Related papers: Mixing it up: Inflation at risk
This paper uses new and recently introduced mathematical techniques to undertake a data-driven study on the systemic nature of global inflation. We start by investigating country CPI inflation over the past 70 years. There, we highlight the…
Macroeconomic conditions influence the environments in which health systems operate, yet their value as leading signals of health system capacity has not been systematically evaluated. In this study, we examine whether selected…
Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…
This paper introduces a new approach for estimating core inflation indicators based on common factors across a broad range of price indices. Specifically, by utilizing procedures for detecting multiple regimes in high-dimensional factor…
This paper quantifies the international spillovers of US interest rates by explicitly controlling for the "Fed Information Effect". I use multiple identification strategies that identify two components of monetary policy surprises around…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
This paper surveys the empirical literature of inflation targeting. The main findings from our review are the following: there is robust empirical evidence that larger and more developed countries are more likely to adopt the IT regime; the…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
There are hidden observables for inflation, such as features localized in position space, which do not manifest themselves when only one inflation trajectory is considered. To address this issue, we investigate inflation dynamics in a…
Through this paper, an attempt has been made to quantify the underlying relationships between the leading macroeconomic indicators. More clearly, an effort has been made in this paper to assess the cointegrating relationships and examine…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
This paper discusses three key themes in forecasting for monetary policy highlighted in the Bernanke (2024) review: the challenges in economic forecasting, the conditional nature of central bank forecasts, and the importance of forecast…
Macro-economic models describe the dynamics of economic quantities. The estimations and forecasts produced by such models play a substantial role for financial and political decisions. In this contribution we describe an approach based on…
This paper investigates how dispersion in banks' subjective inflation forecasts is a channel of the transmission of monetary policy to credit supply. We extend the Monti-Klein model of monopolistic banking by incorporating risk aversion,…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…
This article conducts a literature review on the topic of monetary policy in developing countries and focuses on the effectiveness of monetary policy in promoting economic growth and the relationship between monetary policy and economic…
At the outbreak of the recent inflation surge, the public's attention to inflation was low but increased quickly once inflation started to rise. In this paper, I quantify when and by how much the public's attention to inflation changes, and…
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.…
Vector autoregression is an essential tool in empirical macroeconomics and finance for understanding the dynamic interdependencies among multivariate time series. In this study, we expand the scope of vector autoregression by incorporating…