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Jel Classification:C23 

Working Paper
Countercyclical policy and the speed of recovery after recessions

We consider the effect of some policies intended to shorten recessions and accelerate recoveries. Our innovation is to analyze the duration of the recoveries of various U.S. states, which gives us a cross-section of both state- and national-level policies. Because we study multiple recessions for the same state and multiple states for the same recession, we can control for differences in the economic conditions preceding recessions and the causes of the recessions when evaluating various policies. We find that expansionary monetary policy at the national level helps to stimulate the exit of ...
Working Papers , Paper 2013-032

Working Paper
The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models

A standard approach to estimating structural parameters in life-cycle models imposes sufficient assumptions on the data to identify the ?age profile" of outcomes, then chooses model parameters so that the model's age profile matches this empirical age profile. I show that this approach is both incorrect and unnecessary: incorrect, because it generally produces inconsistent estimators of the structural parameters, and unnecessary, because consistent estimators can be obtained under weaker assumptions. I derive an estimation method that avoids the problems of the standard approach. I ...
Working Paper Series , Paper WP-2017-18

Working Paper
exuber: Recursive Right-Tailed Unit Root Testing with R

This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi and Yu (2015a,b), and the panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack and Grossman (2016); generates finite-sample critical values based on Monte Carlo and bootstrap methods; and implements the corresponding date-stamping procedures. The recursive least-squares algorithm that ...
Globalization Institute Working Papers , Paper 383

Discussion Paper
What Explains the Post–2011 Trends of Longer Maturities and Rising Default Rates on Auto Loans?

This paper quantifies relationships of long-term auto borrowing and auto-loan default to observable borrower characteristics and economic variables. We also quantify the residual components of the trends in long-term borrowing and delinquency not attributable to identifiable factors. Second, our paper provides new evidence on the relationship between longer-term borrowing and auto-loan default risk. We find that observable factors associated with the choice of a long loan term usually indicate an increased risk of default. We also find that the increasing share of long-term loans and the ...
Consumer Finance Institute discussion papers , Paper 20-02

Working Paper
Modeling Event Studies with Heterogeneous Treatment Effects

This paper develops a simple approach to overcome the shortcomings of using a standard, single treatment–effect event study to assess the ability of an empirical model to measure heterogeneous treatment effects. Equally as important, we discuss how the standard errors reported in a typical event-study analysis for the posttreatment event-time effects are, without additional information, of limited use for assessing posttreatment variations in the treatment effects. The simple reformulation of the standard event—study approach described and illustrated with artificially constructed data in ...
FRB Atlanta Working Paper , Paper 2023-11

Working Paper
Can Italy Grow Out of Its NPL Overhang? A Panel Threshold Analysis

This paper examines whether a tipping point exists for real GDP growth in Italy above which the ratio of non-performing loans (NPLs) to total loans falls significantly. Estimating a heterogeneous dynamic panel-threshold model with data on 17 Italian regions over the period 1997-2014, we provide evidence for the presence of growth-threshold effects on the NPL ratio in Italy. More specifically, we find that real GDP growth above 1.2 percent, if sustained for a number of years, is associated with a significant decline in the NPLs ratio. Achieving such growth rates requires decisively tackling ...
Globalization Institute Working Papers , Paper 309

Approximating Grouped Fixed Effects Estimation via Fuzzy Clustering Regression

We propose a new, computationally-efficient way to approximate the “grouped fixed-effects” (GFE) estimator of Bonhomme and Manresa (2015), which estimates grouped patterns of unobserved heterogeneity. To do so, we generalize the fuzzy C-means objective to regression settings. As the regularization parameter m approaches 1, the fuzzy clustering objective converges to the GFE objective; moreover, we recast this objective as a standard Generalized Method of Moments problem. We replicate the empirical results of Bonhomme and Manresa (2015) and show that our estimator delivers almost identical ...
Staff Reports , Paper 1033

Measuring the Effects of the Covid-19 Delta Wave on the U.S. Hourly Labor Market

In this article, we take a closer look at the implications of rising Covid-19 cases and vaccination rates for the U.S. hourly labor market. To do so, we rely on geographic variation in the high-frequency data collected by the firm Homebase with its timekeeping software. This data source allows us to make use of U.S. state-level variation on a daily basis in order to decompose the effects on hourly employees and hours worked from both rising cases and vaccinations.
Chicago Fed Letter , Issue 461 , Pages 6

Working Paper
Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG) estimator. The Bewley transform enables us to obtain an analytical closed form expression for the PB, which is not available when using the maximum likelihood approach. This lets us establish asymptotic normality of PB as n,T→∞ jointly, allowing for applications with n and T large and of the same order of ...
Globalization Institute Working Papers , Paper 409

Working Paper
Duration Dependence, Monetary Policy Asymmetries, and the Business Cycle

We produce business cycle chronologies for U.S. states and evaluate the factors that change the probability of moving from one phase to another. We find strong evidence for positive duration dependence in all business cycle phases but find that the effect is modest relative to other state- and national-level factors. Monetary policy shocks also have a strong influence on the transition probabilities in a highly asymmetric way. The effect of policy shocks depends on the current state of the cycle as well as the sign and size of the shock.
Finance and Economics Discussion Series , Paper 2019-020


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