#2009-007B "Is Housing the Business Cycle? Evidence from U.S. Cities"
by Andra C. Ghent, and Michael T. Owyang
March 2009
Revised July 2009

We analyze the relationship between housing and the business cycle in a set of 51 U.S. cities. More...

FORTHCOMING: Journal of Urban Economics

#2009-006A "Who Benefits from Increased Government Spending? A State-Level Analysis"
by Michael T. Owyang, and Sarah Zubairy
March 2009

We simultaneously identify two government spending shocks: military spending shocks as defined by Ramey (2008) and federal spending shocks as defined by Perotti (2008). We analyze the effect of these shocks on state-level personal income and employment. More...

#2009-001A "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value"
by Carolina Fugazza, Massimo Guidolin, and Giovanna Nicodano
January 2009

Welfare gains to long-horizon investors may derive from time diversification that exploits non-zero intertemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. More...

#2008-046B "Mexico’s Integration into NAFTA Markets: A View from Sectoral Real Exchange Rates"
by Rodolphe Blavy, and Luciana Juvenal
December 2008
Revised May 2009

Using a self-exciting threshold autoregressive model, we confirm the presence of nonlinearities in sectoral real exchange rate (SRER) dynamics across Mexico, Canada and the US in the pre-NAFTA and post-NAFTA periods. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, September/October 2009, 91(5, Part 1), pp. 441-64

#2008-042B "Do European Capital Flows Comove?"
by Silvio Contessi, and Pierangelo DePace
November 2008
Revised May 2009

We study the cross-section correlations of net, total, and disaggregated capital flows for the major source and recipient European Union countries. We seek evidence of changes in these correlations since the introduction of the euro to understand whether the European Union can be considered a unique entity with regard to its international capital flows. More...

FORTHCOMING: North American Journal of Economics and Finance

#2008-041B "The Cyclical Properties of Disaggregated Capital Flows"
by Silvio Contessi, Pierangelo DePace, and Johanna Francis
November 2008
Revised May 2009

We describe the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. More...

#2008-037A "Combining Forecasts From Nested Models"
by Todd E. Clark, and Michael W. McCracken
October 2008

Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but a subset of the coefficients are treated as being local-to-zero. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive MSE-minimizing weights for combining the restricted and unrestricted forecasts. Monte Carlo and empirical analyses verify the practical effectiveness of our combination approach. More...

FORTHCOMING: Oxford Bulletin of Economics and Statistics

#2008-033A "Are Credit Unions Too Small?"
by David C. Wheelock, and Paul Wilson
September 2008

Since 1985, the share of U.S. depository institution assets held by credit unions has nearly doubled, and the average (inflation-adjusted) size of credit unions has increased over 600 percent. We use a non-parametric local-linear estimator to estimate a cost relationship for credit unions and derive estimates of ray-scale and expansion-path scale economies. More...

#2008-031B "Asset Prices, Exchange Rates and the Current Account"
by Marcel Fratzscher, Luciana Juvenal, and Lucio Sarno
August 2008
Revised May 2009

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. More...

#2008-030B "Averaging Forecasts from VARs with Uncertain Instabilities"
by Todd E. Clark, and Michael W. McCracken
August 2008
Revised October 2009

Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. More...

FORTHCOMING: Journal of Applied Econometrics