Adding Forward Shocks to solve misspecification in Local Projections with LOCPROJ
In a series of previous blogs on the impact of climate risks on the fiscal space, I present some features of our ADB working paper written with John…
In a series of previous blogs on the impact of climate risks on the fiscal space, I present some features of our ADB working paper written with John…
NEW PUBLICATION: This research provides novel empirical evidence about the exchange rate reaction to international organization loans and geopolitical preferences using an unbalanced panel of 153 countries observed…
After some insightful email exchanges with Lutz Kilian, I was wondering whether oil market uncertainty and geopolitical risk are related. To measure oil market uncertainty, I use the…
The US has announced the toughest sanctions yet on Russian tankers. As stated by Reuters: “Many of those tankers have been used to ship oil to India and…
In a few days, Alfonso Ugarte from BBVA will release an updated version of his package LOCPROJ. In this new version, the LPGRAPH command has been greatly improved…
In a recent publication in Energy Economics, we found that geopolitical risk will drive up the price of several critical minerals, especially during episodes of heightened geopolitical tensions.…
In a previous blog, I covered the estimation of state-dependent local projection using LOCPROJ. The impact of random shocks of change in vulnerability affects positively the sovereign bond…
In this blog, I will show how to estimate Panel VAR with the new command xtvar introduced in StataNow. The dataset comes from a paper of mine on…
Temperature changes may not be a good indicator or instrument for climate change or vulnerability to climate change. This nice visualization pushes me to think that the annual…
Pleased to announce that 10 articles have been published in our special issue of European Journal of Political Economy. Saadaoui, J., Barbier-Gauchard, A., & Strum, J.-E. (2025). Geopolitical…
During the next week, I will present my paper on the Impact of Climate Risk on Fiscal Space during the Second edition of the International Conference on the…
In this recent Federal Reserve Bank of San Francisco Working Paper, Atsushi Inoue, Òscar Jordà and Guido M. Kuersteiner offer a survey of the best practice about recent…
NEW PUBLICATION: Ensuring a stable supply of critical minerals at reasonable prices is essential for the clean energy transition. The security of supply of critical minerals is particularly…
In his recent article in Foreign Affairs, Nicholas Eberstadt explores the consequence of a world gone gray. Most of the country in the world already have sub-replacement fertility…
Let me show you how to use DBnomics to access a subcomponent of ND GAIN scores. I recommend you to consult my blog series on DBnomics before delving…
In the last version of my working paper on the impact of climate risk on fiscal space, we use Joyplots to visualize the distribution of the ND-GAINS vulnerability…
Happy new year to all of you. I hope that this new year will be great and that a few of my most viewed research on SSRN will…
Happy new year to all of you. I hope that this new year will be great and that a few of my most viewed posts will help some…
A few days ago, I read the Country Risk Annual Report made by BBVA research and Alfonso Ugarte and David Sarasa Flores, in particular. On the slide 26,…
NEW WORKING PAPER: This paper investigates nonlinearities in the inflation-growth-uncertainty relationship in Chinese provinces over the period 1992 to 2017 using nonlinear models and dynamic panel threshold models.…
During the past four years, I was very lucky to work and discuss with very interesting and reliable people. I went to very captivating conferences and I learned…
NEW PUBLICATION: This study investigates the impact of supply disruptions on financial leverage (debt-equity ratio) in the U.S. economy from 1998:Q1 to 2024:Q1. The study employs a linear…
NEW WORKING PAPER: This study analyzes the effects of US partisan conflict and US-China political relation news shocks on the oil market. A shock to partisan conflict leads…
In my second SUERF policy brief, written with Joshua Aizenman, you will learn about how CESEE countries get back to the fast track: https://www.suerf.org/publications/suerf-policy-notes-and-briefs/how-can-central-eastern-and-southeastern-europe-cesee-countries-get-back-on-the-fast-track Our empirical results identify…
The “Wandel durch handel” era is now finished. Basically, the WdH (abbreviation of Wandel durch handel) doctrine means change through trade was the backbone of German foreign policy…
Today, allow me to repost a blog written by Menzie Chinn about the French debt situation. The post is available on EconBrowser https://econbrowser.com/archives/2024/12/frances-sovereign-debt-situation-some-graphs According to The Economist, France…
In my first SUERF policy brief, written with David Bloom, Klaus Prettner, and Mario Veruete, you will learn about how AI may affect the wage skill premium: https://www.suerf.org/publications/suerf-policy-notes-and-briefs/how-will-artificial-intelligence-affect-the-skill-premium…
