Academic | Robin Chen

Free Economic Indicators

Fri, 14 Apr 2023 00:00:00 +0000

Financial Markets

Gilchrist and Zakrajšek (2012) Excess Bond Premium is an economic indicator that measures the difference between the actual yield on a corporate bond and the yield that would be expected based on the bond’s credit risk. Developed as a way to capture the risk sentiment in financial markets, EBP (latest updates ) reflects the additional compensation investors demand for holding riskier assets beyond what credit risk alone would justify. High EBP levels indicate increased risk aversion or market stress, while low levels suggest a more stable financial environment. Policymakers and economists use EBP to monitor financial stability, track credit market conditions, and assess the effectiveness of monetary policy in influencing risk-taking behavior.

The Chicago Fed’s National Financial Conditions Index (NFCI) provides a comprehensive weekly update on U.S. financial conditions in money markets, debt and equity markets, and the traditional and “shadow” banking systems. Because U.S. economic and financial conditions tend to be highly correlated, we also present an alternative index, the adjusted NFCI (ANFCI). This index isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to current economic conditions.

OFR Financial Stress Index is a daily market-based snapshot of stress in global financial markets. It is constructed from 33 financial market variables, such as yield spreads, valuation measures, and interest rates. The OFR FSI is positive when stress levels are above average, and negative when stress levels are below average. The OFR FSI incorporates five categories of indicators: credit, equity valuation, funding, safe assets and volatility. The FSI shows stress contributions by three regions: United States, other advanced economies, and emerging markets.

Households and Demand Side

PENN STATE/ACY Alternative Inflation Index is constructed by replacing the rental price of both tenant- and owner-occupied housing with our new Marginal Rent Index (MRI) introduced by Ambrose, Coulson, and Yoshida (2022) .

The University of Michigan Survey of Consumers reports Index of Consumer Sentiment and Expected Changes in Inflation Rates. The former is a consumer confidence index. The index is normalized to have a value of 100 in the first quarter of 1966. Each month at least 500 telephone interviews are conducted of a contiguous United States sample.

S&P CoreLogic Case-Shiller Home Price Indices are the leading measures of U.S. residential real estate prices, tracking changes in the value of residential real estate nationally. Data is available at FRED .

the Cass Freight Index® has been a trusted measure of the North American freight market. The monthly data and the Cass Transportation Index Report provide valuable insight into freight trends as they relate to other economic and supply chain indicators and the overall economy.

Firms and Supply Side

The Chicago Fed National Activity Index (CFNAI) is a monthly index designed to gauge overall economic activity and related inflationary pressure.

The Atlanta Fed GDPNow Forecasting provides a “nowcast” of the official estimate prior to its release by estimating GDP growth using a methodology similar to the one used by the U.S. Bureau of Economic Analysis. It applies standard dynamic factor models (DFMs) and several machine learning (ML) algorithms.

Nowcasting the Output Gap are calculated following the approach described in Berger, Morley, and Wong (2023, Journal of Econometrics) using a model that includes the U-2 unemployment rate instead of the unemployment rate, as in Berger, Boll, Morley, and Wong (2022, Oxford Open Economics).

The Kansas Fed Labor Market Conditions Indicators are two monthly measures of labor market conditions based on 24 labor market variables. One indicator measures the level of activity in labor markets and the other indicator measures momentum in labor markets.

The Employment Cost Index (ECI) is a measure of the change in the cost of labor, independent of the influence of employment shifts among occupations and industry categories. The total compensation series includes changes in wages and salaries and in employer costs for employee benefits. The ECI calculates indexes of total compensation, wages and salaries, and benefits separately for all civilian workers in the United States, for private industry workers, and for workers in state and local government.

Information authority and Expectations

Survey of Professional Forecasters is the oldest quarterly survey of macroeconomic forecasts in the United States. The survey began in 1968 and was conducted by the American Statistical Association and the National Bureau of Economic Research. The Federal Reserve Bank of Philadelphia took over the survey in 1990.

Philadelphia Fed’s Tealbook (formerly Greenbook) Data Set contains the projections from the Tealbooks (formerly Greenbooks) of the Federal Reserve Board of Governors. The Tealbook/Greenbook is produced before each meeting of the Federal Open Market Committee. Using an assumption about monetary policy, the Research staff at the Board of Governors prepares projections about how the economy will fare in the future. These projections are made available to the public after a lag of five years.

