Using a novel approach to model regime switching with dynamic feedback and inter-actions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and...

A growing empirical literature finds that the allocation of credit across firms is as important as its total volume for economic performance. This paper investigates the process through which credit is reallocated across US businesses employing the methodology developed by Davis and Haltiwanger...

A recent paper by Bernanke, Gertler, and Watson (1997) suggests that monetary policy could be used to eliminate any recessionary consequences of an oil price shock. This paper challenges this conclusion on two grounds. First, we question whether the Federal Reserve actually has the power to...

We examine central bank intervention in foreign exchange markets using a dynamic censored regression model. We allow the amount of purchase and sale interventions to depend nonlinearly upon lagged values of intervention and on measures of disorderly foreign exchange markets. Using data for the...

A recent paper by Bernanke, Gertler and Watson (1997) suggests that monetary policy could be used to eliminate any recessionary consequences of an oil price shock. This paper challenges that conclusion on two grounds. First, we question whether the Federal Reserve actually has the power to...

This paper investigates the effect of industrial policies on resource misallocation using a rich data-set of Chinese firms. Using a difference-in-di¤erence approach, we provide evidence that government policies favoring particular industries lead to increased resource misallocation (i.e., an...

Estimated responses of real oil prices and US GDP to oil supply disruptions vary widely. We show that most variation is attributable to differences in identification assumptions and estimation techniques. Models that impose a large short-run price elasticity of oil supply imply a larger response...