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Correcting for Endogeneity in Models with Bunching

Caetano, Carolina; Caetano, Gregorio; Nielsen, Eric - 2020

We show that in models with endogeneity, bunching at the lower or upper boundary of the distribution of the treatment variable may be used to build a correction for endogeneity. We derive the asymptotic distribution of the parameters of the corrected model, provide an estimator of the standard...

Persistent link: https://www.econbiz.de/10014048750

Bias in Local Projections

Herbst, Edward P. - 2020

Local projections (LPs) are a popular tool in applied macroeconomic research. We survey the related literature and find that LPs are often used with very small samples in the time dimension. With small sample sizes, given the high degree of persistence in most macroeconomic data, impulse...

Persistent link: https://www.econbiz.de/10012834172

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123

A unified framework for dimension reduction in forecasting

Barbarino, Alessandro; Bura, Efstathia - 2017

series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and … forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive … of widely used macroeconomic series data with one or two sufficient reductions delivering similar forecasting performance …

Persistent link: https://www.econbiz.de/10011708094

Macroeconomic forecasting in times of crises

Guerrón-Quintana, Pablo A.; Zhong, Molin - 2017

We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based …

Persistent link: https://www.econbiz.de/10011708260

The Fragility of Discretionary Liquidity Provision - Lessons from the Collapse of the Auction Rate Securities Market

Han, Song; Li, Dan - 2011

We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive dataset constructed from auction reports and intraday...

Persistent link: https://www.econbiz.de/10014179447

Cracking the Conundrum

Backus, David; Wright, Jonathan H. - 2008

From 2004 to 2006, the FOMC raised the target federal funds rate by 4.25 percentage points, yet long-maturity yields and forward rates fell. We consider several possible explanations for this "conundrum." The most likely, in our view, is a fall in the term premium, probably associated with some...

Persistent link: https://www.econbiz.de/10014048054

Arbitrage and Liquidity : Evidence from a Panel of Exchange Traded Funds

Rappoport, David E.; Tuzun, Tugkan - 2020

Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by arbitrageurs. We study this relationship using a unique dataset of equity and bond ETFs compiled from big trade-level data. We find that liquidity is an important determinant...

Persistent link: https://www.econbiz.de/10014048719

Issues in the Use of the Balance Sheet Tool

Carlson, Mark; D'Amico, Stefania; Fuentes-Albero, Cristina - 2020

This paper considers various ways of using balance sheet policy (BSP) to provide monetary policy stimulus, including the BSPs put in place by the Federal Reserve in the wake of the Global Financial Crisis, the choice between fixed-size and flow-based asset purchase programs, policies targeting...

Persistent link: https://www.econbiz.de/10014048767

Intermeeting Rate Cuts as a Response to Rare Disasters

Miller, David S. - 2020

This paper measures the probability of rare disasters by measuring the probability of the intermeeting federal funds rate cuts they provoke. Differentiating between months with Federal Open Market Committee (FOMC) meetings and months without identifies excess returns on federal funds futures...

Persistent link: https://www.econbiz.de/10014048771