NEW WORKING PAPER: Ensuring a stable supply of critical minerals at reasonable prices is essential for the clean energy transition. The security of supply of critical minerals is…
Our NBER working paper has been cited on the website of Christopher McKee, PhD, the CEO of the PRS (Political Risk Services) Group. Comments and remarks are welcome,…
Tomorrow, Friday 29 November, I will be very pleased to chair the “Climate-related risks” session during the 14th JT of the French Association of Environmental and Resources Economists: https://jt-faere-epr24.sciencesconf.org/.…
Allow me to share my second ADB blog written by John Beirne, Donghyun Park and Gazi Salah Uddin. Based on our recent joint ADB Economics working paper: Climate…
NEW WORKING PAPER: This paper is a case study of the exchange rate adjustments during the first week following the swapping US election results. We compute three measures…
NEW WORKING PAPER: This research provides novel empirical evidence about the exchange rate reaction to international organization loans and geopolitical preferences using an unbalanced panel of 153 countries…
Today, I repost a blog written by Richard Baldwin on LinkedIn. The post is outstanding and gives multiple very interesting insights about current development on the economic consequences…
Very honored to contribute my fifth guest blog post on Econbrowser. I am deeply grateful to Menzie Chinn. Remarks and comments are welcome, as always: https://econbrowser.com/. The other posts…
In our last research, Joshua Aizenman and I examine the behavior of exchange rates after the 2024 US Presidential election. Our identification strategy for the causality relies on…
NEW WORKING PAPER: This paper is a case study of the exchange rate adjustments during the first week following the swapping US election results. We compute three measures…
Particularly honored to announce that I will visit the Bank of Finland Institute for Emerging Economies (BOFIT) in April and May 2025. I look forward to starting the…
NEW WORKING PAPER: Ensuring a stable supply of critical minerals at reasonable prices is essential for the clean energy transition. The security of supply of critical minerals is…
It is a delight to present our NBER paper, co-authored by Joshua Aizenman, Sy-Hoa Ho, Luu Duc Toan Huynh, and Gazi Salah Uddin, in the main research seminar…
NEW WORKING PAPER: This study analyzes the effects of local and global geopolitical risks (GPR) on real equity returns. Using a panel and country-specific local projections (LP) model,…
Let me show you how to add a third dimension on a bivariate maps in this second update of my blog on drawing bivariate maps for the Chinese…
Last week, I noticed the publication of a new research in Energy Economics by Hakan Yilmazkuday: Geopolitical risks and energy uncertainty: Implications for global and domestic energy prices. Energy…
Allow me to share that I published my second working paper for the Asian Development Bank: Impact of Climate Risk on Fiscal Space: Do Political Stability and Financial…
It is a delight to present our NBER paper, co-authored with Joshua Aizenman, in the DG-E research seminar of the European Central Bank on Thursday, November 21, 2024.…
NEW PUBLICATION: This study examines the impact of international reserves on real exchange rate (RER) stability in the Europe and Central Asia (ECS) region, focusing on how financial…
In my second Vox EU column, written with David Bloom, Klaus Prettner, and Mario Veruete, you will learn about how AI may affect the wage skill premium: https://cepr.org/voxeu/columns/expansion-ai-will-likely-shrink-earnings-inequality…
In this blog, I will show you how to visualize the time-varying coefficients of the estimator proposed by Inoue et al. (2024). The dataset used in this blog…
During the 4th Workshop on Financial Econometrics and Empirical Modeling of Financial Markets: New Challenges for Monetary Policy and Financial Markets that took place at the beginning of this week…
It is a delight to present our NBER paper, co-authored by Joshua Aizenman, Sy-Hoa Ho, Luu Duc Toan Huynh, and Gazi Salah Uddin, in the main research seminar…
NEW WORKING PAPER: The COVID-19 pandemic and its aftermath exposed the vulnerabilities of global supply chains, leading to widespread delays and shortages that highlighted the interconnectedness of economies.…
Our recent publication, written with Joshua Aizenman, Donghyun Park, Gazi Salah Uddin and Irfan Qureshi, is covered in the blog Ideas for India: As the US dollar and…
Pleased to announce that 8 papers have been already published in our special issue of European Journal of Political Economy. https://www.sciencedirect.com/special-issue/10QWWKJQLXQPlease take a look if you are interested…
Delighted to announce that I will travel to the US for the first time for a two-day workshop on “Energy Transition and Climate Change” in the city of Redondo…
I am delighted to announce that I will be a visiting scholar at the Bank of France from the 21st to the 31st of October. That is an…
