Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence

PoliticalEconomy|PublicFinanceDoes the Federal Reserve have an “information advantage� in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to future information on the state of the economy that the Federal Reserve communicates in its announcements via an“information channel?� This paper by PERC Professor Tatevik Sekhposyan, Lucas Hoesch, and Barbara Rossi investigates the evolution of the information channel over time. Although the information channel appears to be important historically, we find no empirical evidenceof its presence in the recent years once instabilities are accounted for

Observation of time-reversal symmetry breaking in the band structure of altermagnetic RuO 2

Altermagnets are an emerging elementary class of collinear magnets. Unlike ferromagnets, their distinct crystal symmetries inhibit magnetization while, unlike antiferromagnets, they promote strong spin polarization in the band structure. The corresponding unconventional mechanism of time-reversal symmetry breaking without magnetization in the electronic spectra has been regarded as a primary signature of altermagnetism but has not been experimentally visualized to date. We directly observe strong time-reversal symmetry breaking in the band structure of altermagnetic RuO2 by detecting magnetic circular dichroism in angle-resolved photoemission spectra. Our experimental results, supported by ab initio calculations, establish the microscopic electronic structure basis for a family of interesting phenomena and functionalities in fields ranging from topological matter to spintronics, which are based on the unconventional time-reversal symmetry breaking in altermagnets

Understanding Novel Superconductors with Ab Initio Calculations

This chapter gives an overview of the progress in the field of computational superconductivity. Following the MgB2 discovery (2001), there has been an impressive acceleration in the development of methods based on Density Functional Theory to compute the critical temperature and other physical properties of actual superconductors from first-principles. State-of-the-art ab-initio methods have reached predictive accuracy for conventional (phonon-mediated) superconductors, and substantial progress is being made also for unconventional superconductors. The aim of this chapter is to give an overview of the existing computational methods for superconductivity, and present selected examples of material discoveries that exemplify the main advancements.Comment: 38 pages, 10 figures, Contribution to Springer Handbook of Materials Modellin

Essays in macroeconomics

This thesis consists of three chapters on topics in Macroeconometrics. Chapter 1 develops a hypothesis test to evaluate economic models and their forecasts robust to instabilities. The test is particularly powerful in the presence of multiple breaks and can be applied to in-sample and out-of-sample moment conditions. An application to predictability of the U.S. equity premium provides evidence in favour of “predictability pockets”. Chapter 2 investigates the evolution of the Federal Reserve information advantage and the information channel of U.S. monetary policy. It provides evidence that the information channel is historically relevant, but finds substantially weaker evidence of its presence in recent years, once instabilities are accounted for. Chapter 3 develops a semi-parametric approach to conduct inference in non-Gaussian SVAR models robust to “weak” non-Gaussianity. The method exploits non-Gaussianity when it is present, while yielding correct coverage regardless of the distribution of the structural errors. An application revisits U.S. labor supply and demand elasticities and highlights the limitations of using non-Gaussianity for identification.Aquesta tesi consta de tres capítols sobre temes de macroeconometria. El capítol 1 desenvolupa una prova d’hipòtesi per avaluar els models econòmics i les seves previsions robustes a les inestabilitats. La prova és particularment potent en presència de trencaments múltiples i es pot aplicar a condicions de moment dins i fora de la mostra. Una aplicació a la predictabilitat de la prima de renda variable dels Estats Units proporciona evidències a favor de “bosses de predictibilitat”. El capítol 2 investiga l’evolució de l’avantatge informativa de la Reserva Federal i el canal d’informació de la política monetària dels Estats Units. Proporciona evidències que el canal d’informació és històricament rellevant, però troba proves substancialment més febles de la seva presència en els darrers anys, un cop es comptabilitzen les inestabilitats. El capítol 3 desenvolupa un enfocament semiparamètric per conduir la inferència en models SVAR no gaussians robustos a no gaussianitat “feble”. El mètode explota la no-gaussianitat quan hi és present mentre proporciona una cobertura correcta independentment de la distribució dels errors estructurals. Una aplicació revisa les elasticitats de la oferta i la demanda de mà d’obra dels Estats Units i posa de manifest les limitacions de l’ús del no gaussianisme per a la identificació

Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence

Does the Federal Reserve have an “information advantage” in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to information on the future state of the economy that the Federal Reserve communicates in its announcements via an “information channel”? This paper investigates the evolution of both the information advantage and information channel over time. Although they appear to be important historically, we find substantially weaker empirical evidence of their presence in recent years once instabilities are accounted for

Replication package for: "Locally Robust Inference for Non-Gaussian SVAR models"

<p>The code in this replication package replicates all tables, figures and in-text results from the paper: "Locally Robust Inference for Non-Gaussian SVAR models", by Hoesch, Lee and Mesters.</p&gt

Robust Inference for Non-Gaussian SVAR models

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct coverage for structural functions of the model parameters when deviations from Gaussianity are small. To this extent, we propose a robust semi-parametric approach to conduct hypothesis tests and construct confidence sets for structural functions in SVAR models. The methodology fully exploits non-Gaussianity when it is present, but yields correct size / coverage regardless of the distance to the Gaussian distribution. Empirically we revisit two macroeconomic SVAR studies where we document mixed results. For the oil price model of Kilian and Murphy (2012) we find that non-Gaussianity can robustly identify reasonable confidence sets, whereas for the labour supply-demand model of Baumeister and Hamilton (2015) this is not the case. Moreover, these exercises highlight the importance of using weak identification robust methods to assess estimation uncertainty when using non-Gaussianity for identification

Locally robust inference for non-Gaussian SVAR models

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct coverage for structural functions of the model parameters when deviations from Gaussianity are small. To this extent, we propose a locally robust semiparametric approach to conduct hypothesis tests and construct confidence sets for structural functions in SVAR models. The methodology fully exploits non-Gaussianity when it is present, but yields correct size/coverage for local-to-Gaussian densities. Empirically, we revisit two macroeconomic SVAR studies where we document mixed results. For the oil price model of Kilian and Murphy (2012), we find that non-Gaussianity can robustly identify reasonable confidence sets, whereas for the labor supply–demand model of Baumeister and Hamilton (2015) this is not the case. Moreover, these exercises highlight the importance of using weak identification robust methods to assess estimation uncertainty when using non-Gaussianity for identification.</p

Has the information channel of monetary policy disappeared? Revisiting the empirical evidence

Does the Federal Reserve have an 'information advantage' in forecasting macroeconomic variables beyond what is known to private sector forecasters? And are market participants reacting only to monetary policy shocks or also to future information on the state of the economy that the Federal Reserve communicates in its announcements via an 'information channel'? This paper investigates the evolution of the information channel over time. Although the information channel appears to be important historically, we find no empirical evidence of its presence in the recent years once instabilities are accounted for