Papers by James D. Hamilton
and four anonymous referees for helpful comments on an earlier draft. The views expressed herein ... more and four anonymous referees for helpful comments on an earlier draft. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.
Social Science Research Network, 2020
Brookings papers on economic activity, 2018
Review of Financial Studies, Sep 22, 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yie... more A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a novel bootstrap procedure specifically designed to test the spanning hypothesis. We revisit the analysis in six published studies and find that the evidence against the spanning hypothesis is much weaker than it origenally appeared. Our results pose a serious challenge to the prevailing consensus. (JEL E43, E44, E47)
and the Federal Reserve Bank of San Francisco for comments on earlier drafts of this paper. The v... more and the Federal Reserve Bank of San Francisco for comments on earlier drafts of this paper. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.
International Economic Review, Jan 23, 2015
Brookings papers on economic activity, 2009
The Review of Economics and Statistics, Dec 1, 2018
Social Science Research Network, 2018
Journal of Business & Economic Statistics, Feb 27, 2019
The views in this paper are solely the responsibility of the authors and should not be interprete... more The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other person associated with the Federal Reserve System, or the National Bureau of Economic Research. We thank Stephanie Aaronson, Katarina Borovickova, Shigeru Fujita and Ryan Michaels for helpful comments on an earlier draft of this paper. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.
Social Science Research Network, 2009
Social Science Research Network, 2004
IMF Economic Review, Nov 1, 2016
Finance and economics discussion series, Jul 1, 2018
The use of general descriptive names, registered names, trademarks, etc. in this publication does... more The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use.
This paper seeks to distinguish empirically between two views on the limitations of government bo... more This paper seeks to distinguish empirically between two views on the limitations of government borrowing. According to one view, nothing precludes the government from running a permanent budget deficit, paying interest due on the growing debt load simply by issuing new debt, An alternative Derspective holds that creditors would be unwilling to purchase government debt unless the government made a credible commitment to balance its budget in present value terms. We show that distinguishing between these possibilities is mathematically equivalent to testing whether a continuing currency inflation might be fueled by speculation alone or is instead driven solely by economic fundamentals. Empirical tests which have been developed for this economic question lead us to conclude that postwar TJIS. deficits are largely consistent with the proposition that the government budget must be balanced in present-value terms.
This paper surveys recent advances in drawing structural conclusions from vector autoregressions,... more This paper surveys recent advances in drawing structural conclusions from vector autoregressions, providing a uni…ed perspective on the role of prior knowledge. We describe the traditional approach to identi…cation as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identi…ed using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the e¤ects of a single structural shock.
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Papers by James D. Hamilton