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Working Paper
Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
Recent decades have seen advances in using econometric methods to produce more timely and higher-frequency estimates of economic activity at the national level, enabling better tracking of the economy in real time. These advances have not generally been replicated at the sub–national level, likely because of the empirical challenges that nowcasting at a regional level presents, notably, the short time series of available data, changes in data frequency over time, and the hierarchical structure of the data. This paper develops a mixed– frequency Bayesian VAR model to address common ...
Discussion Paper
The Phillips Curve during the Pandemic: Bringing Regional Data to Bear
The Phillips curve appears to have held up well at the regional level during the COVID-19 era. Areas of the country that took relatively large hits to their unemployment rate and employment-population ratio during the pandemic have had lower inflation, on average, than areas that took relatively small hits. And, just as prior to the pandemic, the inverse relationship between inflation and unemployment continues to be statistically stronger for the prices of services than of goods. The Phillips curve appears to have held up well at the regional level during the COVID-19 era. Areas of the ...
Working Paper
How Much Should We Trust Regional-Exposure Designs?
Many prominent studies in macroeconomics, labor, and trade use panel data on regions to identify the local effects of aggregate shocks. These studies construct regional-exposure instruments as an observed aggregate shock times an observed regional exposure to that shock. We argue that the most economically plausible source of identification in these settings is uncorrelatedness of observed and unobserved aggregate shocks. Even when the regression estimator is consistent, we show that inference is complicated by cross-regional residual correlations induced by unobserved aggregate shocks. We ...
Journal Article
The Phillips Curve during the Pandemic: Bringing Regional Data to Bear
The Phillips curve appears to have held up well at the regional level during the COVID-19 era. Areas of the country that took relatively large hits to their unemployment rate and employment-population ratio during the pandemic have had lower inflation, on average, than areas that took relatively small hits. And, just as prior to the pandemic, the inverse relationship between inflation and unemployment continues to be statistically stronger for the prices of services than of goods.
Working Paper
Partially Disaggregated Household-level Debt Service Ratios: Construction and Validation
Currently published data series on the United States household debt service ratio are constructed from aggregate household debt data provided by lenders and estimates of the average interest rate and loan terms of a range of credit products. The approach used to calculate those debt service ratios could be prone to missing changes in loan terms. Better measurement of this important indicator of financial health can help policymakers anticipate and react to crises in household finance. We develop and estimate debt service ratio measures based on individual-level debt payments data obtained ...
Working Paper
Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting
Interest in regional economic issues coupled with advances in administrative data is driving the creation of new regional economic data. Many of these data series could be useful for nowcasting regional economic activity, but they suffer from a short (albeit constantly expanding) time series which makes incorporating them into nowcasting models problematic. Regional nowcasting is already challenging because the release delay on regional data tends to be greater than that at the national level, and "short" data imply a "ragged edge" at both the beginning and the end of regional data sets, ...
Journal Article
The Phillips Curve during the Pandemic: Bringing Regional Data to Bear
The Phillips curve appears to have held up well at the regional level during the COVID-19 era. Areas of the country that took relatively large hits to their unemployment rate and employment-population ratio during the pandemic have had lower inflation, on average, than areas that took relatively small hits. And, just as prior to the pandemic, the inverse relationship between inflation and unemployment continues to be statistically stronger for the prices of services than of goods.The Phillips curve appears to have held up well at the regional level during the COVID-19 era. Areas of the ...