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Macroeconomic Transmission of (Un-)Predictable Uncertainty Shocks (不可)预测的不确定性冲击的宏观经济传导
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2021-08-17 DOI: 10.2139/ssrn.3906338
J. Ferrer, J. Rogers, Jiawen Xu
{"title":"Macroeconomic Transmission of (Un-)Predictable Uncertainty Shocks","authors":"J. Ferrer, J. Rogers, Jiawen Xu","doi":"10.2139/ssrn.3906338","DOIUrl":"https://doi.org/10.2139/ssrn.3906338","url":null,"abstract":"We document significant upward bias in estimates of the transmission of uncertainty shocks to real activity found in prominent studies of uncertainty's macroeconomic transmission. We show this bias is due to predictability in these uncertainty shocks. The predictability stems not from the use of ex-post revised data rather than real-time data, but from failure to control for uncertainty's endogenous response to changes in economic conditions. We demonstrate two ways of purging uncertainty shocks of their predictable component and find that uncertainty's transmission to output and employment is much smaller than traditional estimates. Instead, we find that uncertainty's relationship with aggregate real activity is more the result of its role as an amplification mechanism for other macroeconomic and financial shocks.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121298325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Multiple Regression Model for Predicting GDP Using Macroeconomic Variables (Part 1) 利用宏观经济变量预测GDP的多元回归模型(上)
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2021-07-28 DOI: 10.2139/ssrn.3895177
Mutiu Samiyu
{"title":"Multiple Regression Model for Predicting GDP Using Macroeconomic Variables (Part 1)","authors":"Mutiu Samiyu","doi":"10.2139/ssrn.3895177","DOIUrl":"https://doi.org/10.2139/ssrn.3895177","url":null,"abstract":"This research explores how one may predict the Gross Domestic Product (GDP) of a country using a technique known as multiple linear regression (MLR). Specifically, we explore whether other macroeconomic variables such as population, interest rates, unemployment rates, amongst others, can be used to predict the GDP of a country. We also examine the impact of new variables on the model base model fit using p-values and variance inflation factor (VIF) as a performance metric. The MLR model appears to be a suitable model for determining a linear relationship between dependent and independent features.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126491875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multidimensional Stock Market Liquidity and Business Cycles 多维股票市场流动性与经济周期
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2021-02-11 DOI: 10.2139/ssrn.3783724
Thomar van Hees, W. F. Verschoor
{"title":"Multidimensional Stock Market Liquidity and Business Cycles","authors":"Thomar van Hees, W. F. Verschoor","doi":"10.2139/ssrn.3783724","DOIUrl":"https://doi.org/10.2139/ssrn.3783724","url":null,"abstract":"We examine the impact of multidimensional stock market liquidity on business cycles that captures the key market liquidity characteristics. Using seven different liquidity measures, we find that the effect of liquidity on economic growth and recessions differs among liquidity measures in the US stock market in the period of 1952 to 2011. Volume-based and transaction costs-based measures contain robust information about future conditions of the US economy, while for market-impact and price-based measures there is no causality in either direction. Moreover, the illiquidity ratio dominates all stock market liquidity measures in forecasting economic recessions. Our findings exemplify the importance of alternative liquidity proxies in explaining the state of the US economy.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128658989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100 宏观经济基本面对股市走势的动态影响:来自BIST100的证据
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-12-30 DOI: 10.2139/ssrn.3762073
Mortaza Ojaghlou
{"title":"Dynamic Effects of Macroeconomic Fundamentals on Stock Market Movements: Evidence from BIST100","authors":"Mortaza Ojaghlou","doi":"10.2139/ssrn.3762073","DOIUrl":"https://doi.org/10.2139/ssrn.3762073","url":null,"abstract":"In this study we examine whether the Efficient Market Hypothesis (EMH) is valued in Turkey (BIST1001) or not and we also examine the ability of essential macroeconomic variables to predict the volatility of Istanbul stock market returns. The relationship is examined through the analysis of the quarterly data concerning the Istanbul stock market index (BIST-100 ) and selected essential macroeconomic indicates in Turkey over the period of 2003Q01 until 2019Q01. In order to investigate the relationship between the variables and BIST-100, Phillips-Ouliaris