Government and Economic Policies

Divisia Monetary Aggregates Divisia monetary aggregates, developed by economist François Divisia in the 1920s and later refined by American economist William Barnett, are economic indicators that measure the money supply in an economy based on the weighted sum of various financial assets. By accounting for differences in liquidity and transactional ease, Divisia aggregates provide a more accurate representation of the monetary base than traditional simple-sum aggregates. Barnett introduced a user-cost approach in the 1980s, making the methodology more applicable to contemporary monetary policy analysis. Divisia monetary aggregates are widely used by economists and policymakers to assess monetary policy effectiveness, financial stability, and economic growth, offering a more nuanced understanding of the money supply and its impact on economic activity.

Economic Policy Uncertainty To measure policy-related economic uncertainty, we construct an index from three types of underlying components. The first and most flexible component quantifies newspaper coverage of policy-related economic uncertainty. This newspaper-based approach is also used for the majority of other country- and topic-specific indexes hosted on this site. For the United States, the newspaper-based component is an index of search results from 10 large newspapers. They also utilize data from two other sources: the number of federal tax code provisions set to expire and disagreement among economic forecasters.

Statement of Research Interests

Tue, 26 Jul 2022 00:00:00 +0000

I am an applied macroeconomist with research interests in the intersection of monetary economics, financial economics and time-series analysis. Methodologically, my work combines careful attention to the identification of causality, measurement, and economic theory. Two topics are of particular interest: first, the identification of monetary policy shocks in structural models; second, the incorporation of expectations into a structural VAR (SVAR). They reflect the application and theoretical endeavor in my research. Thematically, I have studied questions motivated by the major macroeconomic developments of the past two decades, including the 2000s housing cycle in the U.S., the role of the financial sector and other forces in the Great Recession, the monetary policy response to the zero lower bound, the enhanced transparency of the Federal Reserve’s communication.

In what follows, I summarize all of my published and working articles since 2020.

Identification of monetary policy shock in Structural VAR

In the aftermath of the Great Financial Crisis, monetary policy shock is particularly challenging to identify for three reasons. The information in the FOMC monetary policy announcement becomes increasingly complicated and multidimensional. Meanwhile, the conventional policy instrument, i.e., the federal funds rate, is uninformative at zero lower bound. Lastly, monetary policy turns out to be more informational and forward-looking. I take up these and related challenges in a series of articles.

Improving identification strategies is essential to gain insight in monetary policy transmission.

Shifting attention to the longer-end of the yield curve is a natural extension of the latest research on monetary economics, as short-term interest rates are insufficient to reflect the Fed’s actions on the entire yield curve. For instance, forward guidance and large-scale asset purchases (LSAP) programs explicitly aim to affect longer-term interest rates. High-frequency financial data can facilitate the identification of discretionary monetary policy shocks from the noisy fluctuation of a long-term rate. For example, futures and options on Treasury yields imply the real-time optimal expectations of interest rates and their risks given an efficient financial market. Price variations of those derivatives around monetary policy announcements render us inference of policy impacts. The working paper, “The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission ” (Chen, 2020), utilizes high-frequency options data to measure the impact of monetary policy announcements on risk perception in the long-term bond market. Based on a Structural VAR with high-frequency identification, I identify monetary policy shock in the risk-taking channel by taking the fact that when the long-term bond market perceives higher volatility after an FOMC policy announcement, the long-term bond yield, particularly the term premium, escalates. This MP shock transmits to the real economy through the financial sector – i.e., the credit premium added on corporate lending rate surges, and real production suffers in the following year. In comparison, an unanticipated jump of the three-month ahead federal funds futures also drives up the long-term interest rate, but it stimulates muted responses in credit frictions and real activities. The results impose a question mark on the validity of the Keynesian-type interest rate channel, in which short-term interests do the heavy lifting in monetary policy transmission. Meanwhile, I collect evidence for the effectiveness of the risk-taking channel, in which risk perception of financial intermediaries plays a central role in policy propagation.

