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In contrast, we consider the advantages of a one-step approach that directly analyzes the universe of bond prices.
To illustrate the feasibility and desirability of the onestep approach, we compare arbitrage-free dynamic term structure models estimated using both approaches.
Recent employment breaks negative duration dependence in unemployment exits and the unemployed who report long durations after recent employment have similar job finding rates as those who report short durations.
Using our proposed approach, we reexamine the unemployment duration distribution and current approach to misclassification error in the CPS.
The annual data on total returns for equity, housing, bonds, and bills cover 16 advanced economies from 1870 to 2015, and our new evidence reveals many new insights and puzzles.
This paper develops a New Keynesian model with a time-varying natural rate of interest (r-star) and a zero lower bound (ZLB) on the nominal interest rate.
We also provide a simulation study showing that a one-step approach can extract the information in large panels of bond prices and avoid any arbitrary noise introduced from a first-stage interpolation of yields.
We introduce a novel approach to studying heterogeneity in job finding rates by classifying the non-employed, the unemployed and those out of the labor force (OLF), according to their labor force status (LFS) histories using four-month panels in the CPS.
We answer these questions on the basis of a new and comprehensive dataset for all major asset classes, including—for the first time—total returns to the largest, but oft ignored, component of household wealth, housing.For the unemployed, the duration since last employment is a better predictor of future employment than the self-reported duration of unemployment is, as the two duration measures often disagree.The disagreement is not caused by classification error but rather arises because self-reported durations reflect individuals’ in short-term jobs either temporarily suspending their search or continuing search while working.In equilibrium, these investors fund properties with a low probability of distress and banks fund properties that may require renegotiation.We test the model using the 2007-2009 collapse of the CMBS market as a natural experiment, when banks funded both collateral types.