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Systemic risk and bank business models (replication data)
In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank (?bank tail risk?) and the link of the bank to the system in financial distress... -
Measuring the natural rate of interest: A note on transitory shocks (replicat...
We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian... -
Real‐time forecast combinations for the oil price (replication data)
Baumeister and Kilian (Journal of Business and Economic Statistics, 2015, 33(3), 338-351) combine forecasts from six empirical models to predict real oil prices. In this paper,... -
Policy uncertainty and aggregate fluctuations (replication data)
This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt, and (iv) monetary policy.... -
A generalized focused information criterion for GMM (replication data)
This paper proposes a criterion for simultaneous generalized method of moments model and moment selection: the generalized focused information criterion (GFIC). Rather than...