The working paper, “Demystifying Monetary Policy Surprises: Fed Response to Financial Conditions and Wait and See for New Economic Data ” (Chen, 2024), improve the monetary policy surprises used in high-frequency identification by proposing a new explanation for their predictability by economic news and financial data. Using high-frequency measures of financial stress, Treasury yield skewness, and real activity surprises, we find empirical evidence supporting the “Fed response to financial conditions” channel and refuting alternative explanations. In detail, the information content in those popular predictors of monetary policy surprises are publicly available in financial markets, refuting the Fed private information. The stable financial stress index on the FOMC announcement days reject the hypothesis that the time-varying risk premia in short-term financial contracts leads to monetary policy surprises. Lastly, evidence of the Fed wait and see strategy and no expected partial effect of real surprises on monetary policy surprises after controlling for financial conditions contradict to the argument that the market persistently underestimating the Fed’s responsiveness to economic news. Monetary policy surprises orthogonal to financial conditions are served as superior proxy for monetary policy shocks, which in turn generate more conventional real and price responses in a structural VAR framework.

A critical unresolved issue in Chen (2020) is that the information in financial markets are often taken as exogenous so that expectations based on new information are not endogenously formed in economic models. Then how to incorporate the theory-consistent rational expectations into a small-sized SVAR with only observables? The working paper, “Embedding Rational Expectations in a Structural VAR: Internal and External Instruments for Set Identification (Chen and Valcarcel, 2022a)”, proposes a novel approach that embeds Rational Expectations (RE) into a low-dimensional structural vector autoregression (SVAR). Rational expectations are imposed on all economic agents, such as households, firms, the monetary authority and the financial sector. We establish an instrumental variable procedure internal to the SVAR founded on a purely theoretical framework, which does not rely on any mapping strategy to a reduced form. Alternatively, a separate strategy considers data external to the SVAR to aid in identifying structural shocks on a purely empirical basis. We report clouds of responses from a RE-consistent theoretical model as well as regions of plausible responses from the empirical approach. We conclude that a Taylor Rule characterization of monetary policy shocks remains relevant when the theoretical RE-SVAR is properly augmented with information from fluctuations - or momentous events - in markets that have garnered increased attention since 2008, such as reserves and various money markets.

Another avenue for identification is to revisit the information contained in monetary aggregates and their components.

Money growth was once used as the monetary policy target but lost its appeal as a policy instrument in the 1990s. However, growing empirical evidence indicates that the decoupling of money and monetary policy may be a measurement problem rather than an identification issue. The work-in-process paper, “A granular investigation on the stability of money demand ” (Chen and Valcarcel, 2024, Macroeconomic Dynamics), revisits the controversy of unstable money demand function in the U.S. We find that if taking into account the substitution effect among monetary assets in the measurement of monetary quantity, we observe a stable long-run relationship between money demand and the costs of holding in the whole sample from 1967 to 2018 and different subsamples. Thus, it is necessary for the aggregation of monetary assets to reflect the substitution effect when a quantity-theoretical approach to monetary policy is of concern.

A vital question in identifying monetary policy shocks with monetary aggregates is to understand the role of monetary aggregates in the monetary authority’s decision rule. Are they a supplementary source of information besides the federal funds rate or are they directly indicative of monetary policy actions? The published paper, “Monetary Transmission in Money Markets: The Not-So-Elusive Missing Piece of the Puzzle ” (Chen and Valcarcel, 2021, Journal of Economic Dynamics and Control, lead article), investigates the effects of U.S. monetary policy shocks from alternative policy indicators for a modern sample encompassing 1988–2020. The choice of the Wu and Xia (2016) shadow federal funds rate leads to persistent price puzzles. These puzzles arise despite the inclusion of the usual suspect fixes such as commodity prices, federal funds futures and forward rate data. We find they occur at monthly and quarterly frequencies. We consider alternative indicators with the same broad monetary aggregates Keating et al. (2019) employed in their investigation of a historical sample. They provide a consistent resolution of the price puzzle and do not require the ad hoc inclusion of commodity prices or futures data. This price puzzle correction is not a feature of our time-varying approach as it obtains from constant parameter econometric estimation. Our analysis suggests monetary policy has transmitted substantial expansionary effects in money markets in the aftermath of the 2007 Financial Crisis and the decade that followed.

