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Jonathan Adams @jonathanjadams.com · 09/07/2025

Bonus: IV estimation of the Taylor rule works very well. Reliable, robust. If you are interested in this method, you can find the macro shocks we use here: github.com/jonathanjada...

github.com

GitHub - jonathanjadams/structuralshocks: Harmonized dataset of structural shocks for use as instrumental variables

Harmonized dataset of structural shocks for use as instrumental variables - jonathanjadams/structuralshocks

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Application #2: We estimate the macro effects of synthetic MPS. - The synthetic surprise is contractionary, but has no effect on prices. - Instead, deflationary effects of (some) EMPS are due to their long-run news components.

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Unwelcome news if you wanted to use EMPS to study textbook policy surprises? Fortunately, we offer a way to do that (and more!) Using our method, it is possible to construct a *synthetic* monetary policy shock approximating any desired term structure of policy news!

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Finding: *all shocks* are mostly news. Even the most surprise-like shocks are <50% due to immediate policy changes. Here’s the Aruoba-Drechsel narrative shock:

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Application #1: We estimate the term structures of popular EMPS in the literature. E.g. here is the term structure for Swanson’s forward guidance shock. Nearly all the information is news about future policy.

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Jonathan Adams @jonathanjadams.com · 09/07/2025

This is an unbiased estimator of the term structure! We also derive a smooth-local-projection variant. Convenient: both can be written as a single-stage estimator with analytical standard errors (no bootstrap!)

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Estimation has 4 stages: 1. Instrument for endogenous variables using macro IVs (Barnichon-Mesters) 2. Estimate policy rule by IV 3. Whiten the policy residual to find the innovation 4. Regress on past EMPS (local projection) The coefficients from the final stage = term structure

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Jonathan Adams @jonathanjadams.com · 09/07/2025

So, if we want to use EMPS to evaluate our theories, we absolutely need to know how they depend on surprise vs news over many horizons. We call this the *Term Structure of Monetary Policy News*. Fortunately: there is a way to estimate this term structure!

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Important: surprise shocks have different effects from news shocks at every news horizon. Here’s how they affect prices in the New Keynesian model:

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Background: EMPS are used to evaluate our theories of monetary policy. But this cannot really be done without knowing what the EMPS *are*. EMPS are not just textbook target rate surprises. They also contain “news shocks” about future policy.

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Jonathan Adams @jonathanjadams.com · 09/07/2025

Philip Barrett @phibar.bsky.social and I address this question in a new working paper. In it, we propose a method to extract the news that EMPS contain about future policy, and apply the method to many shocks from the literature. There is a lot to learn!

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Jonathan Adams @jonathanjadams.com · 09/07/2025

🧵: What does monetary policy do? Our best evidence comes from quality empirical monetary policy shocks (EMPS) using high-frequency and narrative methods. … but what *are* these shocks?

media.tenor.com

a cartoon dog in a pink suit and bow tie says let 's find out

ALT: a cartoon dog in a pink suit and bow tie says let 's find out

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Reposted by Jonathan Adams

Alex MacKay @amackay.bsky.social · 05/03/2025

Forthcoming at the Journal of Political Economy: We find that consumer product markups increased more than 25 percent from 2006 to 2019. One contribution is an approach to estimate IO-style models at scale, yielding flexible consumer preferences and estimates of marginal costs.

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Reposted by Jonathan Adams

Journal of Political Economy @jpolecon.bsky.social · 12/12/2024

A new paper from the Journal of Political Economy investigates how PhD program ranking, department status, and other author connections impact peer review decisions. Read the full findings here: ow.ly/sfLx50UiGII #EconSky

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Jonathan Adams @jonathanjadams.com · 10/12/2024

Frankly, I think it *is* preferable to have all the proof details spelled out in an appendix. This will lead to some long appendices, of course. It is a problem that some journals punish this by requiring that page limits include proofs. That's a mistake. We don't require page limits for code!

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Jonathan Adams @jonathanjadams.com · 09/12/2024

I would guess one of the core reasons for this is the heterogeneity in math knowledge among economists, even in theory literatures. As a result: 1. Readers cannot be trusted to fill in the gaps 2. Readers may not trust the writer to do so Econ editors and referees push both of these points.

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Jonathan Adams @jonathanjadams.com · 02/12/2024

Macroeconomists of #econsky what are some published examples of macro models featuring all of: 1. Information frictions 2. Endogenous signals (i.e. some signals contain information about equilibrium aggregates) 3. **All** signals include idiosyncratic shocks (e.g. noise) Any ideas?

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Reposted by Jonathan Adams

Florian Ederer @florianederer.bsky.social · 27/11/2024

Some of the most important lottery anomalies from the behavioral risk literature (e.g., probability weighting and loss aversion) actually have nothing to do with risk. They also arise in perfectly deterministic settings. Lead article in the latest AER issue: www.aeaweb.org/articles?id=...

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Jonathan Adams @jonathanjadams.com · 26/11/2024

AI pricing is on the rise! Every year, more firms use the technology (broadly defined); those that do are larger and earn higher markups.

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Jonathan Adams @jonathanjadams.com · 19/11/2024

Is that because the department has to pay the tuition expense to the university? Or other costs?

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Jonathan Adams @jonathanjadams.com · 17/11/2024

Hi Auguste, welcome. The list is narrowly defined: academic researchers actively publishing in macroeconomics. My impression is that this does not apply to you, but if I am wrong, please send let me know.

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Jonathan Adams @jonathanjadams.com · 16/11/2024

Hi Tina, thanks for the suggestion; Kathryn is a productive labor economist. But for this list, I am not going to define "macroeconomics" too broadly, in order to be most useful for researchers trying to find this specific group.

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Jonathan Adams @jonathanjadams.com · 16/11/2024

Thanks for the suggestion Leslie. Claudia is a fine follow for macro-related content. However, I am going to keep this list narrow - only folks actively doing academic macro research - in order to be most useful for researchers trying to find this specific group.

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Jonathan Adams @jonathanjadams.com · 16/11/2024

I put together a starter pack of all the academic macroeconomists I could find on the platform. It's short. Please message me if you would like to be added. go.bsky.app/RYnjd8k #econsky etc.

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Jonathan Adams @jonathanjadams.com · 09/10/2024

Here's what I would love to see from a PDF reader: If I search (CRTL-F) some LaTeX math code, such as "\Phi", the reader would find all the Greek Phi's. Does such a thing exist??

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Reposted by Jonathan Adams

Andrea Thompson @andreatweather.bsky.social · 03/10/2024

Hurricane Helene's death toll (now at 189) ranks behind only Katrina (2005) and Camille (1969). It's true toll will take years to unfold www.scientificamerican.com/article/hurr...

Graphic showing how excess deaths from a hurricane persist for years after the storm. In any given year, multiple storms contribute to excess deaths.

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