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Working Paper
Optimal fiscal policy in a business cycle model (technical appendix)
Kehoe, Patrick J.; Chari, V. V.; Christiano, Lawrence J. (1996)
Working Papers , Paper 567

Working Paper
Deconstructing Delays in Sovereign Debt Restructuring
Benjamin, David; Wright, Mark L. J. (2018-07-16)
Negotiations to restructure sovereign debt are time consuming, taking almost a decade on average to resolve. In this paper, we analyze a class of widely used complete information models of delays in sovereign debt restructuring and show that, despite superficial similarities, there are major differences across models in the driving force for equilibrium delay, the circumstances in which delay occurs, and the efficiency of the debt restructuring process. We focus on three key assumptions. First, if delay has a permanent effect on economic activity in the defaulting country, equilibrium delay ...
Working Papers , Paper 753

Working Paper
Real-time forecasting with a mixed-frequency VAR
Song, Dongho; Schorfheide, Frank (2012)
This paper develops a vector autoregression (VAR) for macroeconomic time series which are observed at mixed frequencies ? quarterly and monthly. The mixed-frequency VAR is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. Using a real-time data set, we generate and evaluate forecasts from the mixed-frequency VAR and compare them to forecasts from a VAR that is estimated based on data time-aggregated to quarterly frequency. We document how information that becomes available within the quarter improves the forecasts in real time.
Working Papers , Paper 701

Working Paper
A model of banknote discounts
Weber, Warren E.; Maziero, Pricila; Ales, Laurence; Carapella, Francesca (2006)
Prior to 1863, state-chartered banks in the United States issued notes - dollar-denominated promises to pay specie to the bearer on demand. Although these notes circulated at par locally, they usually were quoted at a discount outside the local area. These discounts varied by both the location of the bank and the location where the discount was being quoted. Further, these discounts were asymmetric across locations, meaning that the discounts quoted in location A on the notes of banks in location B generally differed from the discounts quoted in location B on the notes of banks in location A. ...
Working Papers , Paper 641

Working Paper
Seasonality and portfolio balance under rational expectations
Sargent, Thomas J.; Saracoglu, Rusdu (1976)
Working Papers , Paper 58

Working Paper
On the needed quantity of government debt
Prescott, Edward C.; Birkeland, Kathryn (2006)
People are having longer retirement periods, and population growth is slowing and has even stopped in some countries. In this paper we determined the implications of these changes for the needed amount of government debt. The needed debt is near zero if there are high tax rates and the transfer share of gross national income (GNI) is high. But, with such a system there are huge dead-weight losses as the result of the high tax rate on labor income. With a savings system, a large government debt to annual GNI ratio is needed, as large as 5 times GNI, and welfare is as much as 24 percent higher ...
Working Papers , Paper 648

Working Paper
Capital Buffers in a Quantitative Model of Banking Industry Dynamics
Corbae, Dean; D'Erasmo, Pablo (2021-05-26)
We develop a model of banking industry dynamics to study the quantitative impact of regulatory policies on bank risk taking and market structure. Since our model is matched to U.S. data, we propose a market structure where big banks with market power interact with small, competitive fringe banks as well as non-bank lenders. Banks face idiosyncratic funding shocks in addition to aggregate shocks which affect the fraction of performing loans in their portfolio. A nontrivial bank size distribution arises out of endogenous entry and exit, as well as banks' buffer stock of capital. We show the ...
Working Papers , Paper 779

Working Paper
Variable selection and model comparison in regression
Geweke, John F. (1994)
In the specification of linear regression models it is common to indicate a list of candidate variables from which a subset enters the model with nonzero coefficients. This paper interprets this specification as a mixed continuous-discrete prior distribution for coefficient values. It then utilizes a Gibbs sampler to construct posterior moments. It is shown how this method can incorporate sign constraints and provide posterior probabilities for all possible subsets of regressors. The methods are illustrated using some standard data sets.
Working Papers , Paper 539

Working Paper
Bayesian comparison of econometric models
Geweke, John F. (1994)
Working Papers , Paper 532

Working Paper
Inflation at the Household Level: Web Appendix
Schulhofer-Wohl, Sam; Kaplan, Greg (2016-04-11)
This appendix contains additional results on using scanner data to estimate inflation rates at the household level. There are three sections. Section 1 shows cross-sectional distributions of Fisher and Paasche inflation rates. Section 2 shows the evolution over time of measures of dispersion of Fisher and Paasche inflation rates. Section 3 shows cross-sectional distributions of two-year inflation rates measured with Fisher and Paasche indexes.
Working Papers , Paper 732

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