In the same strand of research considering alternative policy indicators, the Working paper, “Modeling Inflation Expectations in Forward-Looking Interest Rate and Money Growth Rules ” (Chen and Valcarcel, 2024, Journal of Economic Dynamics and Control), proposes a novel structural identification in SVAR that directly embed the consensus three-equation macroeconomic model (IS-AS-MP) with rational expectations in a low dimension VAR representation. This makes it tractable to model forward-lookingness in a way consistent with a textbook rational expectations mechanism. We find overwhelming evidence that a forward-looking money growth rule elicits large regions of sensible responses of economic activity and inflation. The fact that the federal funds rate seems to perform less well in our system suggests that indicator often benefits from being augmented with more information in traditional VAR settings. Our results suggest that the superiority of Divisia monetary aggregates in indicating monetary policy is not a consequence of favorable structural assumptions but an outcome of the comprehensive information content about policy actions in various money markets.

Other explorations in structural identification

Is there a limit on the federal debt level? It is an unresolved question from the supply side. Congress may constantly expand the statutory debt limit. To answer this question, we need additional insight into the demand side where economic agents hold the Treasuries as an all-weather safe asset. The debt limit may be the level at which investors would be reluctant to purchase more. The work-in-progress project, “Safety Premia, Treasury Duration and Safe Asset Aggregation ”, measures the optimal quantity of Treasuries considering the safe asset holder’s decision. We discusses the sources and user costs of safety services obtained from holding Treasuries as the representative safe asset. Furthermore, we aggregate the quantity of safe assets by tracking the utility generated by the U.S. Treasury securities and the expenditure on safety services. Rather than simply sum up the quantity of outstanding Treasuries in different durations, we impute heterogeneous user costs and aggregate those imperfectly substituted safe assets using the Divisia superlative indexing method. This Divisia safety service index reflects the Treasury debt valuation from a dynamic trading perspective, in which the holder trades safe assets at different durations as imperfect substitutes. At the same time, the simple-sum aggregate represents the “buy and hold” perspective, in which holders are indifferent to Treasuries at various maturities. We further provide evidence that the discrepancy between the Divisia and simple-sum aggregates captures the insurance service flows, with which the holder buys and sells safe assets at different durations to insure against idiosyncratic risks in liquidating non-safe assets. This insurance service has a critical implication on how economic agents deal with news on fundamentals with noise.

The working-in-progress project with Ming Chien Lo, “Housing Price Rigidity: Evidence from Asymmetric Impacts of Money Supply”, finds that the non-linear relationship between monetary policy and housing prices—i.e., the housing price downward rigidity—suggests the resilience of housing price in response to an easing monetary environment at downtime. We use a novel measure of the money supply (i.e., Divisia M2) to indicate monetary policy actions and estimate a bivariate threshold vector error correction model (TVECM) on housing prices. This model comes with three innovations. First, the quantity theory of money is embedded in the cointegration equation by a structural restriction on the cointegrating coefficient. Second, with proper identification on the long-run relationship, the wealth and liquidity effects of monetary policy are isolated via the hierarchical design in VECM, such as the long-term cointegration and short-term error correction. Third, the degree of liquidity and the threshold for non-linearity is endogenously determined by the deviation from the cointegration relationship. The threshold variable is the residuals of the cointegration equation, measuring the deviation of housing appreciation from its long-term cointegrating relationship with money growth. A modification behavior is evident in the lower regime, indicating housing price increases to reflect a liquid monetary environment. This finding suggests the resilience of housing prices with the aid of expansionary monetary policy at a downtime. In the upper regime, error correction is not observed and the housing appreciation persists even in a tight credit availability. This result is consistent with the autonomous housing boom independent of the monetary development.

Teaching Statement

Mon, 25 Jul 2022 00:00:00 +0000

My teaching philosophy can be succinctly encapsulated in a few words: learning economics in the classroom should be conducive to students thinking outside the box.

Economics is close to our daily life. Students should be encouraged to confront and cope with economic topics by thinking beyond the scope of their majors and the boundary set by the curriculum. For example, at the end of my principles course, a student should be able to confidently talk about how a financial crisis affects a typical household, even if she is a computer science major or so. I envision every student to be a qualified citizen with a global view. Therefore, I feel responsible for equipping them with essential tools and mindsets to deal with new challenges in this fast-changing world. I strive to do so by adopting an even mix of theoretical concepts, empirical analysis, and their relevance to current events. In my experience, students who see a concept or an idea borne out by evidence (which would be better coming from occurrences in daily life) generally internalize and articulate it more successfully.

