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Working Paper
The Evolution of Regional Beveridge Curves
Owyang, Michael T.; Shell, Hannah; Soques, Daniel (2022-11-23)
The slow recovery of the labor market in the aftermath of the Great Recession highlighted mismatch, 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 groupings ...
Working Papers , Paper 2022-037

Report
Exploiting the monthly data flow in structural forecasting
Reichlin, Lucrezia; Monti, Francesca; Giannone, Domenico (2015-12-01)
This paper develops a framework that allows us to combine the tools provided by structural models for economic interpretation and policy analysis with those of reduced-form models designed for nowcasting. We show how to map a quarterly dynamic stochastic general equilibrium (DSGE) model into a higher frequency (monthly) version that maintains the same economic restrictions. Moreover, we show how to augment the monthly DSGE with auxiliary data that can enhance the analysis and the predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of ...
Staff Reports , Paper 751

Working Paper
Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Smith, Ron P.; Chudik, Alexander; Pesaran, M. Hashem (2023-11-08)
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly comparable to the widely used Pooled Mean Group (PMG) estimator, and is shown to be consistent and asymptotically normal. Monte Carlo simulations show good small sample performance of PB compared to the existing estimators in the literature, namely PMG, panel dynamic OLS (PDOLS) and panel fully-modified OLS (FMOLS). Application of two bias-correction ...
Globalization Institute Working Papers , Paper 409

Working Paper
The Factor Structure of Disagreement
Herbst, Edward P.; Winkler, Fabian (2021-07-30)
We estimate a Bayesian three-dimensional dynamic factor model on the individual forecasts in the Survey of Professional Forecasters. The factors extract the most important dimensions along which disagreement comoves across variables. We interpret our results through a general semi-structural dispersed information model. The two most important factors in the data describe disagreement about aggregate supply and demand, respectively. Up until the Great Moderation, supply disagreement was dominant, while in recent decades and particularly during the Great Recession, demand disagreement was most ...
Finance and Economics Discussion Series , Paper 2021-046

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

Report
A Measure of Trend Wage Inflation
Melcangi, Davide; Audoly, Richard; Almuzara, Martín (2023-07-01)
We extend time-series models that have so far been used to study price inflation (Stock and Watson [2016a]) and apply them to a micro-level dataset containing worker-level information on hourly wages. We construct a measure of aggregate nominal wage growth that (i) filters out noise and very transitory movements, (ii) quantifies the importance of idiosyncratic factors for aggregate wage dynamics, and (iii) strongly co-moves with labor market tightness, unlike existing indicators of wage inflation. We show that our measure is a reliable real-time indicator of wage pressures and a good ...
Staff Reports , Paper 1067

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
Have Standard VARs Remained Stable since the Crisis?
Clark, Todd E.; Aastveit, Knut Are; Marcellino, Massimiliano; Carriero, Andrea (2014-09-18)
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, or to explicitly consider parameter time variation. The earlier literature focused on whether there were sizable parameter changes in the early 1980s, in either the conditional mean or variance parameters, and in the subsequent period till the beginning of the new century. In this paper we conduct a similar analysis but focus on the effects of the recent crisis. Using a ...
Working Papers (Old Series) , Paper 1411

Working Paper
Macroeconomic Forecasting in a Multi-country Context
Clark, Todd E.; Marcellino, Massimiliano; Bai, Yu; Carriero, Andrea (2022-02-03)
In this paper we propose a hierarchical shrinkage approach for multi-country VAR models. In implementation, we consider three different scale mixtures of Normals priors — specifically, Horseshoe, Normal- Gamma, and Normal-Gamma-Gamma priors. We provide new theoretical results for the Normal-Gamma prior. Empirically, we use a quarterly data set for the G7 economies to examine how model specifications and prior choices affect the forecasting performance for GDP growth, inflation, and a short-term interest rate. We find that hierarchical shrinkage, particularly as implemented with the ...
Working Papers , Paper 22-02

Working Paper
Uniform Priors for Impulse Responses
Rubio-Ramirez, Juan F.; Waggoner, Daniel F.; Arias, Jonas E. (2023-09-28)
There has been a call for caution when using the conventional method for Bayesian inference in set-identified structural vector autoregressions on the grounds that the uniform prior over the set of orthogonal matrices could be nonuniform for individual impulse responses or other quantity of interest. This paper challenges this call by formally showing that, when the focus is on joint inference, the uniform prior over the set of orthogonal matrices is not only sufficient but also necessary for inference based on a uniform joint prior distribution over the identified set for the vector of ...
FRB Atlanta Working Paper , Paper 2023-13

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