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Journal of Applied Econometrics最新文献

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Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance 在存在时变工具相关性的情况下，识别美国货币政策冲击的汇率效应和溢出效应
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-07-09 DOI: 10.1002/jae.2998
Wenting Liao, Jun Ma, Chengsi Zhang
{"title":"Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance","authors":"Wenting Liao,&nbsp;Jun Ma,&nbsp;Chengsi Zhang","doi":"10.1002/jae.2998","DOIUrl":"10.1002/jae.2998","url":null,"abstract":"<div>\u0000 \u0000 <p>We propose a novel econometric approach to estimating time-varying policy effects using external instruments in the presence of time-varying instrument relevance in a factor-augmented VAR model with data on the United States, Canada, Germany, Japan, and the United Kingdom. We find that US monetary policy shocks are an important driver of the exchange rate movements, with no delayed overshooting. We show that estimates of spillover effects of US monetary policy shocks on the inflation and real economic activity would be distorted without considering time variation in instrument relevance, and time variation in policy effects reflects primarily varying shock size, not their transmission.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43243033","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}
引用次数: 0
A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models 向量自回归模型中Kilian–Lewis式反事实分析的直接方法
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-06-27 DOI: 10.1002/jae.2996
Shiu-Sheng Chen
{"title":"A direct approach to Kilian–Lewis style counterfactual analysis in vector autoregression models","authors":"Shiu-Sheng Chen","doi":"10.1002/jae.2996","DOIUrl":"10.1002/jae.2996","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper proposes a direct approach to Kilian–Lewis style counterfactual analysis in structural vector autoregression models. The proposed approach is easy to implement, and the procedure of counterfactual construction is more transparent than the indirect approach. Practitioners conducting Kilian–Lewis style counterfactual analysis should find the proposed approach novel and useful.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44981349","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}
引用次数: 0
Short T dynamic panel data models with individual, time and interactive effects 具有个人、时间和交互效果的短T动态面板数据模型
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-06-21 DOI: 10.1002/jae.2981
Kazuhiko Hayakawa, M. Hashem Pesaran, L. Vanessa Smith
{"title":"Short T dynamic panel data models with individual, time and interactive effects","authors":"Kazuhiko Hayakawa,&nbsp;M. Hashem Pesaran,&nbsp;L. Vanessa Smith","doi":"10.1002/jae.2981","DOIUrl":"https://doi.org/10.1002/jae.2981","url":null,"abstract":"<p>This paper proposes a transformed quasi-maximum likelihood (TQML) estimator for short \u0000<math>\u0000 <semantics>\u0000 <mrow>\u0000 <mi>T</mi>\u0000 </mrow>\u0000 <annotation>$$ T $$</annotation>\u0000 </semantics></math> dynamic fixed effects panel data models allowing for interactive effects through a multifactor error structure. The proposed estimator is robust to the heterogeneity of the initial values and common unobserved effects, while at the same time allowing for standard fixed and time effects. It is applicable to both stationary and unit root cases. The order condition for identification of the number of interactive effects is established, and conditions are derived under which the parameters are locally identified. It is shown that global identification in the presence of the lagged dependent variable cannot be guaranteed. The TQML estimator is proven to be consistent and asymptotically normally distributed. A sequential multiple testing likelihood ratio procedure is also proposed for estimation of the number of factors which is shown to be consistent. Finite sample results obtained from Monte Carlo simulations show that the proposed procedure for determining the number of factors performs very well, and the TQML estimator has small bias and root mean square error (RMSE) and correct empirical size in most settings. The practical use of the TQML approach is demonstrated by means of two empirical illustrations from the literature on cross county crime rates and cross country growth regressions.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2981","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50140084","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}
引用次数: 0
Correction to “Exogenous uncertainty and the identification of structural vector autoregressions with external instruments” 对“外生不确定性和用外部工具识别结构向量自回归”的修正
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-06-16 DOI: 10.1002/jae.2994
{"title":"Correction to “Exogenous uncertainty and the identification of structural vector autoregressions with external instruments”","authors":"","doi":"10.1002/jae.2994","DOIUrl":"https://doi.org/10.1002/jae.2994","url":null,"abstract":"<p>We apologize for these errors. We remark, however, that these errors does not change approach, overall picture and main conclusions (methodological and empirical) of the paper relative to the published version.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2994","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50135055","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}
引用次数: 0
Multiple testing with covariate adjustment in experimental economics 实验经济学中协变量调整的多重检验
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-26 DOI: 10.1002/jae.2985
John A. List, Azeem M. Shaikh, Atom Vayalinkal
{"title":"Multiple testing with covariate adjustment in experimental economics","authors":"John A. List,&nbsp;Azeem M. Shaikh,&nbsp;Atom Vayalinkal","doi":"10.1002/jae.2985","DOIUrl":"10.1002/jae.2985","url":null,"abstract":"<p>This paper provides a framework for testing multiple null hypotheses simultaneously using experimental data in which simple random sampling is used to assign treatment status to units. Using general results from the multiple testing literature, we develop under weak assumptions a procedure that (i) asymptotically controls the familywise error rate—the probability of one or more false rejections—and (ii) is asymptotically balanced in that the marginal probability of rejecting any true null hypothesis is approximately equal in large samples. Our procedure improves upon classical methods by incorporating information about the joint dependence structure of the test statistics when determining which null hypotheses to reject, leading to gains in power. An important point of departure from prior work is that we exploit observed, baseline covariates to obtain further gains in power. The precise way in which we incorporate these covariates is based on recent results from the statistics literature in order to ensure that inferences are typically more powerful in large samples.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2985","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47407162","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}
