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51 Results

Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy

Staff Working Paper 1995-2 Alain DeSerres, Alain Guay, Pierre St-Amant
In this paper the authors show how potential output can be estimated and projected through an approach derived from the structural vector autoregression methodology. This approach is applied to the Mexican economy. To identify demand, supply and world oil shocks, the authors assume that demand shocks do not have a permanent effect on output and […]

A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions

Staff Working Paper 1998-4 Pierre St-Amant, David Tessier
In a recent article, Faust and Leeper (1997) discuss reasons why inference from structural VARs identified with long-run restrictions may not be reliable. In this paper, the authors argue that there are reasons to believe that Faust and Leeper's arguments are not devastating in practice. First, simulation exercises suggest that this approach does well when […]
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3

Tail Index Estimation: Quantile-Driven Threshold Selection

The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small.

Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data

Staff Working Paper 2021-43 Tatjana Dahlhaus, Angelika Welte
We examine how consumers have adjusted their payment habits during the COVID-19 pandemic. They seem to perform fewer transactions, spend more in each transaction, use less cash at the point of sale and withdraw cash from ATMs linked to their financial institution more often than from other ATMs.

The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies

Staff Working Paper 2014-53 Tatjana Dahlhaus, Garima Vasishtha
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).
Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52, F, F3, F33, F4, F42

Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions

Staff Working Paper 1995-9 Alain DeSerres, Alain Guay
authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory […]

Eggs in One Basket: Security and Convenience of Digital Currencies

Staff Working Paper 2021-6 Charles M. Kahn, Francisco Rivadeneyra, Tsz-Nga Wong
Digital currencies store balances in anonymous electronic addresses. This paper analyzes the trade-offs between the safety and convenience of aggregating balances in addresses, electronic wallets and banks.

Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification

Staff Working Paper 2022-24 Pablo Ottonello, Wenting Song
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.

GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

Staff Working Paper 2000-2 Maral Kichian
State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89
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