Journal of Applied Econometrics最新文献

{"title":"A Reassessment of Likelihood Approximation by Integration on Sparse Grids","authors":"Szilárd Madaras,&nbsp;Zsolt Sándor","doi":"10.1002/jae.3108","DOIUrl":"https://doi.org/10.1002/jae.3108","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper revisits sparse grid integration proposed in the literature for approximating integrals that occur as choice probabilities in random coefficient discrete choice models. First, we successfully replicate their main findings for the panel mixed logit. Second, for higher variances and for a different structure of the variances of the random coefficients, in certain cases, we fail to replicate the original results. Third, for the important special case of cross-sectional mixed logit, replication of the original results is successful when the number of alternatives is moderate but fails otherwise.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"237-245"},"PeriodicalIF":2.3,"publicationDate":"2025-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143555042","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Reassessing the Predictive Power of the Yield Spread for Recessions in the United States","authors":"Patrick J. Coe,&nbsp;Shaun P. Vahey","doi":"10.1002/jae.3106","DOIUrl":"https://doi.org/10.1002/jae.3106","url":null,"abstract":"<p>Rudebusch and Williams (2009) predict recessions in the United States utilising a probit model with the lagged yield spread as a real-time predictor. Mindful of the importance of recent yield curve movements, we update their analysis and evaluate quarterly forecasts from their probit model up to the end of 2023. We also analyze lagged financial conditions as an alternative real-time predictor. We find that both the yield spread and financial conditions perform relatively well at the longer horizons considered by the experts in the Survey of Professional Forecasters.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"231-236"},"PeriodicalIF":2.3,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3106","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143554998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Noisy monetary policy announcements","authors":"Tatjana Dahlhaus,&nbsp;Luca Gambetti","doi":"10.1002/jae.3090","DOIUrl":"https://doi.org/10.1002/jae.3090","url":null,"abstract":"<div>\u0000 \u0000 <p>We address two main questions. First, do monetary policy announcements contain noise? Second, if yes, what are the effects of policy noise on the economy? The answer to the first question is “yes.” The answer to the second is “small,” except on federal funds rate expectations. In sum, we find that the bulk of fluctuations in the path factor are driven by noise. The results are obtained using dynamic rotations to identify the monetary policy shock in a VAR estimated with US data. Finally, we show that announcements about future tightening are mainly interpreted as Delphic over our sample period.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"164-180"},"PeriodicalIF":2.3,"publicationDate":"2024-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143555154","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Cost Pass-Through in Commodity Markets With Capacity Constraints and International Linkages","authors":"Reinhard Ellwanger,&nbsp;Hinnerk Gnutzmann,&nbsp;Piotr Śpiewanowski","doi":"10.1002/jae.3098","DOIUrl":"https://doi.org/10.1002/jae.3098","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine how regional cost shocks are passed through into the prices of globally traded energy-intensive commodities. We find that the pass-through of local costs is influenced by production capacity in the short run. When capacity constraints become binding, the pass-through of cost shocks to the constrained region diminishes to zero. Our application to the market for ammonia, a commodity largely produced from natural gas, demonstrates the significance of capacity constraints and international market linkages for empirical pass-through models.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"149-163"},"PeriodicalIF":2.3,"publicationDate":"2024-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143554920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor-Augmented Vector Autoregressive Approach","authors":"Everett Grant,&nbsp;Julieta Yung","doi":"10.1002/jae.3100","DOIUrl":"https://doi.org/10.1002/jae.3100","url":null,"abstract":"<div>\u0000 \u0000 <p>We evaluate the roles of upstream (supplier-to-user), downstream (user-to-supplier), and common factor shock transmission across firms by deriving interfirm networks and common factors from US equities over 1989–2017. We overcome the econometric challenges of estimating the large factor-augmented vector autoregressive (FAVAR) system by developing two alternative approaches: one prioritizing computational efficiency and the other providing the full posterior distribution of all model parameters and factors. We find that (i) common factors drive an increasing variance share of returns, (ii) supplier shocks are more evident in equity price movements than downstream exposures, and (iii) removing the impact of common factors is increasingly important for revealing interfirm connections.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"111-130"},"PeriodicalIF":2.3,"publicationDate":"2024-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143555160","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Breaks in the Phillips Curve: Evidence From Panel Data","authors":"Simon C. Smith,&nbsp;Allan Timmermann,&nbsp;Jonathan H. Wright","doi":"10.1002/jae.3102","DOIUrl":"https://doi.org/10.1002/jae.3102","url":null,"abstract":"<div>\u0000 \u0000 <p>We revisit the Phillips curve, applying new Bayesian panel methods with structural breaks to US and EU disaggregate data. Our approach lets us estimate both the number and timing of breaks and to determine the existence of clusters of industries, cities, or countries whose Phillips curves display similar patterns. We find evidence of a flattening for US sectoral data and among EU countries, particularly poorer ones. Evidence of flattening is weaker for MSA-level data and the wage Phillips curve. We find evidence of a kink in the Phillips curve, which remains relatively steep when the economy is running hot.