Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consump[...]

Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of cu[...]

This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particul[...]

This paper analyzes the importance of monetary and fiscal policy shocks in explaining U.S. macroeconomic fluctuations, and establishes new stylized facts. The novelty of [...]

We evaluate the investment performance of hedge funds using an asset pricing model that is characterized by a piecewise-linear stochastic discount factor, and which we es[...]

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Black-Scholes and the stochastic volati[...]

Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory var[...]

La présente étude contient une analyse détaillée de la structure et des propriétés sectorielles de SAM (Small Annual Model), modèle économétrique construit au département[...]

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional vola[...]

In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the fina[...]