Showing 1 – 14 of 14 results.
Curated
The Analysis of Budget Consolidations: Concepts, Research Designs and Measurement (ICPSR 22780)
Released/updated on: 2008-06-25
Geographic coverage: United States, Japan, United Kingdom, Switzerland, Portugal, Iceland, Global, Spain, New Zealand, Greece, Canada, Netherlands, Sweden, Austria, Belgium, Norway, Luxembourg, Ireland, Finland, Denmark, Italy, Australia, France, Germany
Fiscal adjustments have been examined from different perspectives in the literature. However, the conceptual approaches to the analysis of budget consolidations vary substantially. Therefore different approaches to the analysis of fiscal adjustments are discussed in a first step. It is shown that the choices regarding the underlying concepts lead to specific research designs and influence the appropriate empirical method. In a second step, the determinants of budget consolidations are examined empirically in four different research designs for 23 industrialized countries in the 1990s. The analysis shows that the results vary depending on the method applied. However, economic variables seem to play the most important role in explaining the consolidation performance.
Curated
Assessing Applied Econometric Results (ICPSR 1075)
Released/updated on: 1996-01-03
Geographic coverage: United States
These data and/or computer programs are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the INVESTIGATOR(S) if further information is desired.
Self-published
ECIN Replication Package for "Inflation, Innovation, and Technology Transfer in an Open Economy with Variety Expansion" (ICPSR 244552)
Released/updated on: 2026-06-23
Time period: 2003-01-01--2013-12-31
This is data and code code accompanying the article. Abstract of the paper: This study explores the cross-country effects of inflation on innovation and technology transfer in a North-South variety-expansion model. We find that higher southern inflation causes a permanent increase in the North-South relative wage ratio, a temporary decrease in the northern innovation rate, and a permanent decrease in technology transfer. Higher northern inflation causes a permanent decrease in the North-South relative wage ratio, a temporary decrease in the northern innovation rate, and a permanent decrease (increase) in technology transfer if the southern population is sufficiently small (large). We calculate the model to the China-US data to justify the model implications.
Self-published
ECIN Replication Package for "Inflation targeting, output stabilization, and real indeterminacy in monetary models with an interest rate rule" (ICPSR 204682)
Released/updated on: 2024-08-02
Geographic coverage: United States
Time period: 1997-01-01--2023-01-01
Central banks set the nominal interest rate to target inflation and stabilize output. In monetary models, monetary policy affects output directly via the wealth effect. I show that in these models, the response of the central bank to fluctuations in output may induce real indeterminacy even if the Taylor principle is satisfied. I find that the determinacy conditions depend on the interest elasticity of output and generally, the Taylor principle is neither necessary nor sufficient for determinacy. This is in stark contrast with the New Keynesian model where a sufficiently strong policy response to inflation or output usually ensures determinacy.
Curated
Firm Volatility and Credit: A Macroeconomic Analysis (ICPSR 25062)
Released/updated on: 2009-03-11
Geographic coverage: United States
This paper examines a tractable real business cycle model with idiosyncratic productivity shocks and binding credit constraints on entrepreneurs. The model shows how firm volatility increases in combination with credit market development. It further generates the observed co-movement of credit and firm volatility with output at business cycle frequencies in response to aggregate
productivity shocks.
Curated
Forecasting Inflation and Output: Comparing Data-Rich Models with Simple Rules (ICPSR 22684)
Released/updated on: 2008-06-10
Geographic coverage: United States
There has been a resurgence of interest in dynamic factor models for use by policy advisors. Dynamic factor methods can be used to incorporate a wide range of economic information when forecasting or measuring economic shocks. This article introduces dynamic factor models that underlie the data-rich methods and also tests whether the data-rich models can help a benchmark autoregressive model forecast alternative measures of inflation and real economic activity at horizons of 3, 12, and 24 months ahead. The authors find that, over the past decade, the data-rich models significantly improve the forecasts for a variety of real output and inflation indicators. For all the series that they examine, the authors find that the data-rich models become more useful when forecasting over longer horizons. The exception is the unemployment rate, where the principal components provide significant forecasting information at all horizons.
Curated
How Well Do Monetary Fundamentals Forecast Exchange Rates? (ICPSR 1268)
Released/updated on: 2003-06-05
Geographic coverage: United States
For many years after the seminal work of Meese and Rogoff (1983a), conventional wisdom held that exchange rates could not be forecast from monetary fundamentals. Monetary models of exchange rate determination were generally unable to beat even a naive no-change model in out-of-sample forecasting. More recently, the use of sophisticated econometric techniques, panel data, and long spans of data has convinced some researchers (Mark and Sul, 2001) that monetary models can forecast a small, but statistically significant part of the variation in exchange rates. Others remain skeptical, however (Rapach and Wohar, 2001b, Faust, Rogers, and Wright, 2001). It remains a puzzle why even the most supportive studies find such a small predictable component to exchange rates. This article reviews the literature on forecasting exchange rates with monetary fundamentals and speculates as to why it remains so difficult.