Last Monday, I had the chance to welcome Hiro Ito for a research seminar at the University Paris 8. We had interesting discussions about this provocative question: Can…
Very honored to contribute my fourth guest blog post on Econbrowser. I am deeply grateful to Menzie Chinn. The recent literature establishes that climate risk reduces the fiscal space,…
NEW WORKING PAPER: We investigate the resilience of CESEE countries during ECB monetary cycles after the entrance of ten countries to the EU in 2004. Undeniably, these countries…
In this recent paper, Olea-Montiel, Plagborg-Møller, Qian and Wolf “provide a formal proof of Jordà’s claim that conventional LP confidence intervals for impulse responses are surprisingly robust to…
A recent Bank of England working paper by Simon Lloyd and Ed Manuel suggests using a one-step approach with appropriate controls in the LP estimations. Lloyd, Simon &…
Please watch this excellent video on The Schumpeterian Growth Model (Multi-Sector Version) by Klaus Prettner. It is a very pedagogical video and a follow-up to the One-Sector version.…
In 10 days, I will present a recent research in the French/Japanese conference on Asian and International Economies in an Era of Globalization. In this research, we use…
In our new working paper, written with John Beirne, Donghyun Park, and Gazi Salah Uddin, we find that political stability together with financial development matter for the negative…
Following my previous blog on currency composition of reserves, we can present the Ito-McCauley database on individual Central Bank reserve holdings. The database is available here and is…
The Bank of Finland just released a policy brief introducing a new database on the composition of international reserves: https://publications.bof.fi/handle/10024/53793 The authors are Falk Laser, Alexander Mihailov, and…
In this post, I will show you how to reshape ICRG data faster. The International Country Risk Guide (ICRG) dataset is maintained by the PRS group. In their…
Allow me to share this excellent and pedagogical video on the first iterations of the Schumpeterian Growth model made by Klaus Prettner. The equations are explained step-by-step. On…
NEW WORKING PAPER: We analyze the relationship between climate risk and fiscal space in a more systematic and rigorous way. To do so, we use panel local projections…
NEW WORKING PAPER: This study examines the impact of international reserves on real exchange rate (RER) stability in the Europe and Central Asia (ECS) region, focusing on how…
It was a real pleasure to present my paper, written with Joshua Aizenman, Toan D. L. Hyun, Sy-Hoa Ho, and Gazi S. Uddin, on the usefulness of international…
MAJOR WP UPDATE: How do geopolitical risk shocks impact monetary policy? Based on a panel of 20 economies, we develop and estimate an augmented panel Taylor rule via constant…
Asjad Naqvi released a new version of the bimap package, let me provide a small update of the following blog. The main difference will be that I will…
This post is based on two videos posted by Vasilis Sarafidis on his YouTube channel. In the first one, he presents briefly the theory about the rank condition…
Yesterday, Stata released two videos on how to use Difference-in-Differences commands built-in within Stata. The videos are very pedagogical, so allow me to share them with you: Treatment…
The Bank for International Settlements has produced a formidable effort to construct historical series for central bank total assets. The data and the methodology are available on their…
As some of you may know, I have growing interests in the field of Political Economy. It appeared that the set of explained variables that I studied in…
Allow me to share this ADB blog written by Donghyun Park and Irfan A. Qureshi. Based on our recent joint publication in the Journal of International Money and…
“A rising tide floats all boats… Only when the tide goes out do you discover who’s been swimming naked.” The role of institution quality may be hidden during…
What is science? Science is above all a method aimed at discovering the truth. In a previous post of mine, I recommended a YouTube video capturing a lesson…
In the latest edition of the Stata News, I learned that Stata has adapted the Bayesian quantile estimator of Yu and Moyeed (2001). You need to have access…
In this recent NBER working paper, Òscar Jordà and Alan M. Taylor offer a survey of the best practice about recent developments on Local Projections (LP). The paper…
NEW WORKING PAPER: This note explores the impact of geopolitical relationships between the US and China on the oil price. Using time-varying local projections, my analysis reveals that…
In this blog, I will show how to use the Stata commands ‘graph combine’ and ‘foreach loop’ to produce high-quality graphs that may be included in the Data…
Estima, the company that develops and sells the RATS software, has released a new version of their online help. Notably, they incorporated the user guide version of the…
During the past twenty years, the US monetary policy has been characterized by an alternance of easing and tightening cycles. We can easily distinguish five cycles. The tightening…
