This paper studies whether dynamic term structure models for US nominal bond yields should enforce the zero lower bound by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure models (QTSMs) and shadow rate models (SRMs) with at...

This paper analyzes a group of 755 firms, with aggregate indebtedness of US$6.2 trillion, to assess the solvency risks and liquidity needs facing the U.S. corporate sector based on projections of net income, availability and cost of funding, and debt servicing flows under different stress test...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

This paper proposes a decomposition of the composition effect, i.e. the part of the observed between-group difference in the distribution of some economic outcome that can be explained by differences in the distribution of covariates. Our decomposition contains three types of components: (i) the...

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...

This paper examines alternative forms of match bias arising from earnings imputation. Wage equation parameters are estimated based on mixed samples of workers who do and do not report earnings, the latter group being assigned earnings of donors who share some but not all the attributes of the...

This paper examines alternative forms of match bias arising from earnings imputation. Wage equation parameters are estimated based on mixed samples of workers who do and do not report earnings, the latter group being assigned earnings of donors who share some but not all the attributes of the...

Establishing a $15 minimum wage at U.S. airports will provide transformative economic benefits for low-paid air transportation employees who work 24-7 in a fast-paced, noisy environment, providing essential services for airlines and the traveling public. Flying Right analyzes current wage and...

The European Union lags behind the United States both in rates of employment and real wages. This study analyzes the relationship between wages, productivity and human capital in 5 European Union countries: France, Germany, Italy, Spain and the United Kingdom, in comparison with the USA. Firstly...