Görtz et al. (2022) estimate the effects of innovations to future total factor productivity (TFP) on financial markets. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter ahead forecast error variance (FEV) of TFP. Their...

We study the determinants of local governments' reliance on bank loans using granular data from the Federal Reserve. Governments that are larger, rely on stable revenue sources, or have higher spending relative to revenues are more likely to borrow from banks. About a third of governments in the...

We show that nonbank lenders act as global shock absorbers from US monetary policy spillovers. We exploit loan-level data from the global syndicated lending market and US monetary policy surprises. When US policy tightens, nonbanks increase dollar credit supply to non-US firms (relative to...

We exploit inequality restrictions on higher-order moments of the distribution of structural shocks to sharpen their identification. We show that these constraints can be treated as necessary conditions and used to shrink the set of admissible rotations. We illustrate the usefulness of this...

I consider a neoclassical growth model with endogenous labor supply in which agents have private information about their idiosyncratic value of leisure. A key assumption is that these shocks follow a persistent stochastic process over time. For this economy I solve the economy-wide mechanism...

This paper examines the subjective treatment effects of a negative shock created by the COVID-19 pandemic on the labour market outcomes of young adults in India, Peru, and Vietnam. We leverage subjective counterfactual outcomes at the individual-level that were purposely collected from over...

We study the effect of monetary policy surprise shocks on real output and the price level, conditioned on different fiscal stances in the period 2001Q4-2021Q4 for a panel of the 19 countries of the Euro Area. Applying local projection methodology, we find that the effect of monetary shocks...

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

We assess the solidity and debt servicing capacity of Danish homeowners by simulating the impact on household budgets of inflation, rising interest rates and a potential unemployment shock, and calculating the remaining economic margin. A negative economic margins means the household would not...

We estimate the effects of economic uncertainty on time use and discuss its macroeconomic implications. Using data from the American Time Use Survey, we first infer cyclical variation in home production and leisure time. We then document that higher uncertainty increases housework and reduces...

Building on the seminal paper of Weber et al. (2022), we provide a stress-test framework of inflation exposure and apply it to the EU28. This adds a yet unrecognised dimension to the latest calls for supply chain stress-tests. We address both the ex- and internal dimensions of inflation exposure...

South Africa has one of the highest crime rates in the world. This paper examines the effect of weather shocks on various types of crime. Using a 12-year panel data set at a monthly resolution on the police ward level, we observe a short-term effect of temperatures on violent crime. Furthermore,...

We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity...

We investigate the stages of childhood at which parental job loss is most consequential for their child's education. Using Danish administrative data linking parents experiencing plant closures to their children, we compare end-of-school outcomes to matched peers and to closures hitting after...

Using firm-level data, we study how firm expectations adjust to news while accounting for a) the heterogeneity of news and b) the heterogeneity of firms. We classify news as either micro or macro, that is, information about firm-specific developments or information about the aggregate economy....