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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... -
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,... -
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 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...
