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Identifying inflation's grease and sand effects in the labor market
Schweitzer, Mark E.; Groshen, Erica L. (1997-10-01)
Inflation has been accused of causing distortionary prices and wage fluctuations (sand) as well as lauded for facilitating adjustments to shocks when wages are rigid downwards (grease). This paper investigates whether these two effects can be distinguished from each other in a labor market by the following identification strategy: inflation-induced deviations among employer's mean wage-changes represent unintended intramarket distortions (sand), while inflation-induced, inter-occupational wage-changes reflect intended alignments with intermarket forces (grease). Using a unique 40-year panel ...
Staff Reports , Paper 31

Working Paper
Incarceration, Earnings, and Race
Gordon, Grey; Jones, John Bailey; Neelakantan, Urvi; Athreya, Kartik B. (2021-07-02)
Working Paper , Paper 21-11`

Working Paper
Non-linearity in the Inflation-Growth Relationship in Developing Economies: Evidence from a Semiparametric Panel Model
Baglan, Deniz; Yoldas, Emre (2014-07-16)
Using data on developing economies, we estimate a flexible semiparametric panel data model that incorporates potentially nonlinear effects of inflation on economic growth. We find that inflation is associated with significantly lower growth only after it reaches about 12 percent, which is notably lower than the comparable estimate obtained from a threshold model. Our results also suggest that models with restrictive functional form assumptions tend to underestimate marginal effects of inflation on economic growth. We also document significant variation in the effect of inflation on growth ...
Finance and Economics Discussion Series , Paper 2014-51

Report
Estimating dynamic panel models: backing out the Nickell Bias
Pinkovskiy, Maxim L.; Hausman, Jerry A. (2017-10-01)
We propose a novel estimator for the dynamic panel model, which solves the failure of strict exogeneity by calculating the bias in the first-order conditions as a function of the autoregressive parameter and solving the resulting equation. We show that this estimator performs well as compared with approaches in current use. We also propose a general method for including predetermined variables in fixed-effects panel regressions that appears to perform well.
Staff Reports , Paper 824

Working Paper
Oil, Volatility and Institutions: Cross-Country Evidence from Major Oil Producers
Nugent, Jeffrey B.; Mohaddes, Kamiar; El-Anshasy, Amany (2017-04-01)
This paper examines the long-run effects of oil revenue and its volatility on economic growth as well as the role of institutions in this relationship. We collect annual and monthly data on a sample of 17 major oil producers over the period 1961-2013, and use the standard panel autoregressive distributed lag (ARDL) approach as well as its cross-sectionally augmented version (CS-ARDL) for estimation. Therefore, in contrast to the earlier literature on the resource curse, we take into account all three key features of the panel: dynamics, heterogeneity and cross-sectional dependence. Our ...
Globalization Institute Working Papers , Paper 310

Working Paper
The Age-Time-Cohort Problem and the Identification of Structural Parameters in Life-Cycle Models
Schulhofer-Wohl, Sam (2017-10-19)
A standard approach to estimating structural parameters in life-cycle models imposes sufficient assumptions on the data to identify the ?age profile" of outcomes, then chooses model parameters so that the model's age profile matches this empirical age profile. I show that this approach is both incorrect and unnecessary: incorrect, because it generally produces inconsistent estimators of the structural parameters, and unnecessary, because consistent estimators can be obtained under weaker assumptions. I derive an estimation method that avoids the problems of the standard approach. I ...
Working Paper Series , Paper WP-2017-18

Working Paper
The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors
Fan, Roger; D'Amico, Stefania; Kitsul, Yuriy (2014-05-05)
In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S. Treasury securities. We find an economically and statistically significant scarcity premium. This scarcity effect is quite persistent, passes through to Treasury market prices, and explains a significant portion of the flow-effects of LSAP programs, providing additional evidence for the scarcity channel ...
Finance and Economics Discussion Series , Paper 2014-60

Working Paper
Optimal Pooling in Taylor Rule Estimation with Multiple-Horizon Forecast Panels
Herbst, Edward P.; Page, Karen (2026-09-18)
Multiple-horizon forecast panels are increasingly used to infer perceived monetary policy rules, but inference depends on how coefficients are pooled across forecasters, dates, and horizons. We treat this pooling structure as the object of inference. In a participant-date-horizon Taylor-rule regression model, we compare pooling patterns using Bayesian marginal likelihoods, applying the framework to the Blue Chip Financial Forecasts, Survey of Professional Forecasters, and the Summary of Economic Projections. The preferred specifications place much of the systematic variation in policy-rate ...
Finance and Economics Discussion Series , Paper 2026-064

Working Paper
Can Italy Grow Out of Its NPL Overhang? A Panel Threshold Analysis
Raissi, Mehdi; Weber, Anke; Mohaddes, Kamiar (2017-03-01)
This paper examines whether a tipping point exists for real GDP growth in Italy above which the ratio of non-performing loans (NPLs) to total loans falls significantly. Estimating a heterogeneous dynamic panel-threshold model with data on 17 Italian regions over the period 1997-2014, we provide evidence for the presence of growth-threshold effects on the NPL ratio in Italy. More specifically, we find that real GDP growth above 1.2 percent, if sustained for a number of years, is associated with a significant decline in the NPLs ratio. Achieving such growth rates requires decisively tackling ...
Globalization Institute Working Papers , Paper 309

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