Mertens and Ravn (2013) estimate impulse response functions (IRFs) from income tax changes in a structural vector autoregression (SVAR) by using narrative accounts of tax liability changes as proxy ...variables. To produce confidence intervals for their IRFs, they use a residual-based wild bootstrap, which has subsequently become popular in the proxy SVAR literature. We argue that their wild bootstrap is not valid, producing confidence intervals that are much too small. Using a residual-based moving block bootstrap that is proven to be asymptotically valid, we reestimate confidence intervals for Mertens and Ravn’s (2013) IRFs and find no statistically significant effects of tax changes on output, labor, and investment.
We study long-run correlations between safe real interest rates in the United States and over 30 variables that have been hypothesized to influence real rates. The list of variables is motivated by ...an intertermporal IS equation, by models of aggregate savings and investment, and by reduced-form studies. We use annual data, mostly from 1890 to 2016. We find that safe real interest rates are correlated as expected with demographic measures. For example, the long-run correlation with labor force hours growth is positive, which is consistent with overlapping generations models. For another example, the long-run correlation with the proportion of 40 to 64 year-olds in the population is negative. This is consistent with standard theory where middle-aged workers are high savers who drive down real interest rates. In contrast to standard theory, we do not find productivity to be positively correlated with real rates. Most other variables have a mixed relationship with the real rate, with long-run correlations that are statistically or economically large in some samples and by some measures but not in others.
I show that the nature of the Federal Open Market Committee’s (FOMC’s) forward guidance language shapes the private sector’s responses to monetary policy statements. From February 2000 to June 2003, ...the FOMC only gave forward guidance about economic outlook risks, and a decrease in the expected federal funds rate path caused stock prices to fall, GDP growth forecasts to fall, and the unemployment rate to rise. From August 2003 to May 2006, the FOMC added forward guidance about policy inclinations, and a decrease in the expected federal funds rate path had the opposite effects. These results suggest that forward guidance that emphasizes economic outlook risks causes stronger information effects than forward guidance that emphasizes policy inclinations.
Proxy structural vector autoregressions identify structural shocks in vector autoregressions with external variables that are correlated with the structural shocks of interest but uncorrelated with ...all other structural shocks. We provide asymptotic theory for this identification approach under mild α-mixing conditions that cover a large class of uncorrelated, but possibly dependent innovation processes. We prove consistency of a residual-based moving block bootstrap (MBB) for inference on statistics such as impulse response functions and forecast error variance decompositions. The MBB serves as the basis for constructing confidence intervals when the proxy variables are strongly correlated with the structural shocks of interest. For the case of one proxy variable used to identify one structural shock, we show that the MBB can be used to construct confidence sets for normalized impulse responses that are valid regardless of proxy strength based on the inversion of the Anderson and Rubin statistic suggested by Montiel Olea, Stock, and Watson.
We present timing solutions for 10 pulsars discovered in 350 MHz searches with the Green Bank Telescope. Nine of these were discovered in the Green Bank Northern Celestial Cap survey and one was ...discovered by students in the Pulsar Search Collaboratory program during an analysis of drift-scan data. Following the discovery and confirmation with the Green Bank Telescope, timing has yielded phase-connected solutions with high-precision measurements of rotational and astrometric parameters. Eight of the pulsars are slow and isolated, including PSR J0930−2301, a pulsar with a nulling fraction lower limit of ∼30% and a nulling timescale of seconds to minutes. This pulsar also shows evidence of mode changing. The remaining two pulsars have undergone recycling, accreting material from binary companions, resulting in higher spin frequencies. PSR J0557−2948 is an isolated, 44 ms pulsar that has been partially recycled and is likely a former member of a binary system that was disrupted by a second supernova. The paucity of such so-called "disrupted binary pulsars" (DRPs) compared to double neutron star (DNS) binaries can be used to test current evolutionary scenarios, especially the kicks imparted on the neutron stars in the second supernova. There is some evidence that DRPs have larger space velocities, which could explain their small numbers. PSR J1806+2819 is a 15 ms pulsar in a 44-day orbit with a low-mass white dwarf companion. We did not detect the companion in archival optical data, indicating that it must be older than 1200 Myr.
