Applied Macroeconomics

Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections

We incorporate low frequency information from demographic variables into a simple predictive model to forecast stock valuations and returns conditional on demographic projections. The demographics appear to be an important determinant of stock …

Oil Price Shocks, Systematic Monetary Policy, and the 'Great Moderation'

The U.S. economy has experienced a reduction in volatility since the mid-1980s. In this paper we investigate the changes in the response of the economy to an oil price shock and the role of the systematic monetary policy response in accounting for …

The Comovement in Inventories and Sales: Higher and Higher

We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings, Journal of Business and Economic Statistics, 24 (1), 12–23] “uniform …

On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973

Point estimates suggest mean reversion in real exchange rates; however, it still remains uncomfortable that models without any mean reversion are often compatible with data from the floating period. Studies with data over longer periods find mean …

Do Technology Shocks Drive Hours Up or Down? A Little Evidence from an Agnostic Procedure

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic …

The Decline in US Output Volatility: Structural Changes and Inventory Investment

Explanations for the decline in U.S. output volatility since the mid-1980s include: 'better policy,' 'good luck,' and technological change. Our multiple-break estimates suggest that reductions in volatility since the mid-1980s extend not only to …