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Working Paper Archives

Federal Reserve Bank of St. Louis working papers are preliminary materials circulated to stimulate discussion and critial comment.

Mathematical and Quantitative Methods

Family Economics Writ Large

Powerful currents have reshaped the structure of families over the last century.

Markets, Externalities, and the Dynamic Gains of Openness

Infl‡ows of foreign knowledge are the key for developing countries to catch up with the world technology frontier.

Of Cities and Slums

The emergence of slums is a common feature in a country's path towards urbanization, structural transformation and development.

Optimal Taxation, Marriage, Home Production, and Family Labor Supply

An empirical approach to optimal income taxation design is developed within an equilibrium collective marriage market model with imperfectly transferable utility.

Network Search: Climbing the Job Ladder Faster

We introduce an irregular network structure into a model of frictional, on-the-job search in which workers find jobs through their network connections or directly from firms.

Natural Resources and Global Misallocation

Are production factors allocated efficiently across countries? To differentiate misallocation from factor intensity differences, we construct a new dataset of estimates for the output shares of natural resources for a large panel of countries.

Tests of Equal Accuracy for Nested Models with Estimated Factors

In this paper we develop asymptotics for tests of equal predictive ability between nested models when factor-augmented regression models are used to forecast.

Estimation of Dynastic Life-Cycle Discrete Choice Models

This paper explores the estimation of a class of life-cycle discrete choice intergenerational models. It proposes a new semiparametric estimator.

What Accounts for the Racial Gap in Time Allocation and Intergenerational Transmission of Human Capital?

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.

FRED-MD: A Monthly Database for Macroeconomic Research

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."

Explaining Educational Attainment across Countries and over Time

Consider the following facts. In 1950, the richest countries attained an average of 8 years of schooling whereas the poorest countries 1.3 years, a large 6-fold difference. By 2005, the difference in schooling declined to 2-fold because schooling increased faster in poor than in rich countries.

Education Policies and Structural Transformation

This article studies the impact of education and fertility in structural transformation and growth.

Endogenous Borrowing Constraints and Stagnation in Latin America

Latin America has had striking changes in economic performance over time. Following the recession and debt crises of the early 1980’s, consumption declined for about ten years and consumption per-capita in the year 2004 was roughly the same as it was in 1980.

A Theory of Targeted Search

We endogenize the degree of randomness in the matching process by proposing a model where agents have to pay a search cost to locate potential matches more accurately. The model features a tension between an agent's desire to find a more productive match and to maximize the odds of finding a match.

The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited

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 cross-rate propagation.

Sovereign Default and Maturity Choice

We develop a quantitative model of sovereign debt maturity choice and the term structure of bond yields in the presence of default risk.

Rural-Urban Migration, Structural Transformation, and Housing Markets in China

This paper explores the contribution of the structural transformation and urbanization process in the housing market in China. City migration ‡flows combined with an inelastic land supply, due to entry restrictions, has raised house prices.

Three Scenarios for Interest Rates in the Transition to Normalcy

This article develops time-series models to represent three alternative, potential monetary policy regimes as monetary policy returns to normal. The first regime is a return to the high and volatile inflation rate of the 1970s.

Corporate Income Tax, Legal Form of Organization, and Employment

We adopt a dynamic stochastic occupational choice model with heterogeneous agents and evaluate the impact of a potential reduction in the corporate income tax on employment.

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy

This paper analyzes and computes the equilibria of economies with large numbers of heterogeneous agents who have different asset trading technologies, preferences and beliefs.

The Limitations of Forward Guidance

This article examines forward guidance via news shocks to the monetary policy rule in a nonlinear New Keynesian model with an occasionally binding zero lower bound (ZLB) constraint on the policy rate.

The Analytics of Technology News Shocks

This paper constructs several models in which, unlike the standard neoclassical growth model, positive news about future technology generates an increase in current consumption, hours and investment.

Which continuous-time model is most appropriate for exchange rates?

This paper evaluates the most appropriate ways to model diffusion and jump features of high-frequency exchange rates in the presence of intraday periodicity in volatility. We show that periodic volatility distorts the size and power of conventional tests of Brownian motion, jumps and (in)finite activity.

Monetary Policy, the Tax Code, and the Real Effects of Energy Shocks

This paper develops a monetary model with taxes to account for the time-varying effects of energy shocks on output and hours worked in post-World War II U.S. data.

Investment and Incentives in Partnerships

Private information may limit insurance possibilities when a few agents form a partnership to pool idiosyncratic risk.

Analysis of Numerical Errors

This paper provides a general framework for the quantitative analysis of stochastic dynamic models. We review convergence properties of some numerical algorithms and available methods to bound approximation errors.

Multi-Step Ahead Forecasting of Vector Time Series

This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal nonstationarity and co-integration.

Bankruptcy and Delinquency in a Model of Unsecured Debt

This paper documents and interprets a fact central to the dynamics of informal consumer debt default: delinquency does not mean a persistent cessation of payment.

Why Doesn’t Technology Flow from Rich to Poor Countries?

What is the role of a country’s financial system in determining technology adoption? To examine this, a dynamic contract model is embedded into a general equilibrium setting with competitive intermediation.

Consistent Testing for Structural Change at the Ends of the Sample

In this paper we provide analytical and Monte Carlo evidence that Chow and Predictive tests can be consistent against alternatives that allow structural change to occur at either end of the sample.

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