We present timing solutions for four pulsars discovered in the Green Bank Northern Celestial Cap survey. All four pulsars are isolated with spin periods between 0.26 and 1.84 s. PSR J0038−2501 has a ...0.26 s period and a period derivative of 7.6 × 10−19 s s−1, which is unusually low for isolated pulsars with similar periods. This low period derivative may be simply an extreme value for an isolated pulsar or it could indicate an unusual evolution path for PSR J0038−2501, such as a disrupted recycled pulsar from a binary system or an orphaned central compact object (CCO). Correcting the observed spin-down rate for the Shklovskii effect suggests that this pulsar may have an unusually low space velocity, which is consistent with expectations for DRPs. There is no X-ray emission detected from PSR J0038−2501 in an archival Swift observation, which suggests that it is not a young orphaned CCO. The high dispersion measure of PSR J1949+3426 suggests a distance of 12.3 kpc. This distance indicates that PSR J1949+3426 is among the most distant 7% of Galactic field pulsars, and is one of the most luminous pulsars.
Advance layoff notices and aggregate job loss Krolikowski, Pawel M.; Lunsford, Kurt G.
Journal of applied econometrics (Chichester, England),
April/May 2024, Letnik:
39, Številka:
3
Journal Article
Recenzirano
Summary
We collect data from Worker Adjustment and Retraining Notification (WARN) Act notices and establish their usefulness as an indicator of aggregate job loss. The number of workers affected by ...WARN notices (“WARN layoffs”) leads state‐level initial unemployment insurance claims and unemployment rate (UR) and private employment changes. WARN layoffs comove with aggregate layoffs from Mass Layoff Statistics and the Job Openings and Labor Turnover Survey but are timelier and cover a longer sample. In a vector autoregression, changes in WARN layoffs lead UR changes and job separations. Finally, they improve pseudo real‐time forecasts of the UR and private employment changes.
We study how congressional testimony about monetary policy by the Chair of the Board of Governors of the Federal Reserve System affects interest rates and stock prices. First, we study testimony ...associated with the Federal Reserve’s Monetary Policy Reports (MPRs) to Congress. Testimony for a particular MPR is usually given on two days, one day for each chamber of Congress. We separately study the first day and second day of MPR testimony. We also study testimonies not associated with MPRs but that are still related to monetary policy. We find that first-day MPR testimonies cause the largest movements in interest rates and generate negative co-movement between interest rates and stock prices. Testimonies not associated with MPRs have similar but weaker effects. Second-day MPR testimonies cause the smallest movements in interest rates and generate no co-movement between interest rates and stock prices.
•How does Federal Reserve Chair testimony affect interest rates and stock prices?•Different types of testimony matter for the magnitude of effects.•First-day Monetary Policy Report testimonies have the largest effects.•Forward guidance in testimony explains little of the movement in stock prices.•We make our data publicly available for other researchers.
Modern radio pulsar surveys produce a large volume of prospective candidates, the majority of which are polluted by human-created radio frequency interference or other forms of noise. Typically, ...large numbers of candidates need to be visually inspected in order to determine if they are real pulsars. This process can be labour intensive. In this paper, we introduce an algorithm called Pulsar Evaluation Algorithm for Candidate Extraction (peace) which improves the efficiency of identifying pulsar signals. The algorithm ranks the candidates based on a score function. Unlike popular machine-learning-based algorithms, no prior training data sets are required. This algorithm has been applied to data from several large-scale radio pulsar surveys. Using the human-based ranking results generated by students in the Arecibo Remote Command Center programme, the statistical performance of peace was evaluated. It was found that peace ranked 68 per cent of the student-identified pulsars within the top 0.17 per cent of sorted candidates, 95 per cent within the top 0.34 per cent and 100 per cent within the top 3.7 per cent. This clearly demonstrates that peace significantly increases the pulsar identification rate by a factor of about 50 to 1000. To date, peace has been directly responsible for the discovery of 47 new pulsars, 5 of which are millisecond pulsars that may be useful for pulsar timing based gravitational-wave detection projects.
This paper studies models for forecasting residential investment. It includes standard univariate and multivariate models, and proposes an error correction model (ECM) based on the stock-flow ...relationship of housing starts, completions and units under construction. All models are estimated on real-time data, and the root mean squared prediction errors (RMSPEs) of the models are compared, along with the RMSPEs of the Survey of Professional Forecasters (SPF) and the Federal Reserve’s Greenbook. For the 1981:Q3 to 2013:Q2 sample, the ECM improves upon the competing models, with the largest improvements on the univariate models coming from the current quarter forecasts and those on the multivariate models coming from the multi-step forecasts. Further, the ECM makes modest improvements to the SPF, and performs comparably to the Greenbook from 1981:Q3 to 2007:Q4. Relative to the current state of professional forecasting, the ECM performs best at multi-step forecast horizons and in volatile economic periods.
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