Efficient management of multi-frequency panel data with Stata

This presentation discusses how the tasks involved with carrying out a sizable research project, involving panel data at both monthly and daily frequencies, could be efficiently managed by making use of built-in and user-contributed features of Stata. The project entails the construction of a dataset of cross-country monthly measures for 18 nations, and the evaluation of bilateral economic activity between each distinct pair of countries. One measure of volatility, at a monthly frequency, is calculated from daily spot exchange rate data, and effectively merged back to the monthly dataset. Nonlinear least squares models are estimated for every distinct bilateral relationship, and the results of those 300+ models organized for further analysis and production of summary tables and graphics using a postfile. The various labor-saving techniques used to carry out this research will be discussed, with emphasis on the generality that allows additional countries, time periods, and data to be integrated with the panel dataset with ease.

Powerful new tools for time series analysis

Elliott and Jansson developed a powerful test for unit roots, published in Journal of Econometrics (2003), extending the Elliott-Rothenberg-Stock test (dfgls) by adding stationary covariates. I will discuss and demonstrate a Stata implementation of the test. Elliott and Müller's Review of Economic Studies paper (2006) illustrates how tests for parameter constancy and tests for a unknown break process can be unified to produce a single efficient test for stability of the regression function. I will discuss and demonstrate a Stata implementation of the test.

Efficient Management of Multi-Frequency Panel Data with Stata

This presentation discusses how the tasks involved with carrying out a sizable research project, involving panel data at both monthly and daily frequencies, could be efficiently managed by making use of built-in and user-contributed features of Stata. The project entails the construction of a dataset of cross-country monthly measures for 18 nations, and the evaluation of bilateral economic activity between each distinct pair of countries. One measure of volatility, at a monthly frequency, is calculated from daily spot exchange rate data, and effectively merged back to the monthly dataset. Nonlinear least squares models are estimated for every distinct bilateral relationship, and the results of those 300+ models organized for further analysis and production of summary tables and graphics using a postfile. The various labor-saving techniques used to carry out this research will be discussed, with emphasis on the generality that allows additional countries, time periods, and data to be integrated with the panel dataset with ease.

Dynamics of Intra-EMS Interest Rate Linkages

interest rates, long memory, error correction

Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports

We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate proxies for the volatility of real trade flows and real exchange rates after carefully scrutinizing these variables' time series properties. Similar to the findings of earlier theoretical and empirical research, our first set of results show that the impact of exchange rate uncertainty on trade flows is indeterminate. Our second set of results provide new and novel findings that exchange rate volatility has a consistent positive and significant effect on the volatility of bilateral trade flows.exchange rates, volatility, fractional integration, trade flows

Time-Varying Risk Premia in the Foreign Currency Futures Basis

Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. The specific source of risk matters, but the relationships are robust across currencies. The currency futures basis is positively associated with the dividend yield and negatively associated with the spread variables. These correlations cannot be attributed to the expected spot price change component of the currency futures basis, thus establishing the presence of a time-varying risk premium component in the currency futures basis.risk premia, foreign exchange

Changes in the Balance Sheet of the U.S. Manufacturing Sector, 1926-1977

This is a report on the results of a research project, sponsored by the NBER's Program on Financial Markets and Monetary Economics, which involves the collection and organization of income account and balance sheet data, at the firm level, for the years 1926-77. The primary data source for the study is Moody's Industrial Manual. Working at the firm level, it is possible to obtain accurate information on the market values of traded securities.This paper presents and discusses some of the aggregate characteristics of the dataset and also reports the results of estimating a simple portfolio model which attempts to explain changes in firm balance sheet flows for the periods 1927-35 and 1965-77.The data collected for the study, as well as software necessary to manage them efficiently, are available from the authors. An NBER Technical Paper will shortly be available to describe the dataset and software in detail.