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The article discusses the findings of the working paper "Assessing Vulnerable Employment: The Role of Status & Sector Indicators in Pakistan, Namibia & Brazil." It states that status and sector indicators serves as a powerful tool in understanding labour market developments and to highlight structural changes. Referencing the agricultural and trade sector, vulnerable employment had decreased in the three countries between 1999 to 2006, but Pakistan has the highest level, with 60 per cent.

The given text provides statistical data on the growth rates of imports of goods in the Philippines from Q1 2022 to Q1 2024. It covers various categories such as power generating and specialized machinery, base metals, transport equipment, textile yarn, fabrics, made-up articles and related products, electrical machinery, chemical and chemical products, cereals and cereal preparation, dairy products, medicinal and pharmaceutical products, paper and paper products, feeding stuff, metalliferous ores and metal scrap, metal products, plastics in primary and non-primary forms, fruits and vegetables, professional scientific apparatus, articles of apparel, and other imports of goods. The text also includes information on the Philippine economy, including GDP, GNI, exports, imports, and other economic indicators. This data, sourced from the Philippine Statistics Authority, can be valuable for researchers studying the Philippine economy. [Extracted from the article]

The Texas Manufacturing Outlook Survey (TMOS) is a monthly survey of area manufacturers conducted by the Federal Reserve Bank of Dallas. TMOS indexes provide timely information on manufacturing activity in Texas, which is useful for understanding broader changes in regional economic conditions. This paper describes the survey methodology and analyzes the explanatory and predictive power of TMOS indexes with regard to other measures of state economic activity. Regression analysis shows that several TMOS indexes successfully track changes in Texas employment, gross domestic product and consumer price index. Forecasting exercises show that several TMOS indexes are also useful in predicting future changes in some of these regional economic indicators. [ABSTRACT FROM AUTHOR]

Copyright of OECD Science, Technology & Industry Working Papers is the property of Organisation for Economic Cooperation & Development and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of OECD Science, Technology & Industry Working Papers is the property of Organisation for Economic Cooperation & Development and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for macro applications, for example, choices related to how and to what extent to include shrinkage, and whether to apply shrinkage in a classical or Bayesian framework. We focus on forecasting accuracy, using for evaluation both quantile scores and quantile-weighted continuous ranked probability scores at a range of quantiles spanning from the left to right tail. We find that shrinkage is generally helpful to tail forecast accuracy, with gains that are particularly large for GDP applications featuring large sets of predictors and unemployment and ination applications, and with gains that increase with the forecast horizon. [ABSTRACT FROM AUTHOR]

Copyright of OECD Statistics Working Papers is the property of Organisation for Economic Cooperation & Development and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of OECD Science, Technology & Industry Working Papers is the property of Organisation for Economic Cooperation & Development and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of OECD Environment Working Papers is the property of Organisation for Economic Cooperation & Development and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

We explore a new source of data on layoffs: timely 8-K filings with the Securities and and Exchange Commission. We develop measures of both the number of reported layoff events and the number of affected workers. These series are highly correlated with the business cycle and other layoff indicators. Linking firm-level reported layoff events with WARN notices suggests that 8-K filings are sometimes available before WARN notices, and preliminary regression results suggest our layoff series are useful for forecasting. We also document the industry composition of the data and specific areas where the industry shares diverge. [ABSTRACT FROM AUTHOR]

Presents a bibliography of books, periodicals and reports which deals with the economy of Hungary. "Economic Growth in a Cross-Section of Countries," by R.J. Barro; "Hungary: Selected Items and Statistical Appendix," by C. Beaumont; "Drug Groups Attack Budapest," by E. Kestor.