It is my 200th blog on EconMacro, let me enjoy this opportunity to announce that I am now an External Consultant at the Asian Development Bank. Let me…
In Stata, you can write long commands over several lines. You have basically three choices: first, change the end-of-line delimiter to ‘;’ with the following commands : “delimit…
In Stata 18, you can easily create the “Table 1” for your research work using the new dtable command. In the following, I will show how to use…
After a first post on the conception of the scientific method by Richard Feynman, let us look at the following paper written paper by David F. Hendry: David…
NEW WORKING PAPER: This study investigates the impact of supply disruptions on financial leverage (debt-equity ratio) in the U.S. economy from 1998:Q1 to 2024:Q1. The study employs a…
NEW WORKING PAPER: Recent increasing partisan conflicts in the US strain the relationship between the US and China, leading to a decrease in oil demand and a temporary…
In a recent article published in the Journal of econometrics, we have some further insights about the bias-variance trade-off between IRF (Impulse Response Function) produced by the VAR…
I am happy and honored to announce that I am now a Research Fellow at the Economic Research Forum. Let me add that I hope that I will…
1 Introduction This short note aims to demonstrate the drawing of choropleth maps at different regional levels thanks to Natural Earth Data and GADM data. Drawing maps on…
Last Friday, I had the chance to welcome Joshua Aizenman for a research seminar at the University of Strasbourg: https://www.beta-economics.fr/. We had an interesting discussion about this provocative…
11 years after my first position as an Associate Professor (maître de conférences) in Strasbourg. I am now a Full Professor of Economics (professeur des universités) at the…
In the following working paper, we assess the relative resilience of emerging countries during US monetary cycles. One possible measure of resilience is the number of months to…
Alfonso Ugarte Ruiz from BBVA research introduced the locproj package: s459204. The package is very useful, and I will show you how to customize the LP impulse response…
NEW PUBLICATION: This paper assesses the role of political tensions between the US and China and global market forces in explaining oil price fluctuations. To this end, we…
A good way to visualize panel data with Stata is to rely on the package panelview created and maintained by Yiqing Xu: Other possibilities include Ben Jann’s heatplot:…
NEW WORKING PAPER: This research investigates the intricate dynamics between the catalytic effect of projects financed by international institutions and geopolitical interests. Through the construction of a monthly…
Sometimes, you need to draw histograms using two variables, with one variable containing the frequencies. Using fictional data, I will show you, in some simple steps, how to…
After two blogs on how to start with GDELT data, I will show how to construct a histogram of bilateral Goldstein score for bilateral events between the US…
A small update of the following blog if you want to remove Turkey:
After three blogs on how to draw maps with Stata for the NUTS regions and on how to download data from DBnomics, this time I will show you…
After two blogs on how to draw maps with Stata for the NUTS regions and on how to download data from DBnomics, this time I will show you…
NEW WORKING PAPER: How will the emergence of ChatGPT and other forms of artificial intelligence (AI) affect the skill premium? To address this question, we propose a nested…
After a series of blogs on maps, today, I will show how to draw a map for the East Asian and Pacific Region, following the World Bank classification.…
After a first blog on how to visualize the ND-GAIN vulnerability scores, I was keen to explore the sub-categories of the vulnerability scores. Among them, I was particularly…
NEW WORKING PAPER: How will the emergence of ChatGPT and other forms of artificial intelligence (AI) affect the skill premium? To address this question, we propose a nested…
Some materials for my lecture notes in Probability and Statistics are available on GitHub: https://github.com/. You will find the Mathematica notebooks and the PDF of my lectures for…
Asjad Naqvi released a new version of the bimap package, let me show a small example of how this package works with some regional data for China. I…
After a series of blogs where I explained the functioning of the DBnomics package: www.jamelsaadaoui.com I will show how to directly download the Vulnerability Index built by the…
Truly honored to present our new NBER paper, written with Joshua Aizenman, Donghyun Park, Gazi Salah Uddin and Irfan Qureshi, at the International Monetary Fund’s Monetary and Capital Markets Department (MCM) Policy Forum:…
Very honored to contribute my third guest blog post on Econbrowser. I am deeply grateful to Menzie Chinn. Remarks and comments are welcome, as always: https://econbrowser.com/.
