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Money, credit, monetary policy, and the business cycle in the euro area: what has changed since the crisis?
Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia (2019-04-01)
This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and long-term loans and deposits exceptionally low since the Lehman collapse. Instead, short-term interest rates and short-term loans and deposits did not show abnormal dynamics in the course of the financial and sovereign debt crisis.
Staff Reports , Paper 885

Working Paper
Reaction functions in a small open economy: What role for non-traded inflation?
Santacreu, Ana Maria (2005-06-01)
I develop a structural general equilibrium model and estimate it for New Zealand using Bayesian techniques. The estimated model considers a monetary policy regime where the central bank targets overall inflation but is also concerned about output, exchange rate movements, and interest rate smoothing. Taking the posterior mean of the estimated parameters as representing the characteristics of the New Zealand economy, I compare the consequences that two alternative reaction functions have on the central bank's loss, for different specifications of its preferences. I obtain conditions under ...
Working Papers , Paper 2014-44

Working Paper
Gaussian Mixture Approximations of Impulse Responses and the Nonlinear Effects of Monetary Shocks
Barnichon, Regis; Matthes, Christian (2014-03-01)
This paper proposes a new method to estimate the (possibly nonlinear) dynamic effects of structural shocks by using Gaussian basis functions to parametrize impulse response functions. We apply our approach to the study of monetary policy and obtain two main results. First, regardless of whether we identify monetary shocks from (i) a timing restriction, (ii) sign restrictions, or (iii) a narrative approach, the effects of monetary policy are highly asymmetric: A contractionary shock has a strong adverse effect on unemployment, but an expansionary shock has little effect. Second, an ...
Working Paper , Paper 16-8

Working Paper
Assessing U.S. Aggregate Fluctuations Across Time and Frequencies
Matthes, Christian; Lubik, Thomas A.; Verona, Fabio (2019-02-28)
We study the behavior of key macroeconomic variables in the time and frequency domain. For this purpose, we decompose U.S. time series into various frequency components. This allows us to identify a set of stylized facts: GDP growth is largely a high-frequency phenomenon whereby inflation and nominal interest rates are characterized largely by low-frequency components. In contrast, unemployment is a medium-term phenomenon. We use these decompositions jointly in a structural VAR where we identify monetary policy shocks using a sign restriction approach. We find that monetary policy shocks ...
Working Paper , Paper 19-6

Working Paper
Simultaneous Spatial Panel Data Models with Common Shocks
Lu, Lina (2017-08-09)
I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroskedasticity result in a large number of incidental parameters. I propose two estimation approaches, a quasi-maximum likelihood (QML) method and an iterative generalized principal components (IGPC) method. I develop full inferential theories for the estimation approaches and study the trade-off between the model specifications and their respective asymptotic properties. I further ...
Supervisory Research and Analysis Working Papers , Paper RPA 17-3

Working Paper
The Role of News about TFP in U.S. Recessions and Booms
Faccini, Renato; Melosi, Leonardo (2018-04-15)
We develop a general equilibrium model to study the historical contribution of TFP news to the U.S. business cycle. Hiring frictions provide incentives for firms to start hiring ahead of an anticipated improvement in technology. For plausibly calibrated hiring costs, employment gradually rises in response to positive TFP news shocks even under standard preferences. TFP news shocks are identified mainly by current and expected unemployment rates since periods in which average unemployment is relatively high (low) are also periods in which average TFP growth is slow (fast). We work out the ...
Working Paper Series , Paper WP-2018-6

Working Paper
Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?
Rudebusch, Glenn D.; Christensen, Jens H. E.; Lopez, Jose A. (2014-01-16)
The ability of the usual factors from empirical arbitrage-free representations of the term structure?that is, spanned factors?to account for interest rate volatility dynamics has been much debated. We examine this issue with a comprehensive set of new arbitrage-free term structure specifications that allow for spanned stochastic volatility to be linked to one or more of the yield curve factors. Using U.S. Treasury yields, we find that much realized stochastic volatility cannot be associated with spanned term structure factors. However, a simulation study reveals that the usual realized ...
Working Paper Series , Paper 2014-3

Working Paper
The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure
Rubio-Ramirez, Juan F.; Arias, Jonas E.; Caldara, Dario (2015-03-12)
Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output. Hence, our results show that the contractionary effects of monetary policy shocks do not hinge on questionable ...
International Finance Discussion Papers , Paper 1131

Working Paper
ivcrc: An Instrumental Variables Estimator for the Correlated Random Coefficients Model
Benson, David; Masten, Matthew A.; Torgovitsky, Alexander (2020-06-16)
We present the ivcrc command, which implements an instrumental variables (IV) estimator for the linear correlated random coefficients (CRC) model. This model is a natural generalization of the standard linear IV model that allows for endogenous, multivalued treatments and unobserved heterogeneity in treatment effects. The proposed estimator uses recent semiparametric identification results that allow for flexible functional forms and permit instruments that may be binary, discrete, or continuous. The command also allows for the estimation of varying coefficients regressions, which are ...
Finance and Economics Discussion Series , Paper 2020-046

Working Paper
Modelling Dependence in High Dimensions with Factor Copulas
Oh, Dong Hwan; Patton, Andrew J. (2015-05-18)
his paper presents flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure. The proposed models are particularly attractive for relatively high dimensional applications, involving fifty or more variables, and can be combined with semiparametric marginal distributions to obtain flexible multivariate distributions. Factor copulas generally lack a closed-form density, but we obtain analytical results for the implied tail dependence using extreme value theory, and we verify that simulation-based estimation using rank statistics is ...
Finance and Economics Discussion Series , Paper 2015-51

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