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Information gains from using short‐dated options for measuring and forecastin...
We study the gains from using short-dated options for volatility measurement and forecasting. Using option portfolios, we estimate nonparametrically spot volatility under weak... -
Individual consumption in collective households: Identification using repeate...
Individual consumption is typically not observed for individuals living with others. Identification of individual resource shares from household expenditure data requires... -
The deposits channel revisited (replication data)
Drechsler et al. (2017) present a novel reformulation of the bank lending channel of monetary transmission based on market power in local deposits markets, which they term the... -
Dynamic treatment effects of job training (replication data)
This paper estimates the dynamic returns to job training. We posit a model of sequential training participation, where decisions and outcomes depend on observed and unobserved... -
Contagious switching (replication data)
We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The VAR may include... -
Dependence‐robust inference using resampled statistics (replication data)
We develop inference procedures robust to general forms of weak dependence. The procedures utilize test statistics constructed by resampling in a manner that does not depend on... -
Dynamic evaluation of job search assistance (replication data)
This paper evaluates a job search assistance program for unemployed teachers where the assignment to the program is dynamic. We discuss the methodology of estimating dynamic... -
Commodity prices and inflation risk (replication data)
This paper investigates the role of commodity price information when evaluating inflation risk. Using a model averaging approach, we provide strong evidence of in-sample and... -
Declining discount rates in Singapore's market for privately developed apartm...
Singapore's market for new privately developed apartments exhibits wide quasi-experimental variation in ownership tenure. We develop an empirical model in which prices are... -
Encompassing measures of international consumption risk sharing and their lin...
We investigate international consumption risk sharing in a panel of 15 industrial economies over the historical period 1875-2016. By considering a rich empirical... -
The bilateral trade effects of announcement shocks: Brexit as a natural field...
We analyse the effects of uncertainty and anticipation shocks associated with the 2016 Brexit vote as a treatment on trade between the UK and 14 EU and 14 non-EU trading... -
The economics of state fragmentation: Assessing the economic impact of secess...
This paper presents estimates of the economic effects of secession for a large panel of countries that gained independence between 1940 and 2016. It relies on a semi-parametric... -
Forecast uncertainty, disagreement, and the linear pool (replication data)
The linear pool is the most popular method for combining density forecasts. We analyze its implications concerning forecast uncertainty, using a new framework that focuses on... -
Economic impact of the most drastic lockdown during COVID‐19 pandemic—The exp...
This paper uses a panel data approach to assess the evolution of economic consequences of the drastic lockdown policy in the epicenter of COVID-19-the Hubei Province of China... -
International spillovers of forward guidance shocks (replication data)
We estimate a two-country model of the United States and Canada over the post 2009 sample to study the cross-country spillovers of forward guidance shocks. To do so, we propose... -
Aggregate consumption and wealth in the long run: The impact of financial lib...
This paper investigates the impact of financial liberalization on the relationship between consumption and total wealth (i.e., the sum of asset wealth and human wealth).... -
News media versus FRED‐MD for macroeconomic forecasting (replication data)
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one... -
Are there no wage returns to compulsory schooling in Germany? A reassessment ...
This study replicates and challenges the finding of zero wage returns to compulsory schooling in Germany by Pischke and von Wachter (Review of Economics and Statistics, 90(3),... -
Uncertainty and monetary policy in good and bad times: A replication of the v...
This paper revisits the well-known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate... -
Bootstrap inference and diagnostics in state space models: With applications ...
This paper investigates the potentials of the bootstrap as a tool for inference on the parameters of macroeconometric models which admit a state space representation. We...
