Category Archives: IFDP Paper

IFDP 2018-1225: Structural Change and Global Trade

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Logan T. Lewis, Ryan Monarch, Michael Sposi, and Jing Zhang | Services, which are less traded than goods, rose from 50 percent of world expenditure in 1970 to 80 percent in 2015. Such structural change restrained “openness”–the ratio of world trade to…

IFDP 2018-1224: Searching for Yield Abroad: Risk-Taking Through Foreign Investment in U.S. Bonds

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John Ammer, Stijn Claessens, Alexandra Tabova, and Caleb Wroblewski | The risk-taking effects of low interest rates, now prevailing in many advanced countries, “search-for-yield,” can be hard to analyze due to both a paucity of data and challenges in i…

IFDP 2018-1223: Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations

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Thiago R. T. Ferreira | Using U.S. data from 1926 to 2015, I show that financial skewness–a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms–is a powerful predictor of business…

IFDP 2018-1222: Measuring Geopolitical Risk

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Dario Caldara and Matteo Iacoviello | We present a monthly indicator of geopolitical risk based on a tally of newspaper articles covering geopolitical tensions, and examine its evolution and effects since 1985. The geopolitical risk (GPR) index spikes …

IFDP 2018-1221: Does Smooth Ambiguity Matter for Asset Pricing?

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A. Ronald Gallant, Mohammad R. Jahan-Parvar, and Hening Liu | We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric…

IFDP 2018-1220: Estimating Unequal Gains across U.S. Consumers with Supplier Trade Data

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Colin J. Hottman and Ryan Monarch | Using supplier-level trade data, we estimate the effect on consumer welfare from changes in U.S. imports both in the aggregate and for different household income groups from 1998 to 2014. To do this, we use consumer …

IFDP 2017-1219: A Macroeconomic Model with Financial Panics

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Mark Gertler, Nobuhiro Kiyotaki, and Andrea Prestipino | This paper incorporates banks and banking panics within a conventional macroeconomic framework to analyze the dynamics of a financial crisis of the kind recently experienced. We are particularly …

IFDP 2017-1218: Learning and the Value of Trade Relationships

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Ryan Monarch and Tim Schmidt-Eisenlohr | This paper quantifies the value of importer-exporter relationships. We show that almost 80 percent of U.S. imports take place in pre-existing relationships, with sizable heterogeneity across countries, and show …

IFDP 2017-1217: Innovation, Productivity, and Monetary Policy

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Patrick Moran and Albert Queralto | To what extent can monetary policy impact business innovation and productivity growth? We use a New Keynesian model with endogenous total factor productivity (TFP) to quantify the TFP losses due to the constraints on…

IFDP 2017-1216: Taxonomy of Global Risk, Uncertainty, and Volatility Measures

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Deepa Datta, Juan M. Londono, Bo Sun, Daniel Beltran, Thiago Ferreira, Matteo Iacoviello, Mohammad R. Jahan-Parvar, Canlin Li, Marius Rodriguez, and John Rogers | A large number of measures for monitoring risk and uncertainty surrounding macroeconomic …