We estimate spillover effects among European sovereigns, financial and non-financial institutions over time. By allowing for the presence of common and layer factors, we can evaluate the different effects of shocks originating from common factors, …
Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or …
We incorporate low-frequency information from demographic variables into a simple predictive model to forecast stock valuations and returns using demographic projections. The demographics appear to be an important determinant of stock valuations, …
The U.S. economy has experienced a reduction in volatility since the mid-1980s. In this paper we investigate the changes in the response of the economy to an oil price shock and the role of the systematic monetary policy response in accounting for …
We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings, Journal of Business and Economic Statistics, 24 (1), 12–23] “uniform …
Point estimates suggest mean reversion in real exchange rates; however, it still remains uncomfortable that models without any mean reversion are often compatible with data from the floating period. Studies with data over longer periods find mean …
This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic …
Explanations for the decline in U.S. output volatility since the mid-1980s include: 'better policy,' 'good luck,' and technological change. Our multiple-break estimates suggest that reductions in volatility since the mid-1980s extend not only to …