NEW PUBLICATION: We assess the impact of China’s bilateral political relations with three main trading partners—the US, Germany, and the UK—on current account balances and exchange rates, over…
In his last post, Cullen S. Hendrix from the PIIE proposed to measure friendliness and like-mindedness using mean absolute distance with the US for two variables, the polyarchy…
I am now an Associate Editor of International Economics and Economic Policy: Springer. International Economics and Economic Policy publishes theoretical and empirical research relevant to economic policy, serving as…
In terms of global oil demand, some believe it. In future years, India may become the new leader in terms of economic growth. Some structural features hinder the…
Did you know that you can use an API to display instability scores computed from GDELT data? Below, an example for the French region (first administrative level): https://api.gdeltproject.org/api/…
It is a delight to present our NBER paper, co-authored by Joshua Aizenman, Sy-Hoa Ho, Luu Duc Toan Huynh, and Gazi Salah Uddin, in the Empirical Economics research…
After a previous post on mapping the Political Ties with Stata, let me show how to compute how to create an idea point relatively a specific country. This…
Sometimes, you need to extract some countries when you are using a panel. The most simple way to proceed is to use a loop after the creation of…
NEW BOOK CHAPTER: This chapter looks at the effect of corruption on foreign direct investment (FDI) at the world and regional levels, with a focus on East, South…
When you are interested in geopolitical risks, up to some point you will heard about the GDELT project: https://www.gdeltproject.org Here, the brief description on their website: A Global…
“A rising tide floats all boats… Only when the tide goes out do you discover who’s been swimming naked.” The role of institution quality may be hidden during…
Commerce is a cure for the most destructive prejudices…wherever we find agreeable manners, there commerce flourishes; and that wherever there is commerce, there we meet with agreeable manners.…
In these uncertain times when history and geopolitics are of utmost importance for economics, let me draw your attention to this website with very nice timelines: https://www.cfr.org/timelines The…
Very honored to contribute my second guest blog post on Econbrowser, written this time, with William Ginn. I am deeply grateful to Menzie Chinn. Remarks and comments are welcome,…
On Friday 29, I will participate in the French Japanese Webinar in Economics (FJWE) to present my paper: Real Exchange Rate and International Reserves in the Era of…
As we recall in a recent article, written with Valérie Mignon, oil production facilities may be military objectives during a war or a conflict: Mignon, V., & Saadaoui,…
NEW PUBLICATION: The paper adds to the literature on the issue of public debt in African economies, by investigating the role foreign exchange reserves play in improving the…
Elle est là ! La photo de la promo 2023-2024 du Master 1 Macroéconomie et Politiques Européennes. Un immense merci à Victor Dreyer pour l’initiative de cette photo…
NEW WORKING PAPER: How do geopolitical risk shocks impact monetary policy? Based on a panel of 20 economies, we develop and estimate an augmented panel Taylor rule via…
When I wanted to make some simple graphs on quantile regressions, I was quite surprised to not find a nice blog where each step is clearly explained over…
Let me draw your attention to this very useful inflation and interest tracker made by the Financial Times. It offers plenty of interactive visualizations per country about the…
Last week, I saw this picture in a post written by Ziad Daoud, the Chief Emerging Markets Economist at Bloomberg. It would be interesting to explore if ex-ante…
Today, let me draw your attention to two recent papers published in the Journal of Econometrics that deal with the Local Projection (LP) method introduced by Òscar Jordà…
Happy to announce that I now have a Medium page: https://medium.com/@jamelsaadaoui, where I will make a selection of my best blogs on EconMacro. These blogs will stay free…
Yesterday, I went to Corvinus University to present my paper: How do political tensions and geopolitical risks impact oil prices?, co-authored with Valérie Mignon, in the main research…
During the 16th FIW conference, I had the chance to attend the policy panel on the “Tectonic shifts in the international economic order”. Giorgia Giovannetti gave us some…
Let me show you how to use DBnomics to build databases at the NUTS 0, NUTS 1, NUTS 2 levels. I recommend you to consult my blog series…
What if I told you that you can build a panel dataset of 3 variables for almost 200 countries and around 60 years in less than four minutes?…
During the 4th Italian Workshop of Econometrics and Empirical Economics: “Climate and Energy Econometrics”, I had the chance to attend to the presentation of Giovanni Cerulli’s book on…
The levels of Geopolitical Risks are now close to those of the Cold War, as mentioned by Cullen S. Hendrix in this PIIE chart: https://www.piie.com/research/piie-charts/2024/2020s-mark-return-cold-war-levels-geopolitical-risk. What does it…
As mentioned in the last Stata News 39-1, the reshape command is now faster, much faster. For an ongoing project, I had to reshape daily data for sovereign…
Le lundi 12 février prochain, j’aurai le grand plaisir d’animer une leçon doctorale à l’école doctorale Augustin Cournot (ED 221) — Université de Strasbourg. Risques géopolitiques, tensions politiques…
NEW PUBLICATION: The global financial crisis has brought increased attention to the consequences of international reserves holdings. In an era of high financial integration, we investigate the relationship…