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  • Òscar Jordà, Paolo Angelini, Colin Cameron, John Cochrane, Timothy Cogley, James Hamilton +8 others
  • 2004
This paper introduces methods to compute impulse responses without specification and estimation of the underlying multivariate dynamic system. The central idea consists in estimating local projections at each period of interest rather than extrapolating into increasingly distant horizons from a given model, as it is done with vector autoregressions (VAR).(More)
Do external imbalances increase the risk of financial crises? In this paper, we study the experience of 14 developed countries over 140 years (1870-2008). We exploit our long-run dataset in a number of different ways. First, we apply new statistical tools to describe the temporal and spatial patterns of crises and identify five episodes of global financial(More)
  • John Fernald, Erik Brynjolfsson, Susanto Basu, Mary Daly, Charles Fleischman, Bob Hall +8 others
  • 2012
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. Abstract: This paper makes four points about the recent dynamics of productivity and potential output. First, after accelerating in(More)
  • John Fernald, John G Fernald, David Kang, Stephanie Wang, Andrew Mccallum, David +15 others
  • 2007
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. This paper was produced under the auspices for the Center for the Study of Innovation and Productivity within the Abstract Structural(More)
  • Òscar Jordà, Massimiliano Marcellino, Filippo Altissimo, Frank Diebold, Peter Hansen, Hashem Pesaran +3 others
  • 2008
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given con…dence level requires construction of simultaneous con…dence regions that adjust for any covariance between the elements of the path forecast. This paper shows how to construct such(More)
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Banks of San Francisco and Atlanta or the Board of Governors of the Federal Reserve System. Abstract This paper codifies in a systematic and transparent way a historical chronology of business cycle turning points(More)
Inference about an impulse response is a multiple testing problem with serially correlated coefficient estimates. This paper provides a method to construct simultaneous confidence regions for impulse responses to evaluate uncertainty about the shape of the impulse response; and conditional bands to examine individual significance levels of impulse response(More)
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. Abstract Elevated government debt levels in advanced economies have risen rapidly as sovereigns absorbed private-sector losses and(More)
  • Sylvain Leduc, Daniel Wilson, Frb San, Francisco, John Fernald, Bart Hobijn +2 others
  • 2012
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. Abstract We examine the dynamic macroeconomic effects of public infrastructure investment both theoretically and empirically, using a(More)
  • Òscar Jordà, Sharon Kozicki, Colin Cameron, Timothy Cogley, David Dejong, Richard Dennis +12 others
  • 2008
In most macroeconomic models, the stability of the solution path implies that the system is covariance-stationary and hence admits a Wold representation. The ability to estimate this Wold representation semi-parametrically by local projections (Jordà, 2005), even when the process for the solution path is unknown or unconventional, can be exploited to(More)