items
I26 2 items
J20 2 items
J22 2 items
L13 2 items
R53 2 items
C01 1 items
C10 1 items
C23 1 items
C33 1 items
C41 1 items
C45 1 items
C57 1 items
C71 1 items
C81 1 items
C82 1 items
D13 1 items
D31 1 items
D44 1 items
E17 1 items
E42 1 items
E43 1 items
E58 1 items
E65 1 items
F32 1 items
F37 1 items
F41 1 items
F42 1 items
F65 1 items
G1 1 items
G14 1 items
G15 1 items
G17 1 items
G20 1 items
H21 1 items
H31 1 items
H71 1 items
I21 1 items
I24 1 items
J12 1 items
J24 1 items
J64 1 items
K35 1 items
L11 1 items
L25 1 items
Q54 1 items
R31 1 items
show more (74)
show less
FILTER BY Keywords
Forecasting 5 items
Partial identification 4 items
banks 3 items
nonparametric regressions 3 items
Bunching 2 items
Censored regression 2 items
Correlated random coefficients 2 items
Heterogeneous treatment effects 2 items
Instrumental variables 2 items
Land Values 2 items
Lerner index 2 items
Local Polynomial Regressions 2 items
Panel data 2 items
Posterior consistency 2 items
Returns to schooling 2 items
Semi-Parametric Estimation 2 items
Varying coefficient models 2 items
business cycles 2 items
exclusion Restrictions 2 items
financial crises 2 items
ivregress 2 items
leverage 2 items
local projections 2 items
market power 2 items
multimodality 2 items
nonparametric estimation 2 items
nonparametric methods 2 items
recessions 2 items
Achievement inequality 1 items
Artificial intelligence 1 items
Balanced Panel 1 items
Bankruptcy 1 items
Bayes 1 items
Bayesian inference 1 items
Bayesian nonparametric analysis 1 items
Bayesian nonparametric methods 1 items
Bayesian nonparametrics 1 items
Bernstein polynomials 1 items
Bernstein-von Mises theorem 1 items
Bunchbounds 1 items
Bunchfilter 1 items
Bunchtobit 1 items
Clustering 1 items
Commodity prices 1 items
Conditional moment restrictions 1 items
Conspicuous consumption 1 items
Density forecasts 1 items
Dirichlet process 1 items
Dirichlet process prior 1 items
Distribution 1 items
Effective spread 1 items
Experimental findings 1 items
Explainable machine learning 1 items
Exponentially tilted empirical likelihood 1 items
Financial distress 1 items
First-price auction 1 items
Fixed Effects 1 items
Futures 1 items
Granger causality 1 items
Great Recession 1 items
High-frequency data 1 items
Income elasticity 1 items
Income inequality 1 items
Information Channel of Monetary Policy 1 items
Instabilities 1 items
Libor 1 items
Local maximum likelihood 1 items
Location Values 1 items
Lottery 1 items
Machine learning 1 items
Macroeconomic indicators 1 items
Marginal likelihood 1 items
Markov chain Monte Carlo 1 items
Misspecification 1 items
Mixed data sampling regression model 1 items
Model interpretation 1 items
Model misspecification 1 items
Moments 1 items
Monetary Policy 1 items
Nearest neighbor 1 items
Network for Greening the Financial System (NGFS) scenarios 1 items
Notching 1 items
Options 1 items
PPP half-life deviations 1 items
Pdf 1 items
Penalized regression 1 items
Robust inference 1 items
Sample Selection 1 items
Selection 1 items
Semiparametric methods 1 items
Shapley values 1 items
Simulated method of moments 1 items
Structural estimation 1 items
Survey Forecasts 1 items
Tax 1 items
Time Variation 1 items
Time-varying estimation 1 items
Transaction costs 1 items
Value-at-risk and expected shortfall forecasting 1 items
Volatility forecasting 1 items
Yield curve forecasting 1 items
Young firm dynamics 1 items
anchoring 1 items
assessment 1 items
asset pricing anomalies 1 items
asset pricing factors 1 items
assets 1 items
bank size distributions 1 items
bank structure 1 items
binned scatter plot 1 items
binning selection 1 items
booms 1 items
bounds 1 items
change points 1 items
climate change 1 items
coefficient of dispersion 1 items
commercial banks 1 items
density impulse response 1 items
dependent Bayesian nonparametrics 1 items
deposits 1 items
dollar. 1 items
dynamic power laws 1 items
efficient markets 1 items
euro 1 items
exchange rates 1 items
financial stability 1 items
geographically weighted regression 1 items
heat wave 1 items
heterogeneity 1 items
heterogeneous preferences 1 items
heteroskedasticity 1 items
hierarchical priors 1 items
human capital 1 items
identification 1 items
importance sampling 1 items
impulse responses 1 items
infinite variance 1 items
intraday 1 items
jumps 1 items
loans 1 items
long-memory 1 items
market microstructure 1 items
market-wide jumps 1 items
mean-reverting 1 items
measurement of inequality 1 items
meteor shower 1 items
mortgage lending 1 items
mutual fund performance 1 items
mutual funds 1 items
neural networks 1 items
news impact 1 items
non-bank activities 1 items
nonlinear budget sets 1 items
nonparametric 1 items
nonparametric Bayesian estimation 1 items
nonparametric density estimator 1 items
nonparametric nonlinear semilinear quasimaximum likelihood 1 items
nonparametric quantile regression 1 items
optimal policy 1 items
ordinal statistics 1 items
partitioning 1 items
partitioning estimators 1 items
periodicity 1 items
piecewise polynomials 1 items
portfolio sorts 1 items
price jump 1 items
price-related differential 1 items
property value 1 items
realized 1 items
regression. 1 items
regressogram 1 items
returns to scale 1 items
revealed stochastic preference 1 items
robust bias correction 1 items
scale economies 1 items
simplex regression 1 items
slice sampling 1 items
splines 1 items
systemic risk 1 items
taxable income 1 items
transmission 1 items
tuning parameter selection 1 items
uniform inference 1 items
unsupervised learning 1 items
volatility 1 items
volatility jump. 1 items
wavelets 1 items
yen 1 items
show more (185)
show less