This study investigates impacts of migration on the German economy, explicitly distinguishing refugee and non-refugee immigration. We propose a macroeconometric modelling approach complemented by instrumental variable techniques. We find that non-refugee immigration has more beneficial...

In this paper, we identify demand shocks that can have a permanent effect on output through hysteresis effects. We call these shocks permanent demand shocks. They are found to be quantitatively important in the United States, in particular when the sample includes the Great Recession. Recessions...

This short paper proposes a simultaneous equations model formulation for time series of count data. Some of the basic moment properties of the model are obtained. The inclusion of real valued exogenous variables is suggested to be through the parameters of the model. Some remarks on the...

We analyze the short- and long-term effects of the U.S. Vietnam-era military service on veterans' health outcomes using a restricted version of the National Health Interview Survey 1974-2013 and employing the draft lotteries as an instrumental variable (IV). We start by assessing whether the...

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures relate to highly persistent fundamentals, we adopt a...

This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...

In recent years local projections have become a more and more popular methodology for the estimation of impulse responses. Besides being relatively easy to implement, the main strength of this approach relative to the traditional VAR one is that there is no need to impose any specific assumption...

Motivating with two scenarios in which the government spending in China timely reacted to output shock within a quarter, this letter points out a downward bias in the estimation of Chinese government spending multiplier using the classical lag restriction for shock identification in a quarterly...

Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a single interest rate becomes problematic. This...