Department of Finance
W.P. Carey School of Business
Arizona State University
Tempe, AZ 85287-3906
Information about this author at RePEc
NBER Working Papers and Publications
|February 2015||Systemic Risk and the Macroeconomy: An Empirical Evaluation|
with Stefano Giglio, Bryan T. Kelly: w20963
This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and prove their consistency in a factor model setting. Empirically, systemic risk indexes provide significant predictive information out- of-sample for the lower tail of future macroeconomic shocks.
Published: Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471. citation courtesy of
|September 2010||Estimating the Market-Perceived Monetary Policy Rule|
with James D. Hamilton, Scott Borger: w16412
We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target.
Published: James D. Hamilton & Seth Pruitt & Scott Borger, 2011. "Estimating the Market-Perceived Monetary Policy Rule," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 1-28, July. citation courtesy of
|January 2009||The Demand for Youth: Implications for the Hours Volatility Puzzle|
with Nir Jaimovich, Henry E. Siu: w14697
The employment and hours worked of young individuals fluctuate much more over the business cycle than those of prime-aged individuals. Understanding the mechanism underlying this observation is key to explaining the volatility of aggregate hours over the cycle. We argue that the joint behavior of age-specific hours and wages in the U.S. data point to differences in the cyclical characteristics of labor demand. To articulate this view, we consider a production technology displaying capital-experience complementarity. We estimate the key parameters governing the degree of complementarity and show that the model can account for the behavior of age-specific hours and wages while generating a series of aggregate hours that is nearly as volatile as output.
Published: The Demand for Youth: Explaining Age Differences in the Volatility of Hours, American Economic Review, December 2013, vol. 103, issue 7, 3022-3044 (with Henry Siu and Seth Pruitt).