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Flexible Estimation of Demand Systems: A Copula Approach (replication data)
In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local... -
Dynamic discrete copula models for high‐frequency stock price changes (replic...
We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick-size price changes has... -
Risk‐neutral moment‐based estimation of affine option pricing models (replica...
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option... -
How important are fixed effects and time trends in estimating returns to scho...
A substantial and rapidly growing literature has developed around estimating earnings gains from 2-year college degrees using administrative data. These papers almost... -
How the baby boomers' retirement wave distorts model‐based output gap estimat...
This paper illustrates, based on an example, the importance of consistency between empirical measurement and the concept of variables in estimated macroeconomic models. Since... -
What are the macroeconomic effects of high‐frequency uncertainty shocks? (rep...
This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables representative of the US economy. Rather than estimating... -
Policy uncertainty and aggregate fluctuations (replication data)
This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt, and (iv) monetary policy.... -
A generalized focused information criterion for GMM (replication data)
This paper proposes a criterion for simultaneous generalized method of moments model and moment selection: the generalized focused information criterion (GFIC). Rather than... -
Binary response panel data models with sample selection and self‐selection (r...
We consider estimating binary response models on an unbalanced panel, where the outcome of the dependent variable may be missing due to nonrandom selection, or there is... -
Measuring crisis risk using conditional copulas: An empirical analysis of the...
The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these... -
Do contractionary monetary policy shocks expand shadow banking? (replication ...
Using VAR models for the USA, we find that a contractionary monetary policy shock has a persistent negative impact on the level of commercial bank assets, but increases the... -
The evolution of scale economies in US banking (replication data)
Continued consolidation of the US banking industry and a general increase in the size of banks have prompted some policymakers to consider policies that discourage banks from... -
Estimating global bank network connectedness (replication data)
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014. We characterize... -
Coaching, Counseling, Case‐Working: Do They Help the Older Unemployed Out of ...
Intensified counseling, job search assistance and related policies have been found to be effective for labor market integration of the unemployed by a large number of studies,... -
Controlling working crowds: The impact of digitalization on worker autonomy a...
Gerten, E., Beckmann, M., Bellmann, L. (2019). Controlling Working Crowds: The Impact of Digitalization on Worker Autonomy and Monitoring Across Hierarchical Levels. Jahrbücher... -
Using a Bayesian Structural Time–Series Model to Infer the Causal Impact on C...
The Bayesian structural time series model, used in conjunction with a state–space model, is a novel means of exploring the causal impact of a policy intervention. It extends the... -
Program code for "Does compressing high school duration affect students' stre...
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Replication Data - Comparison of Gross Value Added and Production
Euro Area Growth Signals from Industrial Production: Warnings from a Comparison of Gross Value Added and Production This study compares industrial production and gross value... -
Tail Risk in a Retail Payments System - replication data
In this paper, we study a credit risk (collateral) management scheme for the Canadian retail payment system designed to cover the exposure of a defaulting member. We estimate ex... -
Studying Firm Growth Distributions with a Large Administrative Employment Dat...
This paper uses business tax administrative data to describe the annual firm growth rate distribution in Canada over the 2000-2009 period. This administrative tax database...