This study proposes an estimate of the phases of the financial cycle in the Bulgarian economy using a variety of financial and macroeconomic indicators and investigates its interaction with the business cycle. For assessing the financial cycle in Bulgaria two alternative approaches are applied. The first one is based on the use of the band-pass filter and the principal component analysis. The second one relies on a structural unobserved components model. According to both methods the length of the financial cycle is estimated in the range of 11-12 years, which fits well within the widely accepted in the academic literature range of 8 to 30 years. At the same time the business cycle is found to exceed the generally assumed maximal length of 8 years. The results from both approaches indicate, that the financial cycle in Bulgaria is to a large extent synchronised with the business cycle. Another finding of our research is that in 2017 the Bulgarian economy is entering an initial phase of cyclical risk accumulation. [ABSTRACT FROM AUTHOR]

This paper studies measurement errors that subtract signal from true variables of interest, labeled lack of signal errors (LoSE). The effect on OLS regression of LoSE is opposite the conventional wisdom about classical measurement errors, with LoSE in the dependent variable, not the explanatory variables, causing attenuation bias under some conditions. The paper provides evidence of LoSE in US GDP growth during the period known as the Great Moderation (roughly the mid-1980s to the mid-2000s), illustrating attenuation bias in regressions of GDP growth on asset prices. These biases may have contributed to conventional macroeconomic analysis missing the severity of the adverse shocks hitting the economy in the Great Recession. [ABSTRACT FROM AUTHOR]

Copyright of Working Papers (Croatian National Bank) is the property of Croatian National Bank and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of OECD Environment Working Papers is the property of Organisation for Economic Cooperation & Development and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of OECD Science, Technology & Industry Working Papers is the property of Organisation for Economic Cooperation & Development and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper focuses on tail risk nowcasts of economic activity, measured by GDP growth, with a potentially wide array of monthly and weekly information. We consider different models (Bayesian mixed frequency regressions with stochastic volatility, classical and Bayesian quantile regressions, quantile MIDAS regressions) and also different methods for data reduction (either the combination of forecasts from smaller models or forecasts from models that incorporate data reduction). The results show that classical and MIDAS quantile regressions perform very well in-sample but not out-of-sample, where the Bayesian mixed frequency and quantile regressions are generally clearly superior. Such a ranking of methods appears to be driven by substantial variability over time in the recursively estimated parameters in classical quantile regressions, while the use of priors in the Bayesian approaches reduces sampling variability and its effects on forecast accuracy. From an economic point of view, we find that the weekly information flow is quite useful in improving tail nowcasts of economic activity, with initial claims for unemployment insurance, stock prices, a term spread, a credit spread, and the Chicago Fed's index of financial conditions emerging as particularly relevant indicators. Additional weekly indicators of economic activity do not improve historical forecast accuracy but do not harm it much, either. [ABSTRACT FROM AUTHOR]

I study the implications for central bank discount window stigma of the model by Philippon and Skreta (2012). I take an equilibrium perspective for a given discount window program instead of following the program-design approach of the original paper. This allows me to narrow the focus on the model's positive predictions. In the model, firms (banks) need to borrow to finance a productive project. There is limited liability and firms have private information about their ability to repay their debts. This creates an adverse selection problem. The central bank can ameliorate the impact of adverse selection by lending to firms. Discount window borrowing is observable and it may be taken as a signal of firms' credit worthiness. Under some conditions, firms borrowing from the discount window may pay higher interest rates to borrow in the market, a phenomenon often associated with the presence of stigma. I discuss these conditions in detail and what they suggest about the relevance of stigma as an empirical phenomenon. [ABSTRACT FROM AUTHOR]

This paper constructs a leading macroeconomic indicator from microeconomic data using recent machine learning techniques. Using tree-based methods, we estimate probabilities of default for publicly traded non-financial firms in the United States. We then use the cross-section of out-of-sample predicted default probabilities to construct a leading indicator of non-financial corporate health. The index predicts real economic outcomes such as GDP growth and employment up to eight quarters ahead. Impulse responses validate the interpretation of the index as a measure of financial stress. [ABSTRACT FROM AUTHOR]

In this article, the author explores a series of papers which bring together real economic and financial variable for a wide range of countries. He mentions that the papers examine real house price, real equity prices and real domestic credit. He states that it is significant to keep in mind that the data set made by the authors concentrates on domestic credit.

