Elena Pesavento
Biographic Data
| ID | 8920131 |
|---|---|
| NAME | Elena Pesavento |
| GIVEN NAMES | Elena |
| FAMILY NAME | Pesavento |
| SIGNATURE | PESAVENTO E |
| AFFILIATIONS | Emory University |
| ORCID | 0000-0002-6975-2433 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 5 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2005 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Discussion of: “Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly”
The ease of estimating linear local projections has made them a popular tool for impulse response function analysis. Kolesár and Plagborg-Møller’s main goal is to inquire whether local projections (LP) estimands of impulse response functions have a causal interpretation when the data generating process (DGP) is nonlinear. This discussion focuses on two questions. First, how should we interpret the magnitude of the linear LP estimands in nonlinear…
Oil prices uncertainty, endogenous regime switching, and inflation anchoring
Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and analysts as it captures uncertainty not reflected in other economic/financial uncertainty measures. Then, in the context of a VAR, we investigate the role o…
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks
This article clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the contrasting conclusions from levels and differenced vector autoregression specifications, documented in the literature, can be explained by a small low-frequency comovement between hours worked and productivity growth that gives rise to a discontinuity in the solution for the structural coefficients identified by long-run…
Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account all available information. We show here that in such testing situations, a family of tests with optimality properties exists. We use this to character…
The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment
Explanations for the decline in U.S. output volatility since the mid-1980s include: “better policy,” “good luck,” and technological change. Our multiple-break estimates suggest that reductions in volatility since the mid-1980s extend not only to manufacturing inventories, but also to sales. This finding, along with a concentration of the reduction in the volatility of inventories in materials and supplies and the lack of a significant break in th…
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Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account all available information. We show here that in such testing situations, a family of tests with optimality properties exists. We use this to character…
The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment
Explanations for the decline in U.S. output volatility since the mid-1980s include: “better policy,” “good luck,” and technological change. Our multiple-break estimates suggest that reductions in volatility since the mid-1980s extend not only to manufacturing inventories, but also to sales. This finding, along with a concentration of the reduction in the volatility of inventories in materials and supplies and the lack of a significant break in th…
Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks
This article clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the contrasting conclusions from levels and differenced vector autoregression specifications, documented in the literature, can be explained by a small low-frequency comovement between hours worked and productivity growth that gives rise to a discontinuity in the solution for the structural coefficients identified by long-run…
Oil prices uncertainty, endogenous regime switching, and inflation anchoring
Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and analysts as it captures uncertainty not reflected in other economic/financial uncertainty measures. Then, in the context of a VAR, we investigate the role o…
Discussion of: “Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly”
The ease of estimating linear local projections has made them a popular tool for impulse response function analysis. Kolesár and Plagborg-Møller’s main goal is to inquire whether local projections (LP) estimands of impulse response functions have a causal interpretation when the data generating process (DGP) is nonlinear. This discussion focuses on two questions. First, how should we interpret the magnitude of the linear LP estimands in nonlinear…
Econometrics (4 works) · Market Dynamics and Volatility (4 works) · Monetary Policy and Economic Impact (4 works) · Economics (3 works) · Mathematics (3 works) · Monetary economics (3 works) · Economic Growth and Productivity (2 works) · Monetary policy (2 works) · Statistics (2 works) · Anchoring (1 works)