During my Ph.D. and the ensuring academic career, I treasure every chance to improve my teaching through direct communication with students. Empowering students with diversified backgrounds in disparate institutions requires me to put down my prejudice and heartedly listen to students’ needs. I rejoice to do so simply because it is students’ learning that defines good teaching. Deep in my heart, I admire those student-athletes who take good care of schooling and training and those first-generation kids who take multiple jobs to reduce their debt burden. Being patient and talking with them not only unleashes their potential but also constitutes self-fulfillment for me.

I model my own teaching after those who left a profound influence on me – mainly those instructors who succeeded in conveying the importance of concepts with sufficient historical background and empirical relevance to our daily life. To achieve this, I use a combination of approaches, which involve lecture, discussion, and feedback:

As to the lecture, I learn from the structure of my selected textbook but frequently extend beyond, especially for some historical content and practical applications. The history of economics is a roadmap for encountering, solving, and reflecting on economic issues. Without a proper introduction of the social background, I may merely iterate an economic concept rather than teach a lesson in macroeconomics to the students. History stories and case studies are proven effective in attracting students’ attention and deepening their comprehension. For example, the story of pouring milk into rivers and a case study of the Great Depression facilitate students’ understanding of some critical features of Keynesian economics.

Furthermore, I foster learning from peers with two approaches. One approach is to raise application questions. How do you apply a concept or model to explain variations in economic data? Students are encouraged to work in groups to identify the discrepancy between theories and empirical evidence and suggest reasonable explanations. The other approach is to establish an online community for students to ask questions to their peers along their learning process. In this sense, the instructor becomes the facilitator who empowers rather than teaches students.

Last but not least, I always make sure that students can reach me. Since the bargaining of points or chances of exam retake is ruled out from the get-go by a detailed announcement in the first class period, I receive abundant, meaningful feedback about my course through emails and face-to-face communication. This feedback is critical to ensure the quality of my course and my proper use of students’ time.

I am constantly looking to improve my teaching abilities. Observing classes of more experienced faculty and discussing teaching tools and approaches with them are very helpful. I love teaching because, in my opinion, it is a lot like research. To me, teaching a class is like writing a paper; it is a very organic thing. It often takes on a life of its own. It evolves in ways I cannot always predict, and as it unfolds and grows, I feel I am developing and learning, which at the end of the day, is what has drawn me to a life in academia.

Guidance for Party Games

Tue, 23 Feb 2021 00:00:00 +0000

Click here to download a copy . Hope you will enjoy and share with your friends.

Preface

Each January, students at Birmingham-Southern enjoy the privilege of exploration term, the liberal arts education through practical experience and in-depth personal knowledge. Students may choose off-campus projects, ranging from international study-travel to service-learning to internships. 2021 cames differently due to the severity of the COVID-19 pandemic. As a result, our footprints was restricted, our freedom compromised, and our loneliness exaggerated. Many students told me that they had not spoken with people face to face for several months. I found it may be the time to ask the question: shall we consider an E-term course that reconnects everyone to the real world?

As an attempt to answer the question above, I designed this e-term course, “Economics of Playing Games.” The description is as follows.

“Playing games is a wonderful way to get to know people and make friends. However, are you short of new games that demand some intelligence rather than just drinking? Are you afraid that you are not smart enough to play well? How long does it take to get familiar with a new game in a gathering and be a competitive player? This project will get you equipped and help you become a game master. In each meeting, we will play a game popular in the US or other countries. These are games that require individuals to observe others, send signals, and make decisions. During the game, we will discuss the best strategy to convey accurate information to the right person. Students are required to keep a journal that reflects upon these gaming experiences and gets them prepared for future games. You will be evaluated based on your participation and a culminating ten-page reflective essay.”

Trying to win the games by the rules, students physically implemented the principles of economics: rational individuals move toward their goals given limited resources and certain restrictions. We classified games into five categories. They respectively correspond to five essential elements in communication – describe an object, convey a message, ask a question, tell a story, and identify a lie. By playing those games, students not only actively communicated with real people next to them but also learned to effectively acquire useful information.

This guidebook grew out of students’ final reflective essays. Fifteen students summarized their exploration term project with more than 50,000 words in total. We edited these summaries into a tiny booklet. Now it’s ready for you to share with your friends! This guidebook is not only about a dozen of party games that obsolete alcohol drinking but also about the affection and joy those students experienced during the process. My students and I sincerely recommend these games for you to reconnect yourself to people around you and to the people you love. Hope you enjoy!