Exploiting the differential financing needs across industrial sectors, this paper shows that financing constraints of small businesses in the United States are one of the drivers explaining the unemployment dynamics during the Great Recession. We show that workers in small firms are more likely to become unemployed during the 2007-09 financial crisis if they work in industries with high external financing needs. We find very similar results for the 1990-91 recession, but not for the 2001 recession, where only the former was associated with a reduction in loan supply. These findings further support the credit constraints hypothesis. [ABSTRACT FROM AUTHOR]

This paper makes the first attempt to estimate the time-varying natural rate jointly with the output gap and trend potential output growth for the world as a whole using a simple unobserved components model broadly following the methodology developed by Laubach and Williams (2003). We find that the world natural rate has been trending down for the past few decades. Nearly half of the variation in the natural rate is accounted for by the trend potential output growth rate. However, the relationship between the world natural interest rate and the world trend growth is modest and not statistically significant. [ABSTRACT FROM AUTHOR]

Broad indicators are often used to evaluate the health of the labor market but may mask disparities in outcomes across age, education, gender, and race. Understanding these disparate outcomes is part of the process of monitoring the labor market. As such, this paper summarizes work the research staff of the Federal Reserve Bank of Kansas City has done to better understand differences in labor market outcomes. Some of these findings reinforce earlier work, while others offer novel perspectives. First, differences in outcomes across race remain substantial. Despite a significant increase in educational attainment among black individuals, their wages are lower and their unemployment rate significantly higher than for white individuals, even after controlling for education. Second, black individuals are nearly two times more likely to become long-term unemployed than white individuals. This difference, however, explains only a modest amount of the difference in the overall unemployment rates for these groups. Third, job polarization has affected black individuals relatively more due to an education gap that has made it more difficult for those without a college education to secure high-skill employment. [ABSTRACT FROM AUTHOR]

This paper proposes a method and a toolkit for solving optimal policy with imperfect commitment. As opposed to the existing literature, our method can be employed in medium- and large-scale models typically used in monetary policy. We apply our method to the Smets and Wouters (2007) model, where we show that imperfect commitment has relevant implications for interest rate setting, the sources of business cycle fluctuations, and welfare. [ABSTRACT FROM AUTHOR]

The article focuses on the rational seasonality in economic series which invalidates the separability assumptions that justify the construction of aggregate economic indexes. It relates the argument on the paper of W. E. Diewert that much of the seasonality in economic time series is produced by the behavior of economic agents. It adds that the index approach to seasonality provides a criterion for judging among different econometric techniques for seasonal adjustment.

This paper investigates whether the degree and the nature of economic and monetary policy interdependence between the United States and the euro area have changed with the advent of EMU. Using real-time data, it addresses this issue from the perspective of financial markets by analysing the effects of monetary policy announcements and macroeconomic news on daily interest rates in the United States and the euro area. First, the paper finds that the interdependence of money markets has increased strongly around EMU. Although spillover effects from the United States to the euro area remain stronger than in the opposite direction, we present evidence that US markets have started reacting also to euro area developments since the onset of EMU. Second, beyond these general linkages, the paper finds that certain macroeconomic news about the US economy has a large and significant effect on euro area money markets, and that these effects have become stronger in recent years. Finally, we show that US macroeconomic news has become good leading indicators for economic developments in the euro area. This indicates that the higher money market interdependence between the United States and the euro area is at least partly explained by the increased real integration of the two economies in recent years. [ABSTRACT FROM AUTHOR]

In a small open economy model with traded and non-traded goods this paper characterizes conditions under which interest rate rules induce aggregate instability by generating multiple equilibria. These conditions depend not only on how aggressively the rule responds to inflation, but also on the measure of inflation to which the government responds, on the degree of openness of the economy and on the degree of exchange rate pass-through. As an important policy implication, this paper finds that to avoid aggregate instability in the economy the government should implement an aggressive rule with respect to the inflation rate of the sector that has sticky prices. That is the non-traded goods inflation rate. As a by-product of this analysis, it is shown that ‘fear-of-floating’ governments that follow a rule that responds to both the CPI-inflation rate and the nominal depreciation rate or governments that implement ‘super-inertial’ interest rate smoothing rules may actually induce multiple equilibria in their economies. This paper also shows that for forward-looking rules, the determinacy of equilibrium conditions depend not only on the degree of openness of the economy but also on the weight that the government puts on expected future CPI-inflation rates. In fact rules that are ‘excessively’ forward-looking always lead to multiple equilibria. [ABSTRACT FROM AUTHOR]

