Econometric and statistical methods

• What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

  Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin

  This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44

• Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity

  Staff Working Paper 2016-23 Serafin Grundl, Yu Zhu

  This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C57, D, D4, D44, L, L0, L00

• Estimating Systematic Risk Under Extremely Adverse Market Conditions

  Staff Working Paper 2016-22 Maarten van Oordt, Chen Zhou

  This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, G, G0, G01