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Jel Classification:C36 

Working Paper
Reconsidering the Fed’s Forecasting Advantage

Previous studies show the Fed has a forecast advantage over the private sector, either because it devotes more resources to forecasting or because it has an informational advantage in knowing the path of future monetary policy. We evaluate the Fed’s forecast advantage to determine how much of it results from the Fed’s knowledge of the conditioning path. We develop two tests—an instrumental variable encompassing test and a path-dependent encompassing test—to equalize the Fed’s information set with the private sector’s. We find that, generally, the Fed does not encompass the private ...
Working Papers , Paper 2022-001

Working Paper
Interest Rate Surprises: A Tale of Two Shocks

Interest rate surprises around FOMC announcements reveal both the surprise in the monetary policy stance (the pure policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the information shock). In order to disentangle the effects of these two shocks, we use interest rate changes on days of macroeconomic data releases. On these release dates, there are no pure policy shocks, which allows us to identify the impact of information shocks and thereby distill pure policy shocks from interest rate surprises around FOMC announcements. Our ...
Working Papers , Paper 22-2

Working Paper
Individual Social Capital and Migration

This paper determines how individual, relative to community, social capital affects individual migration decisions. We make use of nonpublic data from the Social Capital Community Benchmark Survey to predict multidimensional social capital for observations in the Current Population Survey. We find evidence that individuals are much less likely to have moved to a community with average social capital levels lower than their own and that higher levels of community social capital act as positive pull-factor amenities. The importance of that amenity differs across urban/rural locations. We also ...
FRB Atlanta Working Paper , Paper 2018-3

Working Paper
Reconsidering the Fed’s Forecasting Advantage

Previous studies show the Fed has a forecast advantage over the private sector, either because it devotes more resources to forecasting or because it has an informational advantage in knowing the path of future monetary policy. We evaluate the Fed’s forecast advantage to determine how much of it results from the Fed’s knowledge of the conditioning path. We develop two tests—an instrumental variable encompassing test and a path-dependent encompassing test—to equalize the Fed’s information set with the private sector’s. We find that, generally, the Fed does not encompass the private ...
Working Papers , Paper 2022-001

Working Paper
Evidence on the Production of Cognitive Achievement from Moving to Opportunity

This paper performs a subgroup analysis on the effect of receiving a Moving to Opportunity (MTO) housing voucher on test scores. I find evidence of heterogeneity by number of children in the household in Boston, gender in Chicago, and race/ethnicity in Los Angeles. To study the mechanisms driving voucher effect heterogeneity, I develop a generalized Rubin Causal Model and propose an estimator to identify transition-specific Local Average Treatment Effects (LATEs) of school and neighborhood quality. Although I cannot identify such LATEs with the MTO data, the analysis demonstrates that ...
Working Papers (Old Series) , Paper 1707

Working Paper
Facts and Fiction in Oil Market Modeling

Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its precursors are incorrect. Their critiques are also directed at other researchers who have worked in this area and, more generally, extend to research using structural VAR models outside of energy economics. The purpose of this paper is to help the reader understand what the real issues are in this ...
Working Papers , Paper 1907

Working Paper
A Robust Test for Weak Instruments with Multiple Endogenous Regressors

We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger (2013) for one endogenous regressor to the general case with multiple endogenous regressors. We describe a simple procedure for applied researchers to conduct our generalized first-stage test of instrument strength and provide efficient and easy-to-use Matlab code for its implementation. We demonstrate ...
Working Papers , Paper 2208

Working Paper
Dynamic Identification Using System Projections and Instrumental Variables

We propose System Projections with Instrumental Variables (SP-IV) to estimate dynamic structural relationships. SP-IV replaces lag sequences of instruments in traditional IV with lead sequences of endogenous variables. SP-IV allows the inclusion of controls to weaken exogeneity requirements, can be more efficient than IV with lags, and allows identification over many time horizons without creating many-weak-instruments problems. SP-IV also enables the estimation of structural relationships across impulse responses obtained from local projections or vector autoregressions. We provide a ...
Working Papers , Paper 2204

Working Paper
Facts and Fiction in Oil Market Modeling

A series of recent articles has called into question the validity of VAR models of the global market for crude oil. These studies seek to replace existing oil market models by structural VAR models of their own based on different data, different identifying assumptions, and a different econometric approach. Their main aim has been to revise the consensus in the literature that oil demand shocks are a more important determinant of oil price fluctuations than oil supply shocks. Substantial progress has been made in recent years in sorting out the pros and cons of the underlying econometric ...
Working Papers , Paper 1907

Working Paper
In-migration and Dilution of Community Social Capital

Consistent with predictions from the literature, we find that higher levels of in-migration dilute multiple dimensions of a community's level of social capital. The analysis employs a 2SLS methodology to account for potential endogeneity of migration.
FRB Atlanta Working Paper , Paper 2018-5

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