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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,... -
Actual and counterfactual growth incidence and delta Lorenz curves: Estimatio...
Different economic growth episodes display very different distributional characteristics, both across countries and over time. Growth is sometimes accompanied by rising and... -
Modeling the effects of grade retention in high school (replication data)
A dynamic discrete-choice model is set up to estimate the effects of grade retention in high school, both in the short run (end-of-year evaluation) and in the long run (drop-out... -
Uncertainty across volatility regimes (replication data)
We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on... -
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.... -
Increasing the credibility of the twin birth instrument (replication data)
Twin births are an important instrument for the endogenous fertility decision. However, twin births are not exogenous either as dizygotic twinning is correlated with maternal... -
A multilevel factor model: Identification, asymptotic theory and applications...
This paper studies a multilevel factor model with global and country factors. The global factors affect all individuals, whereas the country factors affect only those within... -
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... -
Realized extreme quantile: A joint model for conditional quantiles and measur...
We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile...
