Remarks at the Center for the New Economy 2010 Economic Conference, San Juan, Puerto Rico.

We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending (sec lending) markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, and...

This paper derives exact expressions for statistical curvature and related geometric quantities in the first order autoregressive models with stable and unit roots, as well as explosive roots larger than unity. We develop a method for deriving exact moments of arbitrary order in general...

A recent influential paper (O'Connell 1998) argues that panel data evidence in favor of purchasing power parity disappears once test procedures are altered to accommodate heterogeneous cross-sectional dependence among real exchange rate innovations. We present evidence to the contrary. First, we...

This paper develops a consistent bootstrap estimation procedure for obtaining confidence intervals for Malmquist indices of productivity and their decompositions. Although the exposition is in terms of input-oriented indices, the techniques can be trivially extended to the output orientation....

We propose a Bayesian procedure for multiple outlier detection in linear models avoiding the masking problem. Our proposal is illustrated with several examples in which our procedure outperforms other recent methods for multiple outlier detection. The posterior probalities of each data point...