Browsing by Author "Sekhposyan, Tatevik"
Now showing items 1-20 of 20
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Sekhposyan, Tatevik; Kouchekinia, Noah (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2022-07-12)The recent pandemic has emphasized the importance of high-frequency economic variables. Electricity consumption, particularly important as a production input, is one such variable. However, electricity consumption typically ...
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Lee, Dou Young (2017-07-13)This thesis investigates the U.S. business cycle dynamics considering time-variations and breaks predominantly associated with the Great Recession in the late 2000s. In the first essay, I evaluate the predictive content ...
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Bai, Xiaoxiao (2022-06-23)To explore fiscal policy effects on the macroeconomy, in this dissertation, I study the time-varying effects of government spending on private investment and investigate the aggregate and disaggregate public capital ...
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Shin, Sang-Ook (2019-06-10)The dissertation studies intermediary asset pricing, including two chapters. The first chapter examines how heterogeneity in intermediary capital – the equity capital ratio of the largest financial intermediaries in the ...
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Choo, Dongho (2023-08-07)The first chapter revisits Romer and Romer's (2004) narrative identification approach to monetary policy shocks by allowing a monetary authority to respond systematically to corporate credit spreads and real house price ...
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Yao, Hsin-Hung (2016-08-01)This dissertation contains two essays which propose tests for smooth structural changes in dependence and volatility, respectively. In the first essay, we propose a generalized likelihood ratio test for smooth structural ...
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Sekhposyan, Tatevik; Odendah, Florensl; Rossi, Barbara (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2022-05-16)In forecasting models, usually no single model emerges as the best overall, as forecasting performance is prone to instabilities because the economic mechanisms providing the data work better on one model during some periods ...
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Chatterjee, Priyadarshini (2023-06-19)Each quarter the Federal Open Market Committee (FOMC) release the projections of its members for the current year values and several future year values of inflation, unemployment, real GDP growth, and the Federal Funds ...
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Sekhposyan, Tatevik; Ganics, Gergely; Rossi, Barbara (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2019-12-12)Surveys of professional forecasters produce precise and timely point forecasts for key macroeconomic variables. However, the accompanying density forecasts are not as widely utilized, and there is no consensus about their ...
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Sekhposyan, Tatevik; Hoesch, Lukas; Rossi, Barbara (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2020-03-10)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 ...
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Sekhposyan, Tatevik; Hoesch, Luka; Rossi, Barbara (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2020-04-30)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 ...
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Rossi, Barbara; Sekhposyan, Tatevik (American Economic Review, 2015)
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Sekhposyan, Tatevik; Odendah, Florensl; Rossi, Barbara (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2022-05-23)The authors propose novel tests for the detection of Markov switching deviations from forecast rationality. Existing forecast rationality tests either focus on constant deviations from forecast rationality over the full ...
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Jansen, Dennis W.; Navarro, Carlos I.; Rettenmaier, Andrew J.; Sekhposyan, Tatevik (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2018-10-21)This paper describes the need for timely GDP information, methodology, and data sources used to create the monthly publication, Economic Indicators.
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Dahlhaus, Tatjana; Sekhposyan, Tatevik (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2018-11-12)During the last few decades, central banks across the globe came to recognize the potentially valuable role that transparency can play in stabilizing the economy. For example, the Federal Reserve in the US started releasing ...
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Sekhposyan, Tatevik; Dahlhaus, Tatjana (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2019-02-05)Over the past two decades, expectations about the future of monetary policy has become a useful agent used by households and firms as they make spending and investment decisions. As central banks worldwide recognize the ...
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Sekhposyan, Tatevik; Dahlhaus, Tatjana; Schaumburg, Julia (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2021-05-06)In this working paper, authors Tatevik Sekhposyan, Tatjana Dahlhaus, and Julia Schaumburg introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. ...
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Hassani, Ashkan (2021-12-10)In this study we test whether different government expenditure innovation measures proposed in the literature are good proxies for government spending shocks. We compare five government spending shock measures: forecast ...
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Isbell, John A (2021-05-10)The Securities and Exchange Commission (SEC) sets S&P 500 index circuit breakers, which halt trading due to sudden market declines, at specific price drops, such as a 7 percent price change (Level 1) from the previous ...
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Yeo, Hyosung (2016-05-10)We measure macroeconomic uncertainty and study its link to asset returns via a consumption-based model employing recursive preferences. We introduce a stochastic volatility model with two asymptotic regimes and smooth ...