Entrepreneurship, Inequality, and Taxation Staff Working Paper 2002-14 Césaire Meh This paper confirms the conjecture that the evaluation of tax policy leads to very different conclusions once the role of entrepreneurs is considered. Contrary to previous literature, the author finds that switching from a progressive to a proportional income tax system has a negligible effect on wealth inequality in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): D, D3, D31, E, E6, E62, H, H2, H20, H23
Volatility Risk and Economic Welfare Staff Working Paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3
Privacy as a Public Good: A Case for Electronic Cash Staff Working Paper 2019-24 Rodney J. Garratt, Maarten van Oordt Cash gives users a high level of privacy when making payments, but the use of cash to make payments is declining. People increasingly use debit cards, credit cards or other methods to pay. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Central bank research, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G2, G28
An Introduction to Wavelets for Economists Staff Working Paper 2002-3 Christoph Schleicher Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1
Interpreting Volatility Shocks as Preference Shocks Staff Working Paper 2016-45 Shaofeng Xu This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3
The Mode is the Message: Using Predata as Exclusion Restrictions to Evaluate Survey Design Staff Working Paper 2017-43 Heng Chen, Geoffrey R. Dunbar, Rallye Shen Changes in survey mode (e.g., online, offline) may influence the values of survey responses, and may be particularly problematic when comparing repeated cross-sectional surveys. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C8
Labor Market Policies During an Epidemic Staff Working Paper 2020-54 Serdar Birinci, Fatih Karahan, Yusuf Mercan, Kurt See We study the labour market and welfare effects of expanding unemployment insurance benefits and introducing payroll subsidies during the COVID-19 pandemic. We find that both policies are complementary and are beneficial to different types of workers. Payroll subsidies preserve the employment of workers in highly productive jobs, while unemployment insurance replaces lost income for workers who experience inevitable job loss. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Fiscal policy, Labour markets JEL Code(s): E, E2, E24, E6, E62, J, J6, J64
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances Staff Working Paper 2013-16 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12
State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models Staff Working Paper 2018-14 Luis Uzeda Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C11, C15, C5, C51, C53
An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks Staff Working Paper 2012-5 Gregory Bauer, Antonio Diez de los Rios We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15