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 2","pages":"131-148"},"PeriodicalIF":2.3,"publicationDate":"2024-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143555159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens","authors":"Efrem Castelnuovo,&nbsp;Lorenzo Mori","doi":"10.1002/jae.3096","DOIUrl":"https://doi.org/10.1002/jae.3096","url":null,"abstract":"<p>We employ a mixed-frequency quantile regression approach to model the time-varying conditional distribution of the US real GDP growth rate. We show that monthly information on financial conditions improves the predictive power of an otherwise quarterly-only model. We combine selected quantiles of the estimated conditional distribution to produce novel measures of uncertainty and skewness. Embedding these measures in a VAR framework, we show that unexpected changes in uncertainty are associated with an increase in (left) skewness and a downturn in real activity. Business cycle effects are significantly downplayed if we consider a quarterly-only quantile regression model. We find the endogenous response of skewness to substantially amplify the recessionary effects of uncertainty shocks. Finally, we construct a monthly frequency version of our uncertainty measure and document the robustness of our findings.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 1","pages":"89-107"},"PeriodicalIF":2.3,"publicationDate":"2024-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3096","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143119282","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Multiple Structural Breaks in Interactive Effects Panel Data Models","authors":"Jan Ditzen,&nbsp;Yiannis Karavias,&nbsp;Joakim Westerlund","doi":"10.1002/jae.3097","DOIUrl":"https://doi.org/10.1002/jae.3097","url":null,"abstract":"<p>This paper develops new econometric methods for multiple structural break detection in panel data models with interactive fixed effects. The new methods include tests for the presence of structural breaks, estimators for the number of breaks and their location, and a method for constructing asymptotically valid break date confidence intervals. The new methodology is applied to a large panel of US banks for a period characterized by massive quantitative easing programs aimed at lessening the impact of the global financial crisis and the COVID-19 pandemic. The question we ask is as follows: Have these programs been successful in spurring bank lending in the US economy? The short answer turns out to be: “No”.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 1","pages":"74-88"},"PeriodicalIF":2.3,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3097","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143114651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Specification Choices in Quantile Regression for Empirical Macroeconomics","authors":"Andrea Carriero,&nbsp;Todd E. Clark,&nbsp;Massimiliano Marcellino","doi":"10.1002/jae.3099","DOIUrl":"https://doi.org/10.1002/jae.3099","url":null,"abstract":"<div>\u0000 \u0000 <p>Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks. This paper examines various choices in the specification of quantile regressions for macro applications, including how and to what extent to include shrinkage and whether to apply shrinkage in a classical or Bayesian framework. We focus on forecasting accuracy, measured with quantile scores and quantile-weighted continuous ranked probability scores at a range of quantiles from the left to right tail. Across applications, we find that shrinkage is generally helpful to quantile forecast accuracy, with Bayesian quantile regression dominating frequentist quantile regression.</p>\u0000 <p><b>JEL Classification:</b> C53, E17, E37, F47</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 1","pages":"57-73"},"PeriodicalIF":2.3,"publicationDate":"2024-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143114074","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bonferroni-Type Tests for Return Predictability With Possibly Trending Predictors","authors":"Sam Astill,&nbsp;David I. Harvey,&nbsp;Stephen J. Leybourne,&nbsp;A. M. Robert Taylor","doi":"10.1002/jae.3094","DOIUrl":"https://doi.org/10.1002/jae.3094","url":null,"abstract":"<p>The Bonferroni \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>Q</mi>\u0000 </mrow>\u0000 <annotation>$$ Q $$</annotation>\u0000 </semantics></math> test is widely used in empirical studies investigating predictability in asset returns by strongly persistent and endogenous predictors. Its formulation, however, only allows for a constant mean in the predictor, seemingly at odds with many of the predictors used in practice. We establish the asymptotic size and local power properties of the \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>Q</mi>\u0000 </mrow>\u0000 <annotation>$$ Q $$</annotation>\u0000 </semantics></math> test, and the corresponding Bonferroni \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math>-test, under a local-to-zero specification for a linear trend in the predictor, revealing that size and power depend on the magnitude of the trend for both. To rectify this, we develop with-trend variants of the operational Bonferroni \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>Q</mi>\u0000 </mrow>\u0000 <annotation>$$ Q $$</annotation>\u0000 </semantics></math> and \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math> tests. However, where a trend is not present in the predictor, we show that these tests lose (both finite sample and asymptotic local) power relative to the extant constant-only versions of the tests. In practice, uncertainty will necessarily exist over whether a linear trend is genuinely present in the predictor or not. To deal with this, we also develop hybrid tests based on union-of-rejections and switching mechanisms to capitalise on the relative power advantages of the constant-only tests when a trend is absent (or very weak) and the with-trend tests otherwise. A further extension allows the use of a conventional \u0000<span></span><math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>t</mi>\u0000 </mrow>\u0000 <annotation>$$ t $$</annotation>\u0000 </semantics></math>-test where the predictor appears to be weakly persistent. We show that, overall, our recommended hybrid test can offer excellent size and power properties regardless of whether or not a linear trend is present in the predictor, or the predictor's degrees of persistence and endogeneity. An empirical application illustrates the practical relevance of our new approach.</p><p><b>JEL Classifications:</b> C22, C12, G14</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":"40 1","pages":"37-56"},"PeriodicalIF":2.3,"publicationDate":"2024-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.3094","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143114073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}