Related papers: A win-win monetary policy in Canada
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
This paper examines asymmetric and time-varying dependency structures between financial returns, using a novel approach consisting of a combination of regime-switching models and the local Gaussian correlation (LGC). We propose an LGC-based…
We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…
The aim of this work is to put forward a statistical mechanics theory of social interaction, generalizing econometric discrete choice models. After showing the formal equivalence linking econometric multinomial logit models to equilibrium…
The standard wage Phillips curve aggregates away from which workers reset wages when. I show this aggregation omits a first-order term: the covariance between workers' cost-push exposure and their reset frequency. I introduce two sufficient…
Structural change consists of industrial diversification towards more productive, knowledge intensive activities. However, changes in the productive structure bear inherent links with job creation and income distribution. In this paper, we…
The economic shocks that followed the COVID-19 pandemic have brought to light the difficulty, both for academics and policy makers, of describing and predicting the dynamics of inflation. This paper offers an alternative modelling approach.…
Very recent CMB data of WMAP offers an opportunity to test inflation models, in particular, the running of spectral index is quite new and can be used to rule out some models. We show that an noncommutative spacetime inflation model gives a…
This paper brings together divergent approaches to time inconsistency from macroeconomic policy and behavioural economics. Behavioural discount functions from behavioural microeconomics are embedded into a game-theoretic analysis of…
Robust inflation measures gauge inflation behavior by excluding volatile expenditure categories from headline inflation. We evaluate the forecasting performance of a wide set of such measures between 1970 and 2024, including core, median,…
We analyze the forces that explain inflation using a panel of 122 countries from 1997 to 2015 with 37 regressors. 98 models motivated by economic theory are compared to a gradient boosting algorithm, non-linearities and structural breaks…
This study proposes a point estimator of the break location for a one-time structural break in linear regression models. If the break magnitude is small, the least-squares estimator of the break date has two modes at the ends of the finite…
Causal machine learning (ML) recovers graphical structures that inform us about potential cause-and-effect relationships. Most progress has focused on cross-sectional data with no explicit time order, whereas recovering causal structures…
We propose a novel method to detect and date structural breaks in the entire distribution of functional data. Theoretical guarantees are developed for our procedure under fewer assumptions than in the existing work. In particular, we…
In recent years, change point detection for high dimensional data has become increasingly important in many scientific fields. Most literature develop a variety of separate methods designed for specified models (e.g. mean shift model,…
Forecast reconciliation is the post-forecasting process aimed to revise a set of incoherent base forecasts into coherent forecasts in line with given data structures. Most of the point and probabilistic regression-based forecast…
The classifications of inflationary regimes proposed in the literature have mostly been based on arbitrary characterizations, subject to value judgments by researchers. The objective of this study is to propose a new methodological approach…
Selecting an appropriate statistical model to forecast exchange rates is still today a relevant issue for policymakers and central bankers. The so-called Meese and Rogoff puzzle assesses that exchange rate fluctuations are unpredictable. In…
We identify fiscal SVAR-IVs by utilizing unexpected variation in the output of trading partner economies, measured by professional forecast errors, to account for the systematic component of fiscal policy. Our identification builds on the…
This paper considers the problems of detecting a change point and estimating the location in the correlation matrices of a sequence of high-dimensional vectors, where the dimension is large enough to be comparable to the sample size or even…