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Working Paper
Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis
Fuhrer, Jeffrey C.; Estrella, Arturo (1999)
For years, the problems associated with the Lucas critique have loomed over empirical macroeconomics. Since the publication of the classic Lucas (1976) critique, researchers have endeavored to specify models that capture the underlying dynamic decision-making behavior of consumers and firms who require forecasts of future events. By uncovering "deep" structural parameters that characterize these fundamental behaviors, and by explicitly modeling expectations, it is argued one can capture the dependence of agents' behavior on the functions describing policy. However, relatively little effort ...
Working Papers , Paper 99-4

Discussion Paper
The structure of a machine-built forecasting system
Tindall, Michael; Chen, Jiaqi (2013)
This paper describes the structure of a rule-based econometric forecasting system designed to produce multi-equation econometric models. The paper describes the functioning of a working system which builds the econometric forecasting equation for each series submitted and produces forecasts of the series. The system employs information criteria and cross validation in the equation building process, and it uses Bayesian model averaging to combine forecasts of individual series. The system outperforms standard benchmarks for a variety of national economic datasets.
Occasional Papers , Paper 13-1

Working Paper
Judging instrument relevance in instrumental variables estimation
Hall, Alastair R.; Wilcox, David W.; Rudebusch, Glenn D. (1994)
Finance and Economics Discussion Series , Paper 94-3

Working Paper
The financial accelerator and the flight to quality
Gilchrist, Simon; Gertler, Mark; Bernanke, Ben S. (1994)
Finance and Economics Discussion Series , Paper 94-18

Working Paper
Detecting lack of identification in GMM
Wright, Jonathan H. (2000)
In the standard linear instrumental variables regression model, it must be assumed that the instruments are correlated with the endogenous variables in order to ensure the consistency and asymptotic normality of the usual instrumental variables estimator. Indeed, if the instruments are only slightly correlated with the endogenous variables, the conventional Gaussian asymptotic theory may still provide a very poor approximation to the finite sample distribution of the usual instrumental variables estimator. Because of the crucial role of this identification condition, it is common to test for ...
International Finance Discussion Papers , Paper 674

Working Paper
Near observational equivalence and unit root processes: formal concepts and implications
Faust, Jon (1993)
A number of recent papers have discussed the fact that difference stationary and trend stationary processes are nearly observationally equivalent. The meaning of this fact, however, remains clouded. This paper defines near observational equivalence and derives several implications of the notion for classical and Bayesian unit root inference. For example, unless restrictions are imposed on the general difference and trend stationary models, the exact size of any consistent unit root test rises to one with sample size. Bayesian posteriors regarding unit roots are arbitrary in the sense that ...
International Finance Discussion Papers , Paper 447

Working Paper
When do long-run identifying restrictions give reliable results?
Faust, Jon; Leeper, Eric M. (1994)
Many recent papers have tried to identify behavioral disturbances in vector autoregressions (VAR's) by imposing restrictions on the long-run effects of shocks. This paper argues that this approach will support reliable structured inferences only if the underlying economy satisfies strong restrictions. Absent restrictions linking long-run and short-run dynamics, every decomposition of a VAR is essentially equally consistent with any long-run restriction. Further, dynamic common factor restrictions must hold if the scheme is to work properly in small models estimated using time-aggregated data. ...
International Finance Discussion Papers , Paper 462

Journal Article
Central bank dollar swap lines and overseas dollar funding costs
Miu, Jason; Kennedy, Craig; Goldberg, Linda S. (2011-05)
In the decade prior to the financial crisis, foreign banks? exposure to U.S.-dollar-denominated assets rose dramatically. When the crisis hit in 2007, the banks? access to dollar funding came under severe duress, with potentially dire consequences for global financial markets that could also spread to U.S. markets. The Federal Reserve responded in December 2007 by establishing temporary reciprocal currency swap lines, or facilities, with foreign central banks designed to ameliorate dollar funding stresses overseas. Drawing on rigorous analysis of the swaps, as well as insights of other ...
Economic Policy Review , Volume 17 , Issue May , Pages 3-20

Working Paper
Exact maximum likelihood estimation of ARCH models
Diebold, Francis X.; Schuermann, Til (1993)
Working Papers , Paper 93-4

Working Paper
The risk-free U.S. bond rate : errors in construction and use in econometric work
Hendershott, Patric H.; Cook, Timothy Q. (1977)
Observed differentials among yield series for different types of long-term instruments--U.S. government bonds, municipal bonds, corporate bonds and residential mortgages--vary considerably over time.
Working Paper , Paper 77-03

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