Michele Modugno and Dino PalazzoThe equity market’s reaction to macroeconomic news is consistent with the propagation of news into the real economy. We embody all the macro news in an activity news index and a price news index that together explain 34% of the quarterly stock price returns variation.
Benjamin N. Dennis, Gurubala Kotta, and Caroline Conley NorrisThe correlation of the spatial distribution of banking exposures with changes in spatial patterns of economic activity (e.g., internal migration, changes in agglomeration patterns, climate change, etc.) may have financial stability implications. We therefore study the spatial distribution of large U.S. banks' commercial and industrial (C&I) lending portfolios.
Zach Modig, Hulusi Inanoglu, and David LynchUsing a novel data collection, we examine the impact of the Volcker Rule on trading revenue of the 21 largest U.S. trading firms during the 100 day stress period centered on the COVID-19 financial crisis.
Robin Braun, George Kapetanios, Massimiliano MarcellinoThis paper studies the estimation and inference of time-varying impulse response functions in structural vector autoregressions (SVARs) identified with external instruments. Building on kernel estimators that allow for nonparametric time variation, we derive the asymptotic distributions of the relevant quantities. Our estimators are simple and computationally trivial and allow for potentially weak instruments.
Robert Kelchen, Dubravka Ritter, and Douglas WebberIn this paper, we assemble the most comprehensive dataset to date on the characteristics of colleges and universities, including dates of operation, institutional setting, student body, staff, and finance data from 2002 to 2023. We provide an extensive description of what is known and unknown about closed colleges compared with institutions that did not close.
Diego Bonelli, Berardino Palazzo, Ram S. YamarthyUsing inflation swap prices, we study how changes in expected inflation affect firm-level credit spreads and equity returns, and uncover evidence of a time-varying inflation sensitivity.
Dobrislav Dobrev and Paweł J. SzerszeńReplacing faulty measurements with missing values can suppress outlier-induced distortions in state-space inference. We therefore put forward two complementary methods for enhanced outlier-robust filtering and forecasting: supervised missing data substitution (MD) upon exceeding a Huber threshold, and unsupervised missing data substitution via exogenous randomization (RMDX).
Mohammad R. Jahan-Parvar, Charles Knipp, and Paweł J. SzerszeńWe propose a generalized multivariate unobserved components model to decompose macroeconomic data into trend and cyclical components. We then forecast the series using Bayesian methods.
Robert Minton and Casey B. MulliganMarkets, likened to an invisible hand, often appear to contradict econometric assumptions that rule out spillovers of one person’s treatment on another’s outcomes. This paper provides a simple statistical framework highlighting that controls are indirectly affected by the treatment through the market. Further, the effect of the treatment on the treated reveals only part of the consequence for the treated of treating the entire market.
Lawrence J. Christiano, Martin Eichenbaum, and Benjamin K. JohannsenResearchers typically compare inflation in the new Keynesian (NK) model to published inflation measures constructed from indices like the CPI. Inflation in the standard NK model without price indexation is bounded above. The model analogue of fixed-weight inflation measures, like the CPI, is not.
