Research Department Working Papers
When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?
Several recent studies have expressed concern that the Haar prior typically employed in estimating sign-identified VAR models is driving the prior about the structural impulse responses and hence their posterior. This paper provides evidence that the quantitative importance of the Haar prior for posterior inference has been overstated.
July 09, 2024
Research Department Working Papers
Dynamic Identification Using System Projections on Instrumental Variables
This paper proposes System Projections on Instrumental Variables (SP-IV) to estimate structural relationships using regressions of structural impulse responses obtained from local projections or vector autoregressions.
July 03, 2024
Globalization Institute Working Paper
Mean Group Distributed Lag Estimation of Impulse Response Functions in Large Panels
This paper develops Mean Group Distributed Lag (MGDL) estimation of impulse responses of common shocks in large panels with one or two cross-section dimensions.
May 07, 2024
Research Department Working Papers
Estimating Macroeconomic News and Surprise Shocks
This paper examines the ability of the state-of-the-art VAR approach in Kurmann and Sims (2021) to identify responses to TFP news shocks and possibly surprise shocks in theory and practice.
March 22, 2024
Globalization Institute Working Paper
Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed.
November 07, 2023
Policy impact of unexpected Fed rate movements blurred by key information cues
Unexpected Federal Reserve monetary policy moves can profoundly affect market participants, investors and the economy. The impact of policy stems not only from its direct effects—the traditional focus for economists—but also from the new information revealed about the Fed’s economic outlook.
August 22, 2023
Research Department Working Papers
State-Dependent Local Projections
Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks.
April 19, 2023
Globalization Institute Working Paper
Revisiting the Great Ratios Hypothesis
Using a new system pooled mean group estimator and a dataset spanning almost one and a half centuries and 17 countries, this paper finds support for five out of the seven great ratios considered.
April 14, 2023
Job vacancy, unemployment relationship clouds ‘soft landing’ prospects
Some economists have argued that because the job vacancy rate has been well above its prepandemic level, there is plenty of room for vacancies to fall before the unemployment rate must rise.
February 07, 2023
Globalization Institute Working Paper
Variable Selection in High Dimensional Linear Regressions with Parameter Instability
This paper is concerned with the problem of variable selection when the marginal effects of signals on the target variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to any particular model of parameter instabilities.
January 18, 2023