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Systemic Risk and the Macroeconomy: An Empirical Evaluation

Giglio, Stefano; Kelly, Bryan T.; Pruitt, Seth - National Bureau of Economic Research (NBER) - 2015

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...

Persistent link: https://www.econbiz.de/10011185009

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014

multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

Persistent link: https://www.econbiz.de/10010821674

Beliefs, Doubts and Learning: Valuing Economic Risk

Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2007

This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the...

Persistent link: https://www.econbiz.de/10005775165

Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007

Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these papers generally use ex post...

Persistent link: https://www.econbiz.de/10005828664

Small Noise Asymptotics for a Stochastic Growth Model

Williams, Noah - National Bureau of Economic Research (NBER) - 2003

We develop analytic asymptotic methods to characterize time series properties of nonlinear dynamic stochastic models. We focus on a stochastic growth model which is representative of the models underlying much of modern macroeconomics. Taking limits as the stochastic shocks become small, we...

Persistent link: https://www.econbiz.de/10005828710

Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production

Sarte, Pierre Daniel; Watson, Mark W.; Foerster, Andrew T. - National Bureau of Economic Research (NBER) - 2008

This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with...

Persistent link: https://www.econbiz.de/10005830067

Labor-Market Heterogeneity, Aggregation, and the Lucas Critique

Chang, Yongsung; Schorfheide, Frank; Kim, Sun-Bin - National Bureau of Economic Research (NBER) - 2010

This paper assesses biases in policy predictions due to the lack of invariance of "structural'' parameters in representative-agent models. We simulate data under various fiscal policy regimes from a heterogeneous-agents economy with incomplete asset markets and indivisible labor supply....

Persistent link: https://www.econbiz.de/10008680923

Estimating Turning Points Using Large Data Sets

Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2010

Dating business cycles entails ascertaining economy-wide turning points. Broadly speaking, there are two approaches in the literature. The first approach, which dates to Burns and Mitchell (1946), is to identify turning points individually in a large number of series, then to look for a common...

Persistent link: https://www.econbiz.de/10008727872

Assessing DSGE Model Nonlinearities

Aruoba, S. Boragan; Schorfheide, Frank; Bocola, Luigi - National Bureau of Economic Research (NBER) - 2013

We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

Persistent link: https://www.econbiz.de/10010969293

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling

Ng, Serena; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2013

This paper provides a survey of business cycle facts, updated to take account of recent data. Emphasis is given to the Great Recession which was unlike most other post-war recessions in the US in being driven by deleveraging and financial market factors. We document how recessions with financial...

Persistent link: https://www.econbiz.de/10010821736

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