Links for Macroeconomics Research

Sat, 23 Jan 2021 00:00:00 +0000

Macroeconomic and Statistical Modelling

Macroeconomic Observatory (Providing free and state-of-the-art tools for macroeconomic analysis: Dynare software, DBnomics database, and Policy analysis)

The Macroeconomic Model Data Base (The Macroeconomic Model Data Base is an archive of macroeconomic models based on a common computational platform that provides various tools for systematic model comparison. The project is headed by Volker Wieland (Goethe University Frankfurt) )

FRB/US Model (The FRB/US model is a large-scale estimated general equilibrium model of the U.S. economy that has been in use at the Federal Reserve Board since 1996)

Univariate Distribution Relationships (Graphical tool mapping the relationships between all major univariate probability distributions)

Multilevel modeling & Panel regression with R, Stata, and SPSS (On-line statistical training and videos provided through the website Multivariate statistics for the real world by Mike Crowson, University of Oklahoma)

Computation

Matlab

Numerical computing and programming environment based on matrix manipulations developed by MathWorks, Inc.

Dynare (Dynare is a free software for handling a wide class of economic models, in particular dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models. Matlab is required in order to run Dynare. However, as an alternative, Dynare also runs with Octave (a free clone of Matlab)
Dynare Code and Documentation written by Johannes Pfeifer
VAR Analysis Toolbox (A collection of Matlab codes to perform Vector Autoregression (VAR) analysis by Ambrogio Cesa-Bianchi)
Iris Macroeconomic Modeling Toolbox (Open-source toolbox for macroeconomic modeling and forecasting in Matlab)
CompEcon Toolbox for Matlab (CompEcon is a set of Matlab functions for solving a variety of problems in economics and finance developed to accompany Applied Computational Economics and Finance, Mario J. Miranda & Paul L. Fackler, MIT Press )
Code and Data for advanced SVAR by Silvia Miranda-Agrippino

Julia

Python and Julia are two free general purpose programming languages for numerical and scientific computing in open source

Helpful Links on Computational Economics for Matlab, Python, and Julia:

Jupyter Notebook (Open-source web application that allows you to create and share documents that contain live code, equations, visualizations and narrative text)
Quantitative Economics web-based course spearheaded by John Stachurski and Thomas J. Sargent for quantitative economic modelling with Python and Julia

Excel

Real-statistics.com (Templates and notes on how to effectively use Excel for statistical analysis)
AET Excel Utilities (Add-in for Excel that facilitates routine tasks)
Excel2Latex (Excel® add-in which converts the current selection from an excel file as LaTeX markup that can be imported into an existing LaTeX document)
FRED add-in (Excel® add-in that provides direct access through Excel® to macro data from Federal Reserve Bank of St. Louis Economic Data (FRED))

Text Editing and Visualization

LyX (LyX is a free document processor that combines TeX/LaTeX with a user-friendly graphical interface)

Cite This For Me (Cite This For Me is an open-access generator to fully-format all of your citations (for Word): Chicago, APA, Harvard, ASA, etc.)

EconGraphs (Intuitive interactive visualizations of key concepts in economics)

CLARIFY (CLARIFY is a free software for interpreting and presenting statistical results with Stata)

Desmos (Fee online tool to graph functions, plot data, evaluate equations, explore transformations, etc.)

Highcharts Cloud (Highcharts is an on-line tool to create interactive charts, free for non-commercial and personal use)

mapchart.net (mapchart.net helps you create customized maps of the World, Europe, and the United States)

Acronym Finder (Acronym Finder is the world’s largest and most comprehensive dictionary of acronyms, abbreviations, and initialisms)

Crossref (Search engine from Crossref: the official Digital Object Identifier (DOI) Registration Agency)

connectedpapers (Free online tool to explore connected academic papers in a visual network graph)

Links for Upper Undergraduate Macroeconomics Courses

Mon, 23 Nov 2020 00:00:00 +0000

Reading List for Intermediate Macroeconomics

Lucas, “Understanding Business Cycles ,” CR 1977. (This paper is entirely literary and sets out many of the stylized facts in clear English.)

Cochrane, “Shocks ,” CR 1994. What are the shocks that drive economic fluctuations? (The paper is about 70% chat and 30% math. You can probably follow the chat even if you skip the math.)

