The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...

The Consumer Price Index does not take into account the fact that consumers alter the composition of their purchases in response to changes in relative prices. This substitution effect will cause the CPI to grow faster than the cost of living. This paper presents new estimates showing that this...

A conceptual basis is laid out for measuring the cost of capital for corpora- tions from data typically available in countries such as the US, Canada, and Japan. Attempts are made to carry out the measurement based both on the accounting records of individual companies and on the aggregate...

Extending the approach of Bernanke and Blinder (1992), Strongin (1992), and Christiano, Eichenbaum, and Evans (1994a, 1994b), we develop and apply a VAR-based methodology for measuring the stance of monetary policy. More specifically, we develop a 'semi-structural' VAR approach, which extracts...

This paper reviews empirical methods used to estimate the impact of trade policies under imperfect competition. We decompose the welfare effects of trade policy into four possible channels: (i) a deadweight loss from distorting consumption and production decisions; (ii) a possible gain from...

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the News Impact Curve. New diagnostic tests...

Nighttime lights data are a measure of economic activity whose error is plausibly independent of the measurement errors of most conventional indicators. Therefore, we can use nighttime lights as an independent benchmark to assess existing measures of economic activity (Pinkovskiy and...

Chronic pain clearly lowers utility, but it is empirically challenging to estimate the monetary compensation needed to offset this utility reduction. We use the subjective well-being method to estimate the value of pain relief among individuals age 50 and older. We use a sample of 64,205...

We identify "first generation" statistics to measure offshoring as the share of imported intermediate inputs in costs, along with O*NET data to measure the tradability of tasks. These data were used to measure the shifts in relative labor demand and relative wages due to offshoring. A limitation...

The stochastic process for earnings is the key element of incomplete markets models in modern quantitative macroeconomics. We show that a simple modification of the canonical process used in the literature leads to a dramatic improvement in the measurement of earnings dynamics in administrative...