The Euro-area poses a unique problem in evaluating policy: a currency union with a shared monetary policy and country-specific fiscal policy. Analysis can be further complicated if high levels of public debt affect the performance of stabilization policy.
We compute welfare gains from trade in a dynamic, multicountry model with capital accumulation. We examine transition paths for 93 countries following a permanent, uniform, unanticipated trade liberalization.
This paper presents a theoretical model (adapted from the structural gravity model
by Anderson and van Wincoop, 2003) to capture the effects of terrorism on air passenger traffic
between nations affected by terrorism.
Empirical analysis of the Fed’s monetary policy behavior suggests that the Fed smooths
interest rates— that is, the Fed moves the federal funds rate target in several small steps instead
of one large step with the same magnitude.
Trade data are typically reported at the level of regions or countries and are therefore
aggregates across space. In this paper, we investigate the sensitivity of standard
gravity estimation to spatial aggregation.
College-educated workers entering the labor market in 1940 experienced a 4-fold increase in
their labor earnings between the ages of 25 and 55; in contrast, the increase was 2.6-fold for
those entering the market in 1980. For workers without a college education these figures are
3.6-fold and 1.5-fold, respectively.
We compare methods to measure comovement in business cycle data using multi-level dynamic
factor models. To do so, we employ a Monte Carlo procedure to evaluate model performance
for different specifications of factor models across three different estimation procedures.
Continued consolidation of the U.S. banking industry and general increase in the size of banks has prompted some policymakers to consider policies to discourage banks from getting larger, including explicit caps on bank size.
This paper analyzes the sources of the racial difference in the intergenerational transmission of human
capital by developing and estimating a dynastic model of parental time and monetary inputs in early childhood with endogenous fertility, home hours, labor supply, marriage, and divorce.
This paper investigates the effects of the Sarbanes-Oxley Act (SOX) on CEO compensation,
using panel data constructed for the S&P 1500 firms on CEO compensation,
financial returns, and reported accounting income.
This paper describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires "big data."
Metro Business Cycles by Maria A. Arias, Charles S. Gascon, and David E. Rapach
Working Paper 2014-046C posted November 2014, updated May 2016
We construct monthly economic activity indices for the 50 largest U.S. metropolitan statistical areas (MSAs) beginning in 1990. Each index is derived from a dynamic factor model based on twelve underlying variables capturing various aspects of metro area economic activity.
This paper extends the previous literature on geographic (heat waves) and intertemporal
(meteor showers) foreign exchange volatility transmission to characterize the role of jumps and
Academic studies show that technical trading rules would have earned substantial excess returns over long periods in foreign exchange markets. However, the approach to risk adjustment has typically been rather cursory.
In the wake of the Great Recession, the Federal Reserve lowered the federal funds rate (FFR) target essentially to zero and resorted to unconventional monetary policy. With the nominal FFR constrained by the zero lower bound (ZLB) for an extended period, empirical monetary models cannot be estimated as usual.
Event studies show that the Federal Reserve’s announcements of forward guidance and large-scale asset purchases had large and desired effects on asset prices but these studies do not tell us how long such effects last.
We consider the effect of some policies intended to shorten recessions and accelerate recoveries. Our innovation is to analyze the duration of the recoveries of various U.S. states, which
gives us a cross-section of both state- and national-level policies.