Òscar Jordà Vice President Microeconomic and Macroeconomic Research. Econometrics, Macroeconomics, Monetary economics. Oscar.Jorda (at) sf.frb.org. ![]() A Practical Guide, 7th Edition. Description. For courses in Econometrics. A Clear, Practical Introduction to Econometrics. Using Econometrics: A Practical Guide offers students an innovative introduction to elementary econometrics. Through real- world examples and exercises, the book covers the topic of single- equation linear regression analysis in an easily understandable format. Serial Correlation In Panel Data Econometrics ExamplesThe Seventh Edition is appropriate for all levels: beginner econometric students, regression users seeking a refresher, and experienced practitioners who want a convenient reference. Praised as one of the most important texts in the last 3. Federal Reserve Bank of San Francisco. Semiparametric estimates of monetary policy effects: string theory revisitied Forthcoming in Journal of Business and Economic Statistics | With Angrist and Kuersteiner Leveraged Bubbles Forthcoming in Journal of Monetary Economics | With Schularick and Taylor The Great Mortgaging Forthcoming in Economic Policy | With Schularick and Taylor The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy Forthcoming in Economic Journal | With Taylor Journal of International Economics 9. S1), July 2. 01. 5, S2- S1. With Schularick and Taylor Journal of the European Economic Association DOI: 1. July 2. 01. 5 | With Schularick and Taylor International Journal of Forecasting 3. July 2. 01. 4, 7. This paper provides a historical overview of financial crises and their origins. The objective is to discuss a few of the modern statistical methods that can be used to evaluate predictors of these rare events. The problem involves the prediction of binary events, and therefore fits modern statistical learning, signal processing theory, and classification methods. . The discussion also emphasizes the need for statistics and computational techniques to be supplemented with economics.The success of a forecast in this environment hinges on the economic consequences of the actions taken as a result of the forecast, rather than on typical statistical metrics of prediction accuracy. International Journal of Forecasting 3. July 2. 01. 4, 7. With Fushing, Beisner, and Mc. Cowan abstract (+)What do the behavior of monkeys in captivity and the financial system have in common? The nodes in such social systems relate to each other through multiple and keystone networks, not just one network. Each network in the system has its own topology, and the interactions among the system’s networks change over time. In such systems, the lead into. This decoupling can also be seen in the crumbling of the keystone’s power structure toward a more horizontal hierarchy. This paper develops nonparametric methods for describing the joint model of the latent architecture of interconnected networks in order to describe this process of decoupling, and hence provide an early warning system of an. National Institute Economic Review 2. R5. 8- R6. 4, May 2. With Nechio, Daly, and Fernald abstract (+)This note examines labor market performance across countries through the lens of Okun’s Law. We find that after the 1. Okun’s Law relationship between output and unemployment became more homogenous across countries. These changes presumably reflected institutional and technological changes. But, at least in the short term, the global financial crisis undid much of this convergence, in part because the affected countries adopted different labor market policies in response to the global demand shock. International Journal of Forecasting 2. September 2. 01. 3, 4. With Marcellino and Knuppel abstract (+)This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future- a path forecast. When the null model is only approximative, or completely unavailable, one cannot either derive the usual analytic expressions or resample from the null model. In this context, this paper derives a method for constructing approximate rectangular regions for simultaneous probability coverage that correct for serial correlation in the case of elliptical distributions. In both Monte Carlo studies and an empirical application to the Greenbook path- forecasts of growth and inflation, the performance of this method is compared to the performances of the Bonferroni approach and the approach which ignores simultaneity. Journal of the Spanish Economic Association – SERIES 4(1), March 2. With Berge abstract (+)This paper codifies in a systematic and transparent way a historical chronology of business cycle turning points for Spain reaching back to 1. Such an exercise would be incomplete without assessing the new chronology itself and against others—this we do with modern statistical tools of signal detection theory. We also use these tools to determine which of several existing economic activity indexes provide a better signal on the underlying state of the economy. We conclude by evaluating candidate leading indicators and hence construct recession probability forecasts up to 1. Journal of Money Credit and Banking 4. With Schularick and Taylor abstract (+)This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study of the universe of over 2. In additional to unconditional analysis, we use local projection methods to condition on a broad set of macroeconomic controls and their lags. Then we study how past credit accumulation impacts the behavior of not only output but also other key macroeconomic variables such as investment, lending, interest rates, and inflation. The facts that we uncover lend support to the idea that financial factors play an important role in the modern business cycle. Journal of International Economics 8. September 2. 01. 2, 7. With Taylor abstract (+)The carry trade is the investment strategy of going long in high- yield target currencies and short in low- yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on low Sharpe ratios and negative skew, these trades could appear unattractive, even when diversified across many currencies. But more sophisticated conditional trading strategies exhibit more favorable payoffs. We apply novel (within economics) binary- outcome classification tests to show that our directional trading forecasts are informative, and out- of- sample loss- function analysis to examine trading performance. The critical conditioning variable, we argue, is the fundamental equilibrium exchange rate (FEER). Expected returns are lower, all else equal, when the target currency is overvalued. Like traders, researchers should incorporate this information when evaluating trading strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated with returns; other puzzles remain: the more sophisticated strategy has a very high Sharpe ratio, suggesting market inefficiency. International Economic Review 5. May 2. 01. 2, 6. 09- 6. With Chong and Taylor abstract (+)Frictions and perturbations may influence currency values in the short run, but it is generally acknowledged that real- exchange rates eventually settle toward equilibrium. The puzzle then is how gradually this parity is reached given the fluidity in foreign exchange markets. Wondershare Video Converter Platinum 5 1 1 With Serial . Persistent differences in the relative productivity of countries—a broad characterization of the Harrod–Balassa–Samuelson hypothesis—may help explain this puzzle.This article introduces methods to estimate equilibrium adjustment paths semiparametrically, and then sort how each of these components influences the dynamics of exchange rates.This is done in a dynamic panel setting by introducing novel local projections methods for cointegrated systems.Productivity shocks affect dynamics, and after adjusting for these factors, adjustment toward equilibrium is relatively rapid.IMF Economic Review 5.June 2. 01. 1, 3. With Schularick and Taylor abstract (+)Do external imbalances increase the risk of financial crises?This paper studies the experience of 1.It exploits the long- run data set in a number of different ways.First, the paper applies new statistical tools to describe the temporal and spatial patterns of crises and identifies five episodes of global financial instability in the past 1. Why Does Ceramic Tile Crack Isolation on this page. Second, it studies the macroeconomic dynamics before crises and shows that credit growth tends to be elevated and short- term interest rates depressed relative to the “natural rate” in the run- up to global financial crises. Third, the paper shows that recessions associated with crises lead to deeper slumps and stronger turnarounds in imbalances than during normal recessions. Finally, the paper asks to what extent external imbalances help predict financial crises. The overall result is that credit growth emerges as the single best predictor of financial instability. External imbalances have played an additional role, but more so in the pre- WWII era of low financialization than today. International Economic Review 5. May 2. 01. 1, 4. 61- 4.
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