Woodford, “Revolution and Evolution in Twentieth-Century Macroeconomics ,” 1999. (This is one of the best short papers on the history of macroeconomic thought. It usefully distinguishes the Monetarists from the New Classicals from the RBC guys)

Sims, “Macroeconomics and Reality ,” ECMA 1981. This paper introduces the SVAR framework and is about 50% math, 50% talk. You can pick up many of the main substantive points even without the math.

Eichenbaum, “Some Thoughts on Practical Stabilization Policy ,” AER PP 1997.

Gordon, “The History of the Phillips Curve ,” 2009 WP, has a nice summary.

Leeper, “Monetary Science, Fiscal Alchemy ,” Jackson Hole 2010.

Reading List for Money & Banking

“The U.S. Financial Crisis, 1992–2008” (A multimedia timeline that tracks the 2008 financial crisis, from buildup to aftermath.)

Atossa Araxia Abrahamian, “The Rock-Star Appeal of Modern Monetary Theory ,” Nation, May 8, 2017. (Breif introduction of MMT)

Binyamin Appelbaum, “America’s Most Profitable Export: Money ,” New York Times, March 9, 2019. (A short exploration of the role of the U.S. dollar as the global reserve currency and the effects of that status.)

Carlos Garcia Rawlins, Shaylim Castro, and Isaac Urrutia, “Venezuelans Rush to Shops Before Monetary Overhaul ,” Reuters, updated August 22, 2018. (A photo essay that illustrates the effects of hyperinflation)

James Surowiecki, “A Brief History of Money ,” IEEE Spectrum, May 30, 2012. (A detailed look at what money is and how it works, illustrated by historical examples.)

Harvard Business School Working Paper Summaries: Banks and Banking

Ben Bernanke’s Blog (Articles about monetary policy written by previous Fed’s chair)

Friedman, “The Role of Monetary Policy, ” 1968.

Youtube Videos

Supplement materials in plain English for practical application.

Real Economy

Phillips curve by Khan Academy

Financial Markets

Explainers: Basic Financial Terms (Playlist) by the CISI

How The Economic Machine Works by Ray Dalio

But how does bitcoin actually work? by 3Blue1Brown

What Would Negative Interest Rates Mean For Consumers And The Economy? by CNBC

Managing Money in a Zero Interest Rate Environment by Bridgewater Associates

Banks and Central Banks

Banking explained (Basics) by Audi Bank

The Fed in Five | A History of the Federal Reserve by Federal Reserve Bank of St. Louis

Federal Reserve in Plain English by Federal Reserve Bank of St. Louis

Explainers | European Banking System (Playlist) by European Central Bank

Macroeconomics Database

U.S. macroeconomic data by American Economic Association

What Is FRED database? by Federal Reserve Bank of St. Louis

World Economic Database by DB.NOMICS

Penn World Table by Robert C. Feenstra, Robert Inklaar and Marcel P. Timmer

Our World in Data by Global Change Data Lab

Total Economy Database (TED) by the Conference Board

Google Dataset Search by Google

Statement of Contributions to Diversity

Mon, 28 Sep 2020 00:00:00 +0000

I was born and raised in an Asian country and traveled across the Pacific Ocean to study in the United States. My time as a graduate student and visiting assistant professor provides a well-rounded experience working with wonderful people from all backgrounds. It is a leap from the live in the closed and mostly yellow-skinned town where I grew up.

I thrived living and working at one of the most culturally diverse universities, the University of Texas at Dallas, while perusing my PhD. When I started my academic career, the heartwarming faculty at Birmingham-Southern College conveys me a sense of belonging. In return to the plenty of love and care that I received as a minority one, I consider diversity, equity, and inclusion central to my teaching and advising when I have a chance to be an educator.

Teaching a diversified student body is a challenge as well as a fulfillment to me. I strive to seek opportunities in research, the classroom, and across campus to enhance the inclusion of individuals from historically underrepresented backgrounds. Specifically, I sincerely introduce appropriate academic resources, such as tutoring chances, English as Second Language courses, and study groups, to students based on their characteristics and interests. Furthermore, I passionately recommend minority students for scholarship, fellowship, and membership of fraternity and sorority. Deep in my heart, I know they desire one chance to involve, engage, and get recognized. That is why I am always there to listen, advise, and support them to succeed.