Many recent papers have studied movements in stock, bond, and currency prices over short windows of time around macro announcements. This paper adds to the announcement effects literature in two ways. First, we study the joint announcement effects across a broad range of assets—exchange rates and U.S. and foreign term structures. In order to evaluate whether the joint effects can be reconciled with conventional theory, we interpret the joint movements in light of uncovered interest rate parity or changes in risk premia. For several real macro announcements, we find that a stronger than expected release appreciates the dollar today, but that it must either (i) lower the relative risk premium for holding foreign currency rather than dollars, or (ii) imply considerable future expected dollar depreciation. The latter implies an overshooting behavior akin to that described by Dornbusch (1976). Second, we use a longer span of high frequency data than has been common in announcement work. A longer span of high frequency data contributes to the precision of our estimates and allows us to explore the possibility that the effects of macro surprises on asset prices have varied over time. We find evidence, for example, that PPI releases had a larger effect on U.S. interest rates before about 1992 than subsequently. [ABSTRACT FROM AUTHOR]

This paper investigates breaks in the variability and co-movement of output, consumption, and investment in the G-7 economies. In contrast with most other papers on co-movement, we test for changes in co-movement allowing for breaks in mean and variance. Despite claims that rising integration among these economies has increased output correlations among them, we find no clear evidence of an increase in correlation of growth rates of output, consumption, or investment. This finding is true even for the United States and Canada, which have seen a tremendous increase in bilateral trade shares, and for the members of the euro area in the G-7. [ABSTRACT FROM AUTHOR]

This paper questions whether provisional estimates of output miss economic turning points. Initial estimates of aggregate output and its components are derived from trends in preceding quarters and may not fully capture shifts in economic conditions. Results indicate that provisional estimates do not completely capture accelerations and decelerations, which implies some tendency for provisional estimates to miss economic turning points. The authors also consider the related question of whether better use of contemporaneous data could improve the quality of provisional estimates. They find that provisional estimates do not represent optimal forecasts of the current estimates, but that the improvement in forecast quality from including additional contemporaneous data seems to be small. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper investigates the household behavior that generates the connection between wealth and consumption at the aggregate level. The authors suggest that one possibility is that changes in wealth directly cause changes in consumption because of their effect on households' contemporary budget sets. Another possibility is that they forecast changes in consumption because they indicate changes in future income. Based on analysis of household-level data from the Consumer Expenditure Survey, the authors find that direct wealth effects begin to show up relatively quickly and continue to boost consumption growth for a number of quarters, in line with aggregate estimates. They also suggest that the indirect wealth channel is not a significant determinant of consumption growth. The authors consider that an additional dollar of wealth leads households with moderate securities holdings to raise consumption. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper examines the sources of default risk. The authors empirically test credit risk models and find that firm-specific distress factors play a role in explaining defaultable coupon bond yields. The credit risk models that consider leverage and book-to-market are found to decrease out-of-sample yield fitting errors. Evidence indicates that interest rate risk may be the most significant factor for pricing and hedging. The authors suggest that the credit risk models have been found to perform better for high-grade bonds. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper examines the forecasting performance of standard macro models of exchange rates in real time. Dozens of different vintages of the OECD countries' Main Economic Indicators database out-of-sample forecasts are calculated, as they would have been made at the time, and are compared to a random walk alternative. The results indicate that both data revisions and changes in the sample period typically have large effects on exchange rate predictability. The authors discuss the errors made on the long-horizon exchange rate predictability for the DM and Yen in Mark (1995). The authors find the models consistently perform better using original release data than using fully revised data. They also find that model-based exchange rate forecasts are sometimes better when using Federal Reserve Staff forecasts of future fundamentals instead of actual future values of fundamentals. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.

