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1.
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Replication files for: Dahlhaus, T. and Gambetti L., Noisy Monetary Policy Announcements, Journal of Applied Econometrics. MainProg_JAE.m replicates the analysis in Sect[...]
2024 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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Supplemental material for peer-reviewed article published in Quantitative Economics.
2023 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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3.
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Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allo[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, [...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how c[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying paramet[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substitu[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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This paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics. Fr[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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