For those courses I have full responsibility for curriculum and examination, I have been actively accommodating students with physical challenges in hearing, vision, and walking. Under seamless cooperation with the university student accessibility office, I manage to involve those students in my class without an excessive amount of attention from other students. The increasing enrollment of students with accommodation needs is an affirmation to my effort.

Additionally, I encourage my students to think about problems from the standpoint of a qualified citizen with a global view. By expanding their horizons over developing countries and underprivileged populations, they cultivate the empathy and benevolence on which the real diversity relies. When students start to ponder the roles they might play in alleviating the vast inequities that continue to shape our world, they will embrace the idea of diversity and experience personal growth.

I sincerely look forward to my role in an academic institution, continuing my focus on incorporating students from different backgrounds into a welcoming classroom.

How does monetary policy influence the perceived risk in the long-term bond market?

Tue, 03 Mar 2020 00:00:00 +0000

What is the volatility surprise?

The volatility surprise is the only available measure for the impact of monetary policy on the long-term bond market. It captures FOMC announcement induced variation in 30-day expected volatility of the 10-year Treasury yield. You can find detailed information in the paper Zhengyang Chen (2019) “The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission” . The volatility surprise has three major characteristics that differentiate it from other market sentiment measures.

It reflects the impact of monetary policy on the entire yield curve. The volatility of concern is for the long-term interest rate, instead of for short-term ones. After the 2007-09 financial crisis, monetary policy actions are no longer confined to the federal funds rate target changes but also include forward guidance and large-scale asset purchases programs. All of those tools exert influence on the long end of the yield curve rather than the short end.
It is market-based and does not incur the uncertainty of statistical models. The implied volatility is directly calculated from options prices of 10-year Treasury note futures rather than estimated by any statistical models. It may timely and accurately demonstrate how bond markets react to monetary policy even when there are structural changes.
It is rooted in the risk-taking channel of monetary policy transmission. Borio and Zhu (2012) argue that monetary policy affects financial intermediaries’ risk perception and risk tolerance and, in turn, influences their risk-taking behaviors and real economic outcome. The volatility surprise is a viable measure to indicate monetary-policy-induced changes in risk perception in the financial system.

How does the volatility surprise relate to monetary policy actions?

The volatility surprise bears close relationship not only with conventional monetary policy tool, i.e. the targeting of the federal funds rate, but also with unconventional ones.

Response of the volatility surprise to unexpected policy rate changes

Reaction of the volatility surprise to forward guidance and LSAPs

Latest update for the volatility surprise (1/29/2020)

The reading for the FOMC meeting on 1/29/2020 is 72.61. Detail please refer to the Google Sheet file .

Comments from Students of Principle of Macroeconomics

Sat, 01 Jun 2019 00:00:00 +0000

Spring 2019

good course overall
The tests are difficult but thats because Econ is just hard in general.
I surprisingly did not hate this class like I did in highschool. All I needed was a good teacher and he definitely provided that.
I enjoyed this class the content was just hard and sometimes class lectures went fast
The assignments may get tricky but I think it’s beneficial for those in the business major.
Experience overall was good, I enjoyed this class.
I liked not having to buy a textbook and having access to the chapter powerpoints
The attendance was not mandatory, so students often skipped. This negatively impacted the course because it made it feel like the class was optional, when in reality it contains a lot of crucial information needed for students taking a business major.
I need direct connection from powerpoint info to actual question we expect to face on homework and especially tests.
The textbook was a little hard to read.
Assignments were straightforward.
Everything else was very good
The tests really need to have a free response section, I believe that free response is crucial to gaining a holistic understanding of economics. It is incredibly difficult to comprehend the plethora of models in economics without actually having to work with any of the various models themselves.
No textbook needed -Tests are fair -Assignments are amazing

Fall 2018

This professor is awesome, he’s passionate and friendly. The way he teach is easy to understand.
Great
It was fine, but having only two exams is an unnecessary burden on the class, as having more tests would make stress lessen. Failing one test destroys your grade. More pop quizzes??
No need for textbook. He went over everything with powerpoint
Offer more online options for this course.
Overall, the course was good, but also maybe require attendance so more people will attend.

Summer 2018

I was pleased with this course, the instructor was very friendly and was quick to offer assistance and clarification when needed.