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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... -
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... -
Commodity prices and fiscal policy design: Procyclical despite a rule (replic...
Recent studies offer evidence of reduced fiscal procyclicality to commodity price changes in resource-rich countries-a feature commonly attributed to the adoption of fiscal... -
Switching generalized autoregressive score copula models with application to ...
Recent financial disasters have emphasized the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial... -
Estimating within‐cluster spillover effects using a cluster randomization wit...
Spillover effects within randomized clusters pose a challenge for identifying impacts of an individualized treatment. The paper proposes a solution. Longitudinal and... -
Collective decisions, household production, and labor force participation (re...
In this paper, we generalize the collective model of household labor supply with domestic production to allow for the possibility of nonparticipation in the labor market. We... -
Risk premia and seasonality in commodity futures (replication data)
We develop and estimate a multifactor affine model of commodity futures that allows for stochastic seasonality. We document the existence of stochastic seasonal fluctuations in... -
Understanding the economic determinants of the severity of operational losses...
We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity... -
Testing for optimal monetary policy via moment inequalities (replication data)
The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime: commonly, commitment or discretion. In this paper we propose... -
Half-panel jackknife fixed-effects estimation of linear panels with weakly ex...
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the... -
How the baby boomers' retirement wave distorts model‐based output gap estimat...
This paper illustrates, based on an example, the importance of consistency between empirical measurement and the concept of variables in estimated macroeconomic models. Since... -
Exploiting tail shape biases to discriminate between stable and student t alt...
The nonnormal stable laws and Student t distributions are used to model the unconditional distribution of financial asset returns, as both models display heavy tails. The... -
Ancestry and development: New evidence (replication data)
We revisit the relationship between ancestral distance and barriers to the diffusion of development by replicating previous results with a new genomic dataset on human... -
Structural estimation of behavioral heterogeneity (replication data)
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response... -
Dynamic factor model with infinite‐dimensional factor space: Forecasting (rep...
The paper compares the pseudo real-time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in... -
Spillovers among sovereign debt markets: Identification through absolute magn...
This paper studies spillovers among US and European sovereign yields. We employ absolute magnitude restrictions on the impact matrix to identify the countries that were the main... -
Cyclicality in losses on bank loans (replication data)
Based on unique data we show that macro variables, the default rate and loss given default of bank loans share common cyclical components. The innovation in our model is the... -
Bayesian model comparison for time‐varying parameter VARs with stochastic vol...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and the deviance information criterion (DIC)... -
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...
