Members Research Papers

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not

JEL codes: 
C11, F41
Version Date: 
Oct 2006
Author/s: 
Abstract: 

Central puzzles in international macroeconomics are why fluctuations of the real exchange rate are so volatile with respect to other macroeconomic variables, and the contradiction of efficient risk-sharing. Several theoretical contributions have evaluated alternative forms of pricing under nominal rigidities along with different asset markets structures to explain real exchange dynamics.

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Drift and Breaks in Labour Productivity

JEL codes: 
E30, E32
Version Date: 
Jul 2006
Author/s: 
Abstract: 

We use tests for multiple breaks at unknown points in the sample, and the Stock-Watson (1996, 1998) time-varying parameters median-unbiased estimation methodology, to investigate changes in the equilibrium rate of growth of labor productivity–both per hour and per worker–in the United States, the Eurozone Australia, and Japan over the post-WWII era. Results for the U.S.

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Trend Breaks, Long-Run Restrictions and the Contractionary Effects of Technology Improvements

JEL codes: 
E24, E32, O47
Version Date: 
Mar 2006
Abstract: 

Structural vector-autoregressions with long-run restrictions are extraordinarily sensitive to low-frequency correlations. This paper explores this sensitivity analytically and via simulations, focusing on the contentious issue of whether hours worked rise or fall when technology improves.

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Pricing Behaviour and the Response of Hours to Productivity Shocks

JEL codes: 
E31, E32
Version Date: 
Feb 2006
Abstract: 

Recent contributions have suggested that technology shocks have a negative impact on hours, contrary to the prediction of standard flexible-price models of the business cycle. Some authors have interpreted this finding as evidence in favour of sticky-price models, while others have either extended flexible-price models or disputed the empirical finding itself.

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Forecasting Economic Aggregates by Disaggregates

JEL codes: 
C51, C53, E31
Version Date: 
Jan 2006
Author/s: 
Abstract: 

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in forecasting the aggregate.

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Cyclical Productivity in Europe and the United States, Evaluating the Evidence on Returns to Scale and Input Utilization

JEL codes: 
D24, E32, O47
Version Date: 
Jan 2006
Abstract: 

This paper studies procyclical productivity growth at the industry level in the U.S. and in three European countries (France, Germany and the Netherlands). Industry-specific demand-side instruments are used to examine the prevalence of non-constant returns to scale and unmeasured input utilization. For the aggregate U.S.

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Data Revisions Are Not Well-Behaved

JEL codes: 
C22, C53, C82
Version Date: 
Sep 2005
Abstract: 

We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased.

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Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management

JEL codes: 
C32, C52, C53, G11
Version Date: 
Sep 2005
Abstract: 

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management.

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Short-Run Italian GDP Forecasting and Real-Time Data

JEL codes: 
C22, C53, C82, E10
Version Date: 
Sep 2005
Abstract: 

National accounts statistics undergo a process of revisions over time because of the accumulation of information and, less frequently, of deeper changes, as new definitions, new methodologies etc. are implemented.

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How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation

JEL codes: 
C22, C52, C53
Version Date: 
Sep 2005
Author/s: 
Abstract: 

This paper explores the usefulness of bagging methods in forecasting economic time series from linear multiple regression models. We focus on the widely studied question of whether the inclusion of indicators of real economic activity lowers the prediction mean-squared error of forecast models of US consumer price inflation.

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