Cointegration, Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL (NLARDL) models and also Bayesian Vector Auto-regression (Litterman-Minnesota Bayesian VAR) are employed. The findings of the NLARDL test indicates that variables are cointegrated and there is positive and statistically significant asymmetric long run relationship from inflation to Istanbul stock market and also GDP, nominal exchange rate, S&P500 have significant and positive long run effect on Istanbul stock market return. These results suggest that the Istanbul stock market return (BIST-100) has consistent with the Efficient Market Hypothesis (EMH).","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117038302","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Notes on the Neglected Premisses of the Hodrick-Prescott Detrending and the Hamilton Regression Filter 关于Hodrick-Prescott趋势和Hamilton回归滤波器被忽视前提的注解
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-12-12 DOI: 10.2139/ssrn.3747794
R. Franke, J. Kukacka
{"title":"Notes on the Neglected Premisses of the Hodrick-Prescott Detrending and the Hamilton Regression Filter","authors":"R. Franke, J. Kukacka","doi":"10.2139/ssrn.3747794","DOIUrl":"https://doi.org/10.2139/ssrn.3747794","url":null,"abstract":"The Hodrick-Prescott filter is a convenient and therefore widely and routinely applied detrending method in macroeconomics working with empirical data. However, James Hamilton has recently gained attention with his vigorous advice against it and a proposal of a better alternative. Before abandoning Hodrick-Prescott and uncritically switching to the Hamilton regression filter, or before by force of habit ignoring Hamilton's contribution altogether, this paper, in a nontechnical and elementary manner, provides a little methodological reflection about the premisses behind the two approaches. In addition, it sets up a stylized oscillatory scenario in which the Hamilton filter dramatically misjudges the trend. On the other hand, it sketches a modification of the Hodrick-Prescott approach and also a search strategy that, at least under similar conditions, can help find a more appropriate degree of trend smoothing than the conventional choice of lambda = 1600 for quarterly data.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123496026","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Macroeconomy as a Random Forest 作为随机森林的宏观经济
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-06-22 DOI: 10.2139/ssrn.3633110
Philippe Goulet Coulombe
{"title":"The Macroeconomy as a Random Forest","authors":"Philippe Goulet Coulombe","doi":"10.2139/ssrn.3633110","DOIUrl":"https://doi.org/10.2139/ssrn.3633110","url":null,"abstract":"I develop Macroeconomic Random Forest (MRF), an algorithm adapting the canonical Machine Learning (ML) tool to flexibly model evolving parameters in a linear macro equation. Its main output, Generalized Time-Varying Parameters (GTVPs), is a versatile device nesting many popular nonlinearities (threshold/switching, smooth transition, structural breaks/change) and allowing for sophisticated new ones. The approach delivers clear forecasting gains over numerous alternatives, predicts the 2008 drastic rise in unemployment, and performs well for inflation. Unlike most ML-based methods, MRF is directly interpretable — via its GTVPs. For instance, the successful unemployment forecast is due to the influence of forward-looking variables (e.g., term spreads, housing starts) nearly doubling before every recession. Interestingly, the Phillips curve has indeed flattened, and its might is highly cyclical.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"251 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116459731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
The Long-Run Relationship Between Financial Development and House Prices 金融发展与房价的长期关系
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-06-15 DOI: 10.2139/ssrn.3627410
Sefa Awaworyi Churchill, Kris Ivanovski, K. Mintah, Quanda Zhang
{"title":"The Long-Run Relationship Between Financial Development and House Prices","authors":"Sefa Awaworyi Churchill, Kris Ivanovski, K. Mintah, Quanda Zhang","doi":"10.2139/ssrn.3627410","DOIUrl":"https://doi.org/10.2139/ssrn.3627410","url":null,"abstract":"We examine the relationship between financial development and house prices in the Group of Seven (G7) countries over the period 1870 to 2016. We use parametric panel data models that incorporate interactive fixed effects and non-parametric models that allow us to examine non-linearities and the time-varying nature of the relationship. Our parametric estimates show a positive relationship between financial development and house prices. The results from our non-parametric model reinforce this finding but also show evidence of a negative effect of financial development prior to the mid-twentieth century, suggesting a time-varying non-linear impact. We find that inequality and mortgage loans are mechanisms through which financial development transmits to house prices. Financial crisis moderates the relationship between financial development and house prices, although this works only through sovereign defaults. Our findings are robust to a suite of robustness and sensitivity checks.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114669600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A General Model for Financial Crises: An Application to Eurozone Crisis 金融危机的一般模型:在欧元区危机中的应用
