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Working Paper
Nonparametric Local Projections
Nonlinearities play an increasingly important role in applied work when studying the responses of macroeconomic aggregates to policy shocks. Seemingly natural adaptations of the popular local linear projection estimator to nonlinear settings may fail to recover the population responses of interest. In this paper we study the properties of an alternative nonparametric local projection estimator of the conditional and unconditional responses of an outcome variable to an observed identified shock. We discuss alternative ways of implementing this estimator and how to allow for data-dependent ...
Working Paper
Foreign Effects of Higher U.S. Interest Rates
This paper analyzes the spillovers of higher U.S. interest rates on economic activity in a large panel of 50 advanced and emerging economies. We allow the response of GDP in each country to vary according to its exchange rate regime, trade openness, and a vulnerability index that includes current account, foreign reserves, inflation, and external debt. We document large heterogeneity in the response of advanced and emerging economies to U.S. interest rate surprises. In response to a U.S. monetary tightening, GDP in foreign economies drops about as much as it does in the United States, with a ...