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Using U.S. data over the period 1960Q3 - 2019Q4 we estimate a structural factor-augmented vector autoregressive model and find that a one standard deviation shock to macroeconomic uncertainty generates declines in state-level employment growth that range from -0.02 to -0.12 percentage points at...
Persistent link: https://www.econbiz.de/10013294340
This paper provides robust evidence for the non-linear effects of mortgage spread shocks during recessions and expansions in the United States. Estimating a smooth-transition VAR model, we show that mortgage spread shocks hitting in recessionary regimes create significantly deeper and more...
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Using a quarterly panel of U.S. corporations over the period 1985 – 2014 we show that corporate managers respond to political uncertainty and economic policy uncertainty shocks in different ways. We proxy for political uncertainty using the Partisan Conflict Index and employ a prevalent...
Persistent link: https://www.econbiz.de/10012899716
Using U.S. data over the period 1961 - 2000 we estimate a structural factor-augmented vector autoregressive model and find that a one standard deviation shock to macroeconomic uncertainty generates declines in state-level total factor productivity (TFP) growth that range from -0.15 to -0.98...
Persistent link: https://www.econbiz.de/10013247327
Motivated by the desire to probe macroeconomic tail events and to capture non-linear economic dynamics, we estimate two types of regime switching models: threshold VAR and Markov switching VAR. For each of the models, we estimate regimes which carry the interpretation of recessionary/normal and...
Persistent link: https://www.econbiz.de/10012984718
Forecasts play a critical role at inflation-targeting central banks, such as the Bank of England. Breaks in the forecast performance of a model can potentially incur important policy costs. Commonly used statistical procedures, however, implicitly put a lot of weight on type I errors (or false...
Persistent link: https://www.econbiz.de/10012921528
I use event study and synthetic control methods on a panel of American states over the period 1960 -- 2008 to test whether adoption of a supermajority requirement impacts state-level expenditures and tax revenue. I find evidence that supermajority requirements lead to a sustained reduction in...
Persistent link: https://www.econbiz.de/10012827051