Related papers: Measuring international uncertainty using global v…

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a…

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII…

Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…

Accurate macroeconomic forecasting has become harder amid geopolitical disruptions, policy reversals, and volatile financial markets. Conventional vector autoregressions (VARs) overfit in high dimensional settings, while threshold VARs…

This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…

We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…

The availability of data on economic uncertainty sparked a lot of interest in models that can timely quantify episodes of international spillovers of uncertainty. This challenging task involves trading off estimation accuracy for more…

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…

Jointly modeling and forecasting economic and financial variables across a large set of countries has long been a significant challenge. Two primary approaches have been utilized to address this issue: the vector autoregressive model with…

The Great Recession highlighted the role of financial and uncertainty shocks as drivers of business cycle fluctuations. However, the fact that uncertainty shocks may affect economic activity by tightening financial conditions makes…

In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…

Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesian methods, more concretely shrinkage priors, have shown to…

Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…

Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting. Research in the last decade has established the importance of allowing time-varying volatility to capture both secular and cyclical variations in…

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…

This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…

This paper evaluates the dynamic response of economic activity to shocks in uncertainty as percieved by agents.The study focuses on the comparison between the perception of economic uncertainty by manufacturers and consumers.Since…

This paper presents a new way to account for downside and upside risks when producing density nowcasts of GDP growth. The approach relies on modelling location, scale and shape common factors in real-time macroeconomic data. While movements…

We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…