引用次数: 4
Nowcasting from cross-sectionally dependent panels 来自横截面依赖面板的临近预测
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-23 DOI: 10.1002/jae.2980
Jack Fosten, Shaoni Nandi
{"title":"Nowcasting from cross-sectionally dependent panels","authors":"Jack Fosten,&nbsp;Shaoni Nandi","doi":"10.1002/jae.2980","DOIUrl":"10.1002/jae.2980","url":null,"abstract":"<p>This paper builds a mixed-frequency panel data model for nowcasting economic variables across many countries. The model extends the mixed-frequency panel vector autoregression (MF-PVAR) to allow for heterogeneous coefficients and a multifactor error structure to model cross-sectional dependence. We propose a modified common correlated effects (CCE) estimation technique which performs well in simulations. The model is applied in two distinct settings: nowcasting gross domestic product (GDP) growth for a pool of advanced and emerging economies and nowcasting inflation across many European countries. Our method is capable of beating standard benchmark models and can produce updated nowcasts whenever data releases occur in any country in the panel.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2980","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49236199","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}
引用次数: 1
Oil prices in the real economy 实体经济中的石油价格
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-21 DOI: 10.1002/jae.2986
Haicheng Shu, Peter Spencer
{"title":"Oil prices in the real economy","authors":"Haicheng Shu,&nbsp;Peter Spencer","doi":"10.1002/jae.2986","DOIUrl":"10.1002/jae.2986","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper presents a macro-finance model of the US economy and the spot and futures markets for oil. The performance of the model is greatly enhanced by using the Kalman filter to model latent variables representing the inflation asymptote, the real price of oil and the slope of the futures curve. We find that these are dominated by innovations in observed futures prices, reflecting the importance of market expectations. Using the Kalman filter to capture inflationary shocks helps solve the notorious price puzzle, the tendency for increases in interest rates to anticipate such developments and apparently cause inflation. Futures prices also depend upon risk premiums, which we find are dominated by the latent variable representing the real oil price rather than macro variables like inflation and interest rates.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42202011","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}
引用次数: 0
Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings 汇率和宏观经济基本面：来自时变因素负载的不稳定性证据
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-12 DOI: 10.1002/jae.2984
Eric Hillebrand, Jakob Guldbæk Mikkelsen, Lars Spreng, Giovanni Urga
{"title":"Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings","authors":"Eric Hillebrand,&nbsp;Jakob Guldbæk Mikkelsen,&nbsp;Lars Spreng,&nbsp;Giovanni Urga","doi":"10.1002/jae.2984","DOIUrl":"https://doi.org/10.1002/jae.2984","url":null,"abstract":"<p>We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor loadings. Factors are obtained as principal components, extracted from vintage macro-datasets that combine FRED-MD and OECD databases. Using 14 currencies over 1990–2021, we show that the loadings on the factors vary considerably over time and increase the percentage of explained variation in exchange rates by an order of magnitude. Time-varying loadings improve the overall predictive ability of the model, especially during crises, and lead to better forecasts of sign changes in exchange rates.</p>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/jae.2984","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50130417","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}
引用次数: 0
US weekly economic index: Replication and extension 美国每周经济指数:复制与推广
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-10 DOI: 10.1002/jae.2979
Philipp Wegmüller, Christian Glocker
{"title":"US weekly economic index: Replication and extension","authors":"Philipp Wegmüller,&nbsp;Christian Glocker","doi":"10.1002/jae.2979","DOIUrl":"10.1002/jae.2979","url":null,"abstract":"<div>\u0000 \u0000 <p>We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023) to adjust the weekly input series for seasonal patterns, calendar day effects, and excess volatility. In a long sense, we show that our proposed data adjustment significantly improves the nowcasting performance of the WEI.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43690789","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}
引用次数: 1
The demand for money at the zero interest rate bound 零利率下的货币需求
IF 2.1 3区 经济学
Journal of Applied Econometrics Pub Date : 2023-05-01 DOI: 10.1002/jae.2983
Tsutomu Watanabe, Tomoyoshi Yabu
{"title":"The demand for money at the zero interest rate bound","authors":"Tsutomu Watanabe,&nbsp;Tomoyoshi Yabu","doi":"10.1002/jae.2983","DOIUrl":"10.1002/jae.2983","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper undertakes both a narrow and wide replication of the estimation of a money demand function conducted by Ireland (<i>American Economic Review</i>, 2009). Using US data from 1980 to 2013, we show that the substantial increase in the money-income ratio during the period of near-zero interest rates is captured well by the log–log specification but not by the semi-log specification, contrary to the result obtained by Ireland (2009). Our estimate of the interest elasticity of money demand over the 1980–2013 period is about one-tenth that of Lucas's paper published in 2000, which used a log–log specification. Finally, neither specification satisfactorily fits post-2015 US data.</p>\u0000 </div>","PeriodicalId":48363,"journal":{"name":"Journal of Applied Econometrics","volume":null,"pages":null},"PeriodicalIF":2.1,"publicationDate":"2023-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41842313","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}
引用次数: 5
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