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Systemic risk and bank business models (replication data)
In this paper, we decompose banks' systemic risk into two dimensions: the risk of a bank (?bank tail risk?) and the link of the bank to the system in financial distress... -
Measuring the natural rate of interest: A note on transitory shocks (replicat...
We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian... -
Real‐time forecast combinations for the oil price (replication data)
Baumeister and Kilian (Journal of Business and Economic Statistics, 2015, 33(3), 338-351) combine forecasts from six empirical models to predict real oil prices. In this paper,... -
Dynamic specification tests for dynamic factor models (replication data)
We derive computationally simple expressions for score tests of misspecification in parametric dynamic factor models using frequency domain techniques. We interpret those... -
Actual and counterfactual growth incidence and delta Lorenz curves: Estimatio...
Different economic growth episodes display very different distributional characteristics, both across countries and over time. Growth is sometimes accompanied by rising and... -
Modeling the effects of grade retention in high school (replication data)
A dynamic discrete-choice model is set up to estimate the effects of grade retention in high school, both in the short run (end-of-year evaluation) and in the long run (drop-out... -
NETS: Network estimation for time series (replication data)
We model a large panel of time series as a vector autoregression where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be... -
Uncertainty across volatility regimes (replication data)
We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on...
