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Òscar Jordà
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Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics 1–49.
Published: 29 October 2024
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We document that the real effects of monetary shocks last for over a decade. Our approach relies on (1) identification of exogenous and non-systematic monetary shocks using the trilemma of international finance; (2) merged data from two new international historical cross-country databases; and (3) econometric methods robust to long-horizon inconsistent estimates. Notably, the capital stock and total factor productivity (TFP) exhibit greater hysteresis than labor. When we allow for asymmetry, we find these effects with tightening shocks, but not with loosening shocks. When extending the horizon of the responses reported in several recent studies that use alternative monetary shocks, we find similarly persistent real effects, thus supporting our main findings.
Includes: Supplementary data
Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2022) 104 (1): 166–175.
Published: 04 January 2022
FIGURES
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What are the medium- to long-term effects of pandemics? Do they differ from other economic disasters? We study major pandemics using rates of return on assets stretching back to the fourteenth century. Significant macroeconomic after-effects of pandemics persist for decades, with rates of return substantially depressed. The responses are in stark contrast to what happens after wars. Our findings also accord with wage and output responses, using more limited data, and are consistent with the neoclassical growth model: capital is destroyed in wars but not in pandemics; pandemics instead may induce more labor scarcity or more precautionary savings, or both.
Includes: Supplementary data
Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2009) 91 (3): 629–647.
Published: 01 August 2009
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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 and conditional bands to examine significance levels of individual impulse response coefficients given propagation trajectories. The paper also shows how to constrain a subset of impulse response paths to anchor structural identification and how to formally test the validity of such identifying constraints. Simulation and empirical evidence illustrate the new techniques. A broad summary of asymptotic analytic formulas is provided to make the methods easy to implement with commonly available statistical software.