Search Results - "Hamilton, James D"

Measuring global economic activity by Hamilton, James D.

“…Summary A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a…”
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Causes and Consequences of the Oil Shock of 2007–08 by HAMILTON, JAMES D.

“…This paper explores similarities and differences between the run-up of oil prices in 2007–08 and earlier oil price shocks, looking at what caused these price…”
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SIGN RESTRICTIONS, STRUCTURAL VECTOR AUTOREGRESSIONS, AND USEFUL PRIOR INFORMATION by Baumeister, Christiane, Hamilton, James D.

“…This paper makes the following original contributions to the literature. (i) We develop a simpler analytical characterization and numerical algorithm for…”
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EFFECTS OF INDEX-FUND INVESTING ON COMMODITY FUTURES PRICES by Hamilton, James D., Wu, Jing Cynthia

“…We develop a simple model of futures arbitrage that implies that if purchases by commodity index funds influence futures prices, then the notional positions of…”
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Understanding Crude Oil Prices by Hamilton, James D.

“…This paper examines the factors responsible for changes in crude oil prices. The paper reviews the statistical behavior of oil prices, relates this to the…”
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The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment by HAMILTON, JAMES D., WU, JING CYNTHIA

“…This paper reviews alternative options for monetary policy when the shortterm interest rate is at the zero lower bound and develops new empirical estimates of…”
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Identification and estimation of Gaussian affine term structure models by Hamilton, James D., Wu, Jing Cynthia

“…This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical…”
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Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks by Baumeister, Christiane, Hamilton, James D.

“…Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs…”
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Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment by Hamilton, James D. (James Douglas), Herrera, Ana Maria

“…A recent paper by Bernanke, Gertler, and Watson (1997) suggests that monetary policy could be used to eliminate any recessionary consequences of an oil price…”
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Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations by Baumeister, Christiane, Hamilton, James D.

“…•Urges researchers to acknowledge the doubts we all have, or should have, about identifying assumptions, and to incorporate those doubts formally in…”
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A Model of the Federal Funds Rate Target by Hamilton, James D., Jordà, Òscar

“…This paper is a statistical analysis of the manner in which the Federal Reserve determines the level of the federal funds rate target, one of the most…”
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A Reexamination of the Predictability of Economic Activity Using the Yield Spread by Hamilton, James D., Kim, Dong Heon

“…This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the…”
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Risk premia in crude oil futures prices by Hamilton, James D., Wu, Jing Cynthia

“…If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the…”
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Heterogeneity and Unemployment Dynamics by Ahn, Hie Joo, Hamilton, James D.

“…Many previous articles have studied the contribution of inflows and outflows to the cyclical variation in unemployment, but ignored the critical role of…”
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Robust Bond Risk Premia by Bauer, Michael D., Hamilton, James D.

“…A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that…”
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Measuring labor-force participation and the incidence and duration of unemployment by Ahn, Hie Joo, Hamilton, James D.

“…•We document internal inconsistencies in CPS data and propose corrections.•Problems include rotation bias, missing observations, and misclassification.•Our…”
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Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions by Baumeister, Christiane, Hamilton, James D.

“…This paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in…”
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The Equilibrium Real Funds Rate: Past, Present, and Future by HAMILTON, JAMES D., HARRIS, ETHAN S., HATZIUS, JAN, WEST, KENNETH D.

“…We examine the behavior, determinants, and implications of the equilibrium level of the real federal funds rate, interpreted as the long run or steady state…”
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The Efficacy of Large-Scale Asset Purchases When the Short-Term Interest Rate Is at Its Effective Lower Bound by HAMILTON, JAMES D.

“…The Federal Reserve on net purchased almost $4 trillion in additional securities between March 2009 and December 2014. Although the initial announcements of…”
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Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices by Davis, Michael C., Hamilton, James D.

“…The menu-cost interpretation of sticky prices implies that the probability of a price change should depend on the past history of prices and fundamentals only…”
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