Curated
Mortgage Innovation, Mortgage Choice, and Housing Decisions (ICPSR 25063)
Released/updated on: 2009-03-12
Geographic coverage: United States
This paper examines some of the more recent mortgage products now available to borrowers. The authors describe how these products differ across important characteristics, such as the down payment requirement, repayment structure, and amortization schedule. The paper also presents a model with the potential to analyze the implications for various mortgage contracts for individual households, as well as to address many current housing market issues. The authors use the model to examine the implications of alternative mortgages for homeownership and to show that interest rate-adjustable mortgages and combo loans can help explain the rise-and fall-in homeownership since 1994.
Curated
Oil and the United States Macroeconomy: An Update and a Simple Forecasting Exercise (ICPSR 23220)
Released/updated on: 2008-09-05
Geographic coverage: United States
Some analysts and economists recently warned that the United States economy faces a much higher risk of recession should the price of oil rise to $100 per barrel or more. In February 2008, spot crude oil prices closed above $100 per barrel for the first time ever, and since then they have climbed even higher. Meanwhile, according to some surveys of economists, it is highly probable that a recession began in the United States in late 2007 or early 2008. Although the findings in this paper are consistent with the view that the United States economy has become much less sensitive to large changes in oil prices, a simple forecasting exercise using Hamilton's model augmented with the first principal component of 85 macroeconomic variables reveals that a permanent increase in the price of crude oil to $150 per barrel by the end of 2008 could have a significant negative effect on the growth rate of real gross domestic product in the short run. Moreover, the model also predicts that such an increase in oil prices would produce much higher overall and core inflation rates in 2009 than most policymakers expect.
Curated
A Primer on the Empirical Identification of Government Spending Shocks (ICPSR 22681)
Released/updated on: 2008-06-09
Geographic coverage: United States
The empirical literature on the effects of government spending shocks lacks unanimity about the responses of consumption and wages. Proponents of shocks identified by structural vector autoregressions (VARs) find results consistent with New Keynesian models: consumption and wages increase. On the other hand, proponents of the narrative approach find results consistent with neoclassical models: consumption and wages decrease. This paper reviews these two identifications and confirms their differences by using standard economic series. It also uses alternative measures of government spending, output, and the labor market and shows that, although there are minor fluctuations within each identification, the disparate results between the two are robust to the alternative measures. However, under the structural VAR approach, the authors find some differences between the responses to federal and state/local government spending.
Curated
Real Interest Rate Persistence: Evidence and Implications (ICPSR 24541)
Released/updated on: 2009-01-26
Geographic coverage: United States
The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. The authors selectively survey the empirical literature that examines the time-series properties of real interest rates. A key stylized fact is that postwar real interest rates exhibit substantial persistence, shown by extended periods when the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is pervasive, appearing in a variety of guises in the literature. The authors discuss the implications of persistence for theoretical models, illustrate existing findings with updated data, and highlight areas for future research.
Curated
Regional Input-Output Modeling System (RIMS II), 2018 (ICPSR 37942)
Released/updated on: 2020-12-16
Geographic coverage: United States
The Regional Input-Output Modeling System (RIMS II), a regional economic model, is a tool used by investors, planners, and elected officials to objectively assess the potential economic impacts of various projects. This model produces multipliers that are used in economic impact studies to estimate the total impact of a project on a region. The idea behind the results of RIMS II is that an initial change in economic activity results in other rounds of spending--for example, building a new road will lead to increased production of asphalt and concrete. The increased production of asphalt and concrete will lead to more mining. Workers hired due to the increase in economic activity will spend more in the region. The model covers the arts, entertainment, and recreation industry, which includes performing arts, spectator sports, museums, and related activities (industry codes 1711100-712000). BEA charges $275 per region (multipliers are provided for all industries in the model for the region that is ordered. The region must contain one or more contiguous counties) and $75 per industry (multipliers are provided for 50 states and the District of Columbia for the industry that is ordered). RIMS II multipliers are typically updated annually with a new year of regional data, and every five years with new national benchmark input-output data.
Curated
Simulation Programs for Five Economic Models (ICPSR 1013)
Released/updated on: 1996-01-03
These data and/or computer programs are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the INVESTIGATOR(S) if further information is desired.
Curated
Strengthening the Case for the Yield Curve as a Predictor of United States Recessions (ICPSR 1173)
Released/updated on: 1998-10-06
Geographic coverage: United States
This research considers why the yield curve slope ought to contain information about the future prospects of the economy. Two econometric models are examined that test the predictive power of the yield-curve slope relative to other recession predictors such as stock prices and the Commerce Department's index of leading indicators.