Related papers: A win-win monetary policy in Canada

Fluctuations in the intensity and polarization of the cosmic microwave background (CMB) and the large-scale distribution of matter in the universe each contain clues about the nature of the earliest moments of time. The next generation of…

The importance of unspanned macroeconomic variables for Dynamic Term Structure Models has been intensively discussed in the literature. To our best knowledge the earlier studies considered only linear interactions between the economy and…

This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…

In this article, we consider the estimation of the structural change point in the nonparametric model with dependent observations. We introduce a maximum-CUSUM-estimation procedure, where the CUSUM statistic is constructed based on the…

We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search,…

This paper develops a new generation of the Keynesian Intertemporal Synthesis (KIS) Model, a macroeconomic framework designed to reconcile the empirical strengths of the Post-Keynesian (PK) and New Keynesian (NK) traditions. The central…

This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group least absolute shrinkage and selection operator). The method…

We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…

This paper describes and compares several prominent single and multiple changepoint techniques for time series data. Due to their importance in inferential matters, changepoint research on correlated data has accelerated recently.…

In this paper, we propose a two-step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the…

Structural break identification methods are an important tool for evaluating the effectiveness of climate change mitigation policies. In this paper, we introduce a unified probabilistic framework for detecting structural breaks with unknown…

We propose a nonparametric algorithm to detect structural breaks in the conditional mean and/or variance of a time series. Our method does not assume any specific parametric form for the dependence structure of the regressor, the time…

This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and…

Counterfactual distributions are important ingredients for policy analysis and decomposition analysis in empirical economics. In this article we develop modeling and inference tools for counterfactual distributions based on regression…

We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital…

This research studies the relation between money and prices and its practical implications analyzing quarterly data from United States (1959-2022), Canada (1961-2022), United Kingdom (1986-2022), and Brazil (1996-2022). The historical,…

As countries develop, the relative importance of agriculture declines and economic activity becomes spatially concentrated. We develop a model integrating structural change and regional disparities to jointly capture these phenomena. A key…

The presence of multiple fields during inflation might seed a detectable amount of non-Gaussianity in the curvature perturbations, which in turn becomes observable in present data sets like the cosmic microwave background (CMB) or the large…

The empirical literature provides mixed results on the relationship between inflation and unemployment, therefore, there is no consensus on validity and stability of the Phillips Curve. It also seems to be closely related with…

In this paper, two tests, based on CUSUM of the residuals and least squares estimation, are studied to detect in real time a change-point in a nonlinear model. A first test statistic is proposed by extension of a method already used in the…