This paper explores the use of cyclical indicators in estimating the output gap in Japan. To derive estimates of the Japanese output gap and potential output capital and labor, utilization rates are used. The author utilizes two techniques: (1) the cyclical indicators to adjust potential output estimates derived from a Hodrick-Prescott filter over the most recent period when such estimates are generally considered to be unreliable, and (2) equilibrium levels of the cyclical indicators and an Okun's Law-type relationship to derive output gaps and potential output. The latter method is also applied to the components of potential output to develop a third estimate. These methods imply that the current Japanese output gap is significantly larger than a simple Hodrick-Prescott filter would suggest. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.

This paper questions whether a high minimum wage, compared to average wages, raises nominal wage growth and inflation. This effect can be offset by extra unemployment where the minimum wage increases the Non-Accelerating Inflation Rate of Unemployment (NAIRU) of model specification and sample period. The author suggests that this effect is robust to variations in and the behavior of prices. He estimates that the decrease in the relative level of the minimum wage over the last twenty years explains for a reduction in the NAIRU. It can also explain the significant decrease in the NAIRU in the United States, compared to continental Europe. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper examines signal extraction and non-certainty equivalence in optimal monetary policy rules. The author studies unrestricted, fully optimal policy rules with optimal estimation of state variables. The rules show certainty equivalence regarding estimates of an unobserved, complicated state of the economy, but are not certainty-equivalent when: 1) a signal-extraction problem is involves in the estimation, and 2) the optimal rule is expressed as a reduced form that combines policymakers' estimation and policy-setting states. The author suggests that it is optimal for policymakers to satisfy their reaction coefficient on a variable about which uncertainty has increased, while reacting more vigorously to all other variables, about which uncertainty hasn't changed. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper investigates news and noise in Group of Seven (G-7) gross domestic product (GDP) announcements. Revisions to GDP announcements are known to be quite large in all G-7 countries and this study examines the predictability of these data revisions. Previous research work suggests that U.S. GDP revisions are largely unpredictable, as would be the case if the revisions reflect news not available at the time that the preliminary number is produced. The authors find that the degree of predictability varies throughout the G-7 and for the U.S., the revisions are very slightly predictable, but for Italy, Japan and the United Kingdom (UK), about half the variability of subsequent revisions can be accounted for by information available at the time of the preliminary announcement. It appears that revisions reflect, to a significant degree, the removal of noise from the preliminary numbers, rather than the arrival of news. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.

This paper explores the dynamics of current account adjustment among industrialized countries. Twenty-five episodes in which a large sustained improvement in the current account occurred between 1980 and 1997 are identified and used for analysis. The analysis found that a typical current account reversal begins when the current account deficit is about 5 percent of gross domestic product (GDP), and that it is associated with slowing income growth and a 10-20 percent real depreciation. Also, real export growth, declining investment, and an eventual leveling off in both the net international investment position and the budget deficit to GDP ratio are also probable to be part of the adjustment. The results of the analysis suggest that current account reversals in industrialized countries are largely a function of the business cycle. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.

This paper examines the use and abuse of "real-time" data in economic forecasting. The authors distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The authors attempt to prove their theory with a model that uses monthly observations of industrial production, employment, and retail sales to predict real gross domestic product (GDP) growth. When the model is estimated using the preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.

This paper investigates the nature of business cycle asymmetry using a dynamic factor model of output, investment, and consumption. This model investigates two types of asymmetry which improves on the existing literature in two main ways: 1) it is a multivariate model of real gross national product, fixed investment and consumption which allows us to separate out the two types of asymmetry under a precise definition of trend and 2) it enables tests of the marginal statistical significance of each type of asymmetry when the other is allowed to be present. Tests of marginal significance imply both types of asymmetry were present in post-war recessions, although the shifts in trend are less severe than the past literature suggests. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.

