Related papers: Measuring the Effectiveness of US Monetary Policy …

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.…

This paper introduces non-linear dimension reduction in factor-augmented vector autoregressions to analyze the effects of different economic shocks. I argue that controlling for non-linearities between a large-dimensional dataset and the…

Grave human toll notwithstanding, the COVID-19 pandemic created uniquely unstable conditions in financial markets. In this work we uncover and discuss relationships involving sentiment in financial publications during the 2020…

In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented…

The COVID-19 pandemic has caused more than 8 million confirmed cases and 500,000 death to date. In response to this emergency, many countries have introduced a series of social-distancing measures including lockdowns and businesses'…

Every financial crisis has caused a dual shock to the global economy. The shortage of market liquidity, such as default in debt and bonds, has led to the spread of bankruptcies, such as Lehman Brothers in 2008. Using the data for the ETFs…

Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics between variables recorded at different frequencies. However, as the number of series and high-frequency observations per low-frequency period grow, MF-VARs suffer from the…

This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…

Quantitative models are an important decision-making factor for policy makers and investors. Predicting an economic recession with high accuracy and reliability would be very beneficial for the society. This paper assesses machine learning…

This paper aims to study the economic impact of COVID-19. To do that, in the first step, I showed that the adjusted SEQIER model, which is a generalization form of SEIR model, is a good fit to the real COVID-induced daily death data in a…

Large and acute economic shocks such as the 2007-2009 financial crisis and the current COVID-19 infections rapidly change the economic environment. In such a situation, the importance of real-time economic analysis using alternative datais…

The analysis of the effects of monetary policy shocks using the common econometric models (such as VAR or SVAR) poses several empirical anomalies. However, it is known that in these econometric models the use of a large amount of…

This paper proposes a time-zone vector autoregression (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static…

The COVID-19 pandemic significantly disrupted household consumption, savings, and income across Europe, particularly affecting countries like Hungary, Slovenia, and the Czech Republic. This study investigates the effectiveness of fiscal…

The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon…

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…

The COVID-19 pandemic has caused a massive economic shock across the world due to business interruptions and shutdowns from social-distancing measures. To evaluate the socio-economic impact of COVID-19 on individuals, a micro-economic model…

I develop a novel macroeconomic epidemiological agent-based model to study the impact of the COVID-19 pandemic under varying policy scenarios. Agents differ with regard to their profession, family status and age and interact with other…

This study examines the effects of macroeconomic policies on financial markets using a novel approach that combines Machine Learning (ML) techniques and causal inference. It focuses on the effect of interest rate changes made by the US…

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…