This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income, allowing for nonstationary, nonlinearities, asymmetries, and time-varying relationships among the series.
The Malthusian theory of evolution disregards a pervasive fact about human
societies: they expand through conflict. When this is taken account of the long-run
favors not a large population at the level of subsistence, nor yet institutions that
maximize welfare or per capita output, but rather institutions that maximize free
Factor models have become useful tools for studying international business cycles.
Block factor models can be especially useful as the zero restrictions on the loadings of
some factors may provide some economic interpretation of the factors.
A large literature studies the information contained in national-level economic
indicators, such as financial and aggregate economic activity variables, for forecasting and
nowcasting U.S. business cycle phases (expansions and recessions.)
We study the contraction of foreign direct investment (FDI) flows in the United States during the recent financial crisis and show their unusual non-resiliency, which depends in part on the global nature of the economic recession, but also on the increases in the cost of financing FDI in the economies in which the flows originate.
Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility.
This paper surveys recent developments in the evaluation of point forecasts.
Taking West’s (2006) survey as a starting point, we briefly cover the state of the litera-
ture as of the time of West’s writing.
Do parents alter their investment in their child’s human capital in response to changes in school inputs? If they do, then ignoring this effect will bias the estimates of school and parental inputs in educational production functions.
Much of the literature examining the effects of oil shocks asks the question ―What is an oil shock? and has concluded that oil-price increases are asymmetric in their effects on the US economy. That is, sharp increases in oil prices affect economic activity adversely, but sharp decreases in oil prices have no effect.
We investigate the importance of trend inflation and the real-activity gap for explaining observed inflation variation in G7 countries since 1960. Our results are based on a bivariate unobserved-components model of inflation and unemployment in which inflation is decomposed into a stochastic trend and transitory component.
With rare exception, studies of monetary policy tend to neglect the timing of innovations to monetary policy instruments. Models which take timing seriously are often difficult to compare to standard monetary VARs because each uses different frequencies.
This paper examines the inflation "pass-through" problem in American monetary policy, defined as the relationship between changes in the growth rates of individual goods and the subsequent economy-wide rate of growth of consumer prices.
This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal two-pass approach advocated by Fama and MacBeth (1973).