This paper develops an operational early warning system (EWS) that can detect financial crises. An analysis and extension of the early warning system developed by Kaminsky, Lizondo, and Reinhart (1998 and 1999) that is based on the "signal" approach is developed. The system monitors several indicators that are inclined to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds (or falls below) a threshold, then a "signal" is issued that a currency crisis may occur within a given period. The model does a fairly good job of predicting some of the crises in 1997/1998, but several weaknesses to the approach are identified. This study also evaluates how this system can be applied to an individual country. This working paper can be found at the United States Federal Reserve Board's International Finance Discussion Papers. You can access it by going to http://www.federalreserve.gov/pubs/ifdp/.

This paper provides an analysis of automatic fiscal stabilizers such as income tax and unemployment insurance benefits. The authors use the modern theory of consumption behavior to identify insurance effects, wealth effects, and liquidity constraints. They identify a cash flow channel for investment and estimate elasticities of federal taxes relating to their tax bases and responses of certain components of federal spending to changes in the unemployment rate. The authors use frequency domain methods and confirm that the relationships found in the time domain are strong at the business cycle frequencies. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

The goal of this paper is to provide evidence of hysteresis in the U.S. unemployment rate. The authors examine whether the unemployment rate tends to return to a long-run average over a period of time. Results indicate that the unemployment rate tends to return to a long-run value, which rules out the possibility of permanent hysteresis. They search for evidence of temporary hysteresis by investigating whether lagged unemployment enters a standard Phillips-curve model of U.S. inflation. They find little evidence that supports temporary hysteresis. They suggest that the effect is not very large, indicating that hysteresis is not significant for U.S. unemployment. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper tests for non-linear dynamics in systems of non-stationary economic time series. The authors use Hall and Heyde's (1980) representation theory to show that the stationary integration relations of an integrated system are usually non-linear stochastic processes. They suggest a sequential non-parametric process to examine stationary co-integration relations for non-linear dynamics and apply this process to short-term US interest rates. They show that the weekly federal funds rate is co-integrated with Treasury bill and commercial paper rates and that co-integration relations are non-linear. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper examines the business cycle implications of noisy economic indicators in the context of a dynamic general equilibrium model. The author finds the following results: 1) measurement error in preliminary data releases can have an important effect on economic fluctuations, and 2) the sign of the measurement error effect significantly depends on the signal processing capabilities of agents. If agents take the noisy data at face value, considerable enhancements in the quality of key economic indicators would lead to considerably less cyclical volatility. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper examines the causes of business cycles and the cyclicality of real wages. Since Keynesian models with sticky nominal wages predict countercyclical real wages, they have been rejected in favor of real business cycle models or new Keynesian models based on price stickiness or countercyclical markups. Evidence for procyclical real wages comes from studies using panel data that estimate the unconditional, contemporaneous association between the unemployment rate and real wages. These studies limit real wage cyclicality to be the same regardless of the source of the business cycle fluctuations. This paper lowers this constraint and estimates a structural value at risk identified by long-run restrictions on the responses of hours and output to labor supply, oil price, technology, and aggregate demand shocks. The author finds that real wages are procyclical in response to technology shocks and oil price shocks, but are countercyclical in response to labor supply shocks and aggregate demand shocks. Results emphasize the limitations of using the unconditional, contemporaneous association between real wages and business cycle indicators to sort out competing theories of the business cycle. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

This paper investigates how additional uncertainty associated with noisy economic data has an effect on business cycle fluctuations. The author uses a variation of the neo-classical growth model to demonstrate that the answer critically depends on the assumed expectation formation capabilities of agents. Under efficient signal extracting, noisy economic indicators reduce cyclical volatility. The opposite takes place when agents adhere to a simple bounded rational strategy. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.

The authors of this paper apply data on historical revisions to real-time estimates of the output gap to examine the implications of measurement error for the design of monetary policy. They use the United States Federal Reserve model of the U.S. economy to measure errors that cause a substantial deterioration in economic performance. The authors also show that it is generally most favorable to place some weight on the level of the output gap in the conduct of policy. They suggest that under extreme conditions it may be better to concentrate on output growth. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.