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-05-25 DOI: 10.2139/ssrn.3679392
Haluk Yener, Barış Soybilgen, T. Stengos
{"title":"A General Model for Financial Crises: An Application to Eurozone Crisis","authors":"Haluk Yener, Barış Soybilgen, T. Stengos","doi":"10.2139/ssrn.3679392","DOIUrl":"https://doi.org/10.2139/ssrn.3679392","url":null,"abstract":"Abstract We provide a mathematical framework to spot the non-resilient periods of an economy and understand the reason why an economy becomes non-resilient. Our non-resilience indicator spots the distressful periods of sixteen European economies successfully over the course of almost thirty years. To understand why these economies became non-resilient, we solve a problem related to survival analysis and establish an analytic relationship between the leverage level of an economy and its macro fundamentals. We apply our approach to the same group of countries and show with a vector autoregressive model why certain indebted European economies still struggle years after the crisis.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124662187","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Reviewing the Oil Price - GDP Growth Relationship: A Replication Study 回顾油价与GDP增长关系:一个复制研究
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-04-22 DOI: 10.2139/ssrn.3432407
Lanouar Charfeddine, Tony Klein, T. Walther
{"title":"Reviewing the Oil Price - GDP Growth Relationship: A Replication Study","authors":"Lanouar Charfeddine, Tony Klein, T. Walther","doi":"10.2139/ssrn.3432407","DOIUrl":"https://doi.org/10.2139/ssrn.3432407","url":null,"abstract":"This paper presents a thorough replication of Hamilton (2003) which in turn replicates and extends the findings of four seminal papers regarding the oil price–GDP growth relationship. Firstly, we replicate the empirical results obtained with the oil price measures of Hamilton (1983), Mork (1989), Lee et al. (1995), Hamilton (1996), and Hamilton (2003) by using an identical data set of real and nominal oil prices. Secondly, we extend the data sets to 2019Q4 and apply the same methodology. We find that for more recent data the explanatory power of the proposed oil price measures on GDP growth rates is still present, albeit on a slightly weaker magnitude. Extending the ARX(4), we only find little evidence that oil price decreases impact GDP growth rates on the full data set. Parameter stability tests suggest that the impact of oil price decreases might be limited to certain periods.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124964088","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Should We Be Puzzled by Forward Guidance? 我们应该对前瞻指引感到困惑吗?
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-04-01 DOI: 10.18651/rwp2020-01
FRB of Kansas City Submitter, Brent H. Bundick, A. Smith
{"title":"Should We Be Puzzled by Forward Guidance?","authors":"FRB of Kansas City Submitter, Brent H. Bundick, A. Smith","doi":"10.18651/rwp2020-01","DOIUrl":"https://doi.org/10.18651/rwp2020-01","url":null,"abstract":"Although a growing literature argues output is too sensitive to future interest rates in standard macroeconomic models, little empirical evidence has been put forth to evaluate this claim. In this paper, we use a range of vector autoregression models to answer the central question of how much output responds to changes in interest rate expectations following a monetary policy shock. Despite distinct identification strategies and sample periods, we find surprising agreement regarding this elasticity across empirical models. We then show that in a standard model of nominal rigidity estimated using impulse response matching, forward guidance shocks produce an elasticity of output with respect to expected interest rates similar to our empirical estimates. Our results suggest that standard macroeconomic models do not overstate the observed sensitivity of